耶鲁大学金融市场英文文本FinancialMarketsLecture22TranscriptWord格式.docx

耶鲁大学金融市场英文文本FinancialMarketsLecture22TranscriptWord格式.docx

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stoolate.Ithinkitis--thisisevidencethatinformationtechnologyreallyhasdominatedstockprices.Wedidn'

treallyhaveactivestockmarketsbeforetheelectronicage,whichisaninterestingthingtothinkaboutbecausethetickertapemachinewasinventedbyEdisonin1867.In1867,therewerehardlyany--therewerestockmarkets,buttheywereverysmall.Itwasreallytheelectroniccommunicationsthatmadeitwhatitis.It'

sexcitingtothinkaboutthefutureandwhereelectroniccommunicationisgoingtotakemarketsgoingforward.

Iwantedtocontinuetodayaboutourfuturesmarkets.Letmejuststepbackandthink,whatisafuturesmarket?

Today,I'

mgoingtotalkabouthowithasexpandedtocoverlotsofotherthings,notablyfinancialinstruments.Let'

sjustthink,whatisafuturesmarket?

IfyoureadHolbrookWorking,who'

sonyourreadinglist,andhishalf-centuryoldpaper,backinthosedaysthathewaswriting,hesaysthatthename"

futures"

isabitmisleadingbecausethatsuggeststhatit'

stalkingaboutthefutureratherthantoday.Ifyoulistentothenewsaboutanycommodityprice,it'

salwaystalkingaboutfuturesprice.Theydon'

ttalkaboutthepricetoday.Thefuturespriceistheinteresting--thepointthatWorkingmadeisnotsomuchthatit'

sinthefutureisthatit'

swell-definedandstandardized.Foragriculturalfutures,it'

struethatthecontractdoesn'

tmatureforamonthorso,butasWorkingpointsout,anycontractfordeliveryofsomethinghassometerm.Theydon'

tjustdeliveritinstantlyandWorkingsays,therearetimeswhentheso-calledspotpriceisactuallyfurtherinthefuturethanthefuturesprice.

Ifyoulookatthewaythingsaretraded--I'

mgoingtobetalkingalotaboutoil,butletmejusttalkgenerallyaboutoil.Whatisthepriceofoilandhowdoesanybodyknowwhatitis?

Ifyougotopeoplewhobuyandselloil,theywilltellyou,wellwedon'

tjustselloil;

wedon'

tjusthaveitreadytogo.Almostalloftheoilissoldinlong-termcontracts,soanoilcompanywillsellacontracttodeliverregularlytosomerefinery,oil.They'

llhavethesetankersappearandwesignafive-yearcontract--orwhatever--andithasallkindsofterms.Ifyoureadthecontractitwouldbefiftypageslonganditwouldspecifyallkindsof"

whatwe'

lldoifwedon'

tdeliver"

or"

whathappensifwecan'

tdeliverthegradewepromised."

Lotsofuncertaintiesaredefined,sowhoknowswhatthepriceofoiliswhenit'

sbeingpartofalong-termcontract.That'

swhyyouneedafuturesmarketandthefuturesmarketisthemarketthat'

sfreeof--ithasastandardizedcontract.

Weknowexactlywhatthepricemeansandattentionfocusesonthefuturesmarketbecausethetradethereis--everybodyunderstandsit;

everyoneknowsexactlywhat'

sbeingtraded.Theminute-to-minutechangesreflectsomething;

theyreflectsomethingreal,namelychangeinthemarketnotanychangeinwhat'

sbeingdelivered.Anyway,itusedtobethattheonlyfuturesmarketswereforcommodities--forthings--typicallyitwasthoughtthatfuturesmarketsaregoodtohaveforthingsthatarenotstandardized--thataredifficulttodefine.So,wewantricefuturesandwewantwheatfuturesbecausetherearesomanydifferentkindsofriceindifferentareasanddifferent--so,wewanttohaveastandardizedprice.

Therewerenofinancialfuturesuntilthe1970sandpeoplefeltbackthenthatwedon'

tneedfuturescontractsbecausethere'

sastandardizationofshares.Everyshareinagivencompanyisexactlyidentical.Whenyousay,I'

dliketobuyahundredsharesofacompany,you'

renotgoingtoaskthebroker,wellwhichsharesdidIget?

AndcanIlookatthem?

Yourbrokerwouldsayindisbelief,lookyou'

vegotshares;

they'

reallabsolutelyidentical.Youmightthinkthere'

snoneedforafuturesmarketbecausethepricesarealreadystandardizedinthecashmarket.Moreover,thepricesthatyouseetradedonthestockexchangefloor--youknowexactlywhenthetradetookplace;

renotfuture-traded.

Whydidwegetfuturesmarkets?

Letmecomebacktothat.Letmejustfirst--whydidwegetstockfuturesmarkets?

