To Ensure Compliance, Transparency, Openness, Vitality, and Resilience
To Ensure Compliance, Transparency, Openness, Vitality, and Resilience
To Ensure Compliance, Transparency, Openness, Vitality, and Resilience
“The First Symposium on the Development of Financial Futures Market”, hosted by China Financial Futures Exchange (CFFEX), came to a successful conclusion a few days ago. Against the backdrop of global economic turmoil, this symposium on China’s financial derivatives market however received strong support and active participation from experts and scholars from universities, research institutions and market organizations. After anonymous review, 40 winning papers were announced (see the below table).
CFFEX would like to extend its warmest congratulations to the winning authors! In the future, the Exchange will further promote in-depth research on China’s financial derivatives market under the New Development Principle, and enhance financial derivatives market growth to better serve the national strategy and real economy.
|First Prize||Options Trading and the Cross-Listed Stock Returns: Evidence from Chinese A-H Shares||School of Economics, Zhejiang University||Xingguo Luo|
|A Study on the "Riddle of Pricing" of 50 ETF Options Based on Shanghai Stock Exchange||Dongbei University of Finance and Economics||Yongdong Shi|
|The Informational Role of Option Trading: Evidence from SSE 50ETF Options in China||Wudaokou School of Finance, Tsinghua University||Teng Ma|
|The Impact of Investor Sentiment on the Relationship between CSI 300 Stock Index and Index Futures||School of Economics, Beijing Institute of Materials||Chen Liu|
|Second Prize||A Study of the Extreme Risk Spillover Effect and Early Warning Effect of Stock Index Futures on the Spot Market||School of Economics and Management, Agricultural University of China||Wenchao Liu|
|The Comparability of the U.S.-China Regulatory Regimes in the Futures—A Prerequisite for U.S. Persons to Access the Chinese Futures Exchanges||Georgetown University, US||Jie Yang|
|The Administrative Law Enforcement and Reconciliation of Securities and Futures: Elements Deconstruction and Institutional Reconstruction||Beijing Institute of Financial Derivatives||Jianwei Chen|
|Extreme Market Sentiment Study, Risk Measures and Assistant Investment Management||Jiangxi Ruiqi Futures Company||Jianhui Yang、Rong Yi|
|Nonparametric Option Pricing with Multidimensional Non-arbitrage Constraints||School of Statistics and Mathematics, Zhongnan University of Economics and Law||Qing Li|
|Research on High Frequency Trading Regulation||Xiangcai Securities Institute||Yinqi Zhang|
|Third Prize||The Nature and Role of Financial Derivatives Trading||China Financial Futures Exchange||Shi Sha|
|Experience and Lessons from the International Development of Foreign Exchange Futures Market||Dongfureng Institute of Economic and Social Development, Wuhan University||Zhe Jiang|
|Volatility Spillover Effect of Implied Forward Interest Rate on the Risks of Commercial Banks||School of Economics and Management, Northeastern Normal University||Zhiyang Liu|
|Research on the Information Transmission Mechanism between Stock Index Futures Market and Spot Market||East Securities Derivatives Institute||Xiaohui Li|
|The Application of the China Government Bond Futures in International and Domestic Commercial Banks and Insurance Institutions||Guangfa Futures Company||An Hu|
|The Application of Financial Derivatives on the Investment of Insurance Capital Equity||East Securities Derivatives Institute||Sheng Xie|
|A Discussion on Perfecting the Adjustment Scope of Futures Law in China||Foreign Exchange Division, China Financial Futures Exchange||Daoyun Liu|
|A Study on the Mechanism of How China Government Bond Futures Promoting the Transformation of Monetary Policy under the New Reality||School of Accounting, Shanghai University of Finance and Economics||Chao Huang|
|The Experiences of Overseas Insurance Institutions’ Participation in the Interest Rate Derivatives Market||Trading Division, China Financial Futures Exchange||Fei Zhang|
|An Analysis on the Price Discovery Function of Domestic Financial Derivatives Market during the Epidemic period||Department of Actuarial Science, University of Illinois, Urbana-Champaign||Lijie Hou|
|Recognition Prize||Speed up the establishment of foreign exchange futures market and improve the modern futures market system||Hongye Futures Company||Huiqian Zhang|
|Risk Premium Analysis of Offshore Foreign Exchange Options||Nanhua Futures Company||Ying Wang|
|Financial Derivatives and Global Capital Competition||China Financial Futures Exchange||Shi Sha|
|The Impact of Coronavirus on China's Financial Futures Market||Maike Futures Company||Jinjin Rong|
|Developing the Foreign Exchange Derivatives Market and Promoting the RMB Exchange Rate Reform||Zhongxin Futures Company||Jing Zhang|
|A Study on Price Discovery and Volatility Overflow of China Stock Index Futures Based on Epidemic and Non-epidemic Period||Shenzhen Securities Information Co., Ltd||Huiting Liu|
|International Experience and Lessons of How to Use Interest Rate Derivatives in Pensions||Huaan Futures Company||Xiaojun Cao|
|The Evaluation of Using Financial Futures in Risk Management of Fund Products||Zhongxin Futures Company||Ge Zhang|
|The Innovation of China Government Bond Options and the Functioning of Bond Market Under the Background of Interest Rate Liberalization||Options Division, China Financial Futures Exchange||Xin Yu|
|Research on the Application and Prospect of China Government Bond Futures in Commercial Banks||Bank of China Shanghai Headquarters Financial Markets, Bank of China||Meilin Ye|
|How effective is the RMB Market Sentiment Index?||Nanhua Futures Company||Chaosheng Dai|
|The Promotion and Influence of Stock Index Futures on the Real Economy from the Perspective of Equity Financing Risk Management||Yide Futures Company||Chang Chen|
|Does Our Market Need High Frequency Trading? —— Let History Tell the Future||Institute of International Finance and Trade, Shanghai Foreign Studies University||Lu Li|
|The Legal Regulation of "Too Big to Fail" CCP in the Context of Center Clearing of OTC Derivatives||School of Economics, Southwest University of Political Science and Law||Qian Liu|
|The Performance and Function of Financial Futures Options Market in the Coronavirus Pandemic||Wukuang Jingyi Futures Company||Yixing Wang|
|Futures Industry Association (FIA) Paper on the Necessity, Path and Related Issues of Opening the Financial Futures Market||FIA||-|
|The Performance and Price Discovery Function of Stock Index Futures Market in the Coronavirus Pandemic||Lu Securities Futures Institute||Weiyan Song|
|The Market Performance and Functioning of Financial Futures Options during the Epidemic Period||Haitong Futures Company||Liwei Tao|
|The Application Analysis of Foreign Exchange Derivatives||Tonghui Futures Company||Jian Zhang|
|Commercial Banks' Participation in the China Government Bond Futures Market Serves the Real Demands||Xinhu Futures Company||Mingyu Li|
On December 24, 2020, China Financial Futures Exchange (CFFEX) releases the Measures of China Financial Futures Exchange on Risk Control (the “Measures”). The Measures refines and perfects the definition of extraordinary situation in the course of futures trading and relevant emergency actions can be taken by the Exchange. The Measures will take effect on December 25, 2020.
The amendments are mainly to provide rule-based support for settlement risk segregation of futures market. Under the overall leadership of China Securities Regulatory Commission (CSRC) and taking into account of various market opinions, CFFEX has comprehensively studied and sorted the emergency actions can be taken by the Exchange when settlement, delivery, exercise, assignment and other business cannot be normally carried out due to extraordinary situations, and it has refined and perfected relevant provisions on emergency actions in mitigating risks. In the case of force majeure events or IT system failure, the Exchange will support its members in current day settlement and next day normal trading by taking emergency actions, releasing emergency clearing data, among others, which can effectively prevent the spread of settlement risk in futures market. The implementation of the Measures will provide more comprehensive support for settlement risk segregation of futures market, which is conducive to the rapid resolution of extraordinary situations, such as IT system failure, and to the safeguard of the normal and orderly market operation.
Guided by the spirit of the fifth Plenary Session of the 19th CPC Central Committee, CFFEX will follow the fundamental principle of firmly guarding against systemic risks, steadily promote the segregation of trading and settlement in the futures market, effectively prevent and mitigate market risks, to enhance the steady and healthy development of the financial futures market.