Letmecomebacktothatandtalkabout--let'

sbeclearwhattheyare.Stockindexfuturesmarketscameinaround1980andoneoftheveryfirstwastheStandard&

Poor500StockIndexFuturesMarkettradedattheChicagoMercantileExchange.Itwasaradicalinnovationwhenitcameinbecausepeoplethought,what'

sthepoint?

Icanseefarmersdeliveringtheircornortheiroatsorwhatever,butstocks--what'

Well,itturnedouttobeabsolutelyrightbecause--theCMEwasabsolutelyrighttocreatethismarketbecause--withinafewyears,therewasmoretradeonthefuturesmarketthantherewasonthestockmarketitself.

Let'

sbeclearwhattheycreated--andthisisthetermsofthecontractasitistoday.TheS&

P500isanindexofstockpricesproducedbyStandard&

Poor'

sCorporationandit'

s--theytakethepricesof500stocksandtheyformaweightedaverage.It'

sanarithmeticaveragewheretheweightscorrespondtotheamountsoutstandingofthevariousstocks,soit'

savalue-weightedindex.It'

sjustanumberpublishedbytheAmericanStockExchange--no,byStandard&

s.Allitisat--justaswithagriculturalfutures--Idon'

tknowhowclearIwasaboutthisyesterday.Ifyou--maybeIdidn'

tsaythis.Letmesaythatitappliestobothagriculturalfuturesandfinancialfutures.

Ifyouwanttotradeinthefuturesmarket,youhavetoputupmarginandthere'

samarginrequirementforeachcontract.Themarginistheretoeliminatecounterpartyriskwithothercontracts.Whenyousignacontractwithanotherpersonyouhavetoworrywhetherthatpersonwillcomethrough,butwiththeexchangethatcounterpartyriskiseliminated.Thewaytheexchangeeliminatesitisittakestheothersideitself--ofeverycontractwho--itstandsbetweenyouandthecounterpartyanditprotectsitselfbydemandingmargin.Youhaveto,upfront,putupmarginforanyfuturescontractandthemarginissettleddaily.Everyday,theylookatyourmarginaccountandtheyadjustit.So,if--letmegobacktowheatfuturesbecausethat'

sthesimpler--Idon'

tthinkIreallyexplainedthiswell.Ifyoubuy--whenwesay"

buywheatfutures,"

whatdoesthatmean?

Thatmeans--thewordbuyorsellhasadifferentmeaninginfuturesmarkets.Whenyoubuywheatfuturesor,forthatmatter,S&

P500infutures,itmeansthatyouputupmargin.Youdidnotpaythepriceforthecontract;

youonlypaidmargin,whichmightbe5%orlessthantheprice.

Ifyou'

rebuyingwheatfutures,whatareyoudoing?

You'

reputtingupmarginandstandingreadytoseeyourmarginaccountcreditedordebiteddependingonthechangeinthefuturespricefromdaytoday.Ifthepriceofwheatinthefuturesmarketgoesupandyouboughtfutures,theywillincreaseyourmarginaccountbytheamountthatitwentup.Ifthepriceofwheatgoesdown,theywilldecreaseyourmarginaccountbalancebythatamount.Howdotheygetthemoney?

Well,that'

sbecauseforeverybuyerthere'

sasellerinthefuturesmarket,sosomebodyelsesoldfutures.Bothofyouputupmargin;

ifyouarebuying,youputupmargin;

ifyouareselling,youputupmargin.So,theresultisthattheyhaveaplacetogetthemoney.Ifthepricegoesupandyoubought,yourmarginaccountwillgoup.Theexchangewillgetthemoneybytakingitfromthemarginaccountoftheguywhosoldandthey'

vealwaysfixeditsothatthenumberofbuyersalwaysequalsthenumberofsellers.Youseehowtheexchangecan'

tloseandyoucan'

tlose;

thisisaguaranteedthing.

Theonlyproblemisthatwhatifamarginaccountrunsdry?

Bothbuyerandsellerhaveputupmarginandthentheprice--let'

ssaythepricedropsalot;

thefuturespricedropsalot.Then,thatmeansthatthebuyer'

smarginaccountiswipedout.Whatwillhappenthenisthatthefuturescommissionmerchantwillgotothepersonwhoboughtthefuturesandsay,doyouwanttopostmoremarginordoyouwantmetocloseyouout?

Thatpersonhasadecisiontomakeandifheorsheputsupmoremargin,thenthatreplenishesthemarginaccountandthepersoncankeeptrading.That'

showtheexchangeseliminatecounterpartyrisk,bydailyresettlementofthecontracts.

It'

saninvention--actuallygoesbacktoJapan;

although,itwasslightlydifferentinform.It'

saninventionthateliminatesanyriskofthecounterpartynotperformingsothatriskdoesn'

taffectprice.Soit'

sthesame--areyouclearonthatnow--howthemarginaccountworks?

Youmightnotenjoythis.Dependsonhowmuchofagamblinginstinctforhowmuchfunthisis.Ifyoubuyorsellfutures,youcanexpectaphonecallfromyourbrokersoonerorlater;

well,not