December 11, 2020, China Financial Futures Exchange (CFFEX) releases the Detailed Clearing Rules of China Financial Futures Exchange (Amended) and the Guidelines of China Financial Futures Exchange on Using China Government Bonds as Margin (Amended). The amended rules will take effect on December 14, 2020.
Since China government bonds (CGBs) was accepted as margin by CFFEX nearly six years ago, relevant business operation has been running smoothly, the market scale has been growing steadily, and the transaction cost has been effectively reduced, all of which has been widely acknowledged by various parties in the market. In order to strengthen the risk management framework against default, under the overall guidance of the China Securities Regulatory Commission (CSRC), and after extensive researches, consultations and studies, CFFEX further improves the disposal mechanism of CGBs posted as margin to better suit the tiered-settlement system of the financial futures market. The disposal mechanism is not only a guarantee measure against default or to enhance efficiency, but also an improvement on the Exchange’s clearing rules regarding CGBs as margin.
After officially implements the revised detailed clearing rules and business operation guidelines, CGBs could be disposed by auctions, negotiated sale and regular sale through the collateral disposal platform of China Central Government Securities Depository and Clearing Co., Ltd. The industry believes that it will significantly improve the disposal efficiency of CGBs posted as margin and enhance CFFEX's ability to quickly and effectively deal with default risk of Clearing Members.
Next, CFFEX will continue to fully implement the CSRC’s principle of "Four Awes" and "One Synergy", improve the relevant rules and market operational efficiency, optimize market services, enhance risk management capabilities, cooperate with all parties in the market to further promote the coordinated development of the financial market, and effectively serve the real economy.
On November 6th 2020, China Financial Futures Exchange (the “Exchange”) released the revised version of the Measures of China Financial Futures Exchange on the Management of Market Makers (the “Measure”). The revised Measures added a relevant provision that the Exchange may adopt a tiered approach to market maker management.
Market making is a mature and fundamental trading scheme, prevailing in global derivatives markets. It plays an important role in improving market liquidity, enhancing price efficiency and strengthening market stability. Since 2015, domestic stock exchanges and futures exchanges have successfully introduced market making schemes to 49 products, including SSE 50 ETF Option, Nickel Futures, PTA Futures, Iron Ore futures, etc. The Exchange also introduced the market making schemes to 10-Year, 5-Year and 2-Year China Government Bond (CGB) Futures in May 2019, and CSI 300 Index Options in December 2019, which improved market liquidity of the CGB Futures and Equity Index Options market, enhanced market operation, and promoted market stability and functioning.
In considering the development of the financial futures market and the growth of the market making business, further optimizations need to be implemented to market maker management on top of maintaining normal daily operations. Under this circumstance, in order to meet market demand and incent market makers, the Exchange plans to revise the relevant rules to adopt a tiered approach in market maker management. In the revised Measures, the Exchange will be able to classify market makers into tiers upon market development and management needs. The revised measures will further improve the management of market making and the quality of the business.
Next, in line with CSRC's requirements of "Four Awes" and "One Synergy", and the strategy of further deepening of the capital market reform, the Exchange will steadily implement the tiered approach of market maker management and optimize the Exchange’s market maker structure according to market operation and development. The Exchange will continuously improve market making schemes, maintain market stability and facilitate market efficiency of the financial futures market.
On July 15, 2020, China Financial Futures Exchange (CFFEX) signed a strategic cooperation agreement with Shanghai Pudong Development Bank (SPD Bank).
“To implement the major strategic decisions of the CPC Central Committee, CFFEX is striving to make progress in developing China’s financial futures market and building Shanghai into an international financial center. Founded in Shanghai, SPD Bank has been dedicated to the healthy development of China’s financial market since its inception. Through this agreement, CFFEX and SPD bank will explore mutually beneficial Win-Win cooperation through complementary development between the financial futures market and other financial factor markets.” a CFFEX official said.
Next, following the principles of "integrity, equality, reciprocity, long-term cooperation and common development", CFFEX and SPD Bank will carry out close and pragmatic cooperation in business innovation, customer service, international development and joint party building, in order to jointly promote the well-functioning and steady development of the financial futures market, and serve the real economy at greater depth and breadth.