中国股指期货市场监管研究
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摘要
自1982年美国堪萨斯城期货交易所首推价值线指数期货合约后,经过至今二十八年的发展,股指期货已成为国际资本市场最为成功的金融衍生品之一,事实证明它在帮助金融资本规避风险、健全股票市场功能、促进金融体系发展等方面发挥了巨大的作用。但同时国际经验也表明,它容易衍生出新的风险,一旦对其监管不当则不仅会伤及资本市场本身、而且还会累及国家金融体系、甚至动摇实体经济。所以,如何科学合理地对股指期货进行监管、促进其平稳发展是世界各国一直都致力研究的问题。
随着中国经济的连年快速增长和资本市场对外开放的程度不断提高,国内对金融避险工具的需求越来越迫切。在筹备了五年之后,中国沪深300股指期货终于在2010年4月推出,它改变了中国股市多年来只能做多的格局,对完善和稳定市场内在机制、促进金融创新、拓展资本市场的广度和深度等方面都有着积极的作用,在中国金融发展史上具有划时代的意义。然而此时,金融危机刚刚过去,全球经济动荡不安,出于投机、保值等动机的国际资本可能会借道不断升值的人民币而对中国内地市场造成冲击,同时股指期货本身就是一个具有高风险的金融衍生品种,国内对它的研究和经验都还不足,尤其是缺乏基于其真实交易数据的实证分析和系统性的研究,所以在中国对其进行首次尝试的初期阶段,在这样不利的内外大背景下,如何兼顾其发展与监管,这对管理层提出较高要求,也是本文的研究主题。
论文主要研究了中国股指期货市场的监管问题,着重分析中国股指期货推出后的实际情况,归结市场的问题所在,然后由宏观到微观、自上而下地对中国股指期货市场的监管进行研究,针对其中的具体问题给出先战略性后战术性的解决方案。
论文认为,中国股指期货市场尚处建立初期,对其监管的框架刚刚搭建,还有待完善,包括一系列监管举措的实际效用还有待观察和因地制宜地改进。论文基于对中国股指期货推出后的真实市场情况,从中国股指期货市场的监管体系、监管制度与措施、合约设计与交易制度等方面分别进行了研究,力求使其监管作用更具实效,与市场实际情况合理匹配,主要的工作和结论如下：
1、在监管的宏观方面,论文认为世界股指期货市场普遍采用的“一元三级”监管模式也同样可被应用于中国,但必须结合中国市场实际情况而对其适当地进行调整和补充,为此本文尝试性地构建了一个专门针对中国股指期货市场的新型监管体系,来重新调整监管重心,扩大了第二、三层级的监管职权,使市场各方监管机制综合地发挥实际效用；
2、为确保监管体系的顺利运行,论文再从中观角度研究了加强监管的几项主要措施,包括：跨期、现两市联合监管、培育投资者队伍、加强一线监管等,并就此展开详实的论述；
3、继宏观和中观之后,论文再深入到与监管相关的微观层面进行研究,为此论文采用了中国股指期货沪深300合约上市后真实的交易数据来作为研究的基础和依据,对其进行多项统计和对比,从合约设计及交易制度在市场建立初期定价过程中的适用性和实效性角度进行了论证后,提出完善建议,包括：建议适当降低目前300元／点的合约乘数水平或尽快推出小型股指期货合约以满足中小投资者需要求、缩小涨跌停板幅度或对其分段设置、增加熔断机制以弥补监管疏漏并遏制投机行为等。
论文紧密地将理论和市场实务有机结合在一起,借鉴国外经验并结合国内实际情况对中国股指期货市场的监管问题进行了有限的研究,谨慎地提出了有针对性的改进并加强监管的结论和建议,仅供市场管理者参考,对促进中国股指期货市场监管的完善与成熟、推进市场健康稳定发展具有积极的意义。
The value line futures contract was introduced by Kansas City Board of Trade (KCBT) in 1982. After 28-year's development, stock index futures has become one of the most successful financial derivatives in international capital markets. It proves to play an important role in avoiding risks of financial capital, improving the function of the stock market, and promoting the development of the financial system. Nevertheless, international experience shows that it is also exposed to new risks. Without proper regulation, it will not only harm the capital market itself, but also endanger the national financial system, even the real economy. Therefore, it has long been a project under research in countries how to regulate the stock index futures scientifically and reasonably so as to improve its development smoothly.
With the rapid growth of the Chinese economy and more opening up of the capital market, the domestic demand of financial instruments to avoid risks becomes more and more urgent. After five-year's preparation, China's HS300 Stock Index Futures was finally launched in April 2010. It has changed the long pattern in China's stock market, playing an active role in improving and stabilizing the internal market mechanisms, promoting financial innovation and expanding the width and depth of capital markets. It is a milestone in the history of China's financial development. In the meantime, the global economy fluctuates in the wake of the financial crisis. International capital may take advantage of appreciating RMB in order to speculate or avoid crisis, resulting in impact on the mainland China. Both he research about stock index futures, which is a high-risk derivative itself, and the experience of operating it are inefficient in China, particularly lack of empirical analysis based on actual transaction data and systematic research. Therefore, it's a great challenge faced by the management how to balance the development of stock index futures and its regulation at the beginning period in China based on the adverse background domestically and internationally. It is also the topic of this dissertation.
The dissertation is concerned about the regulation of China's stock index futures market, focusing on the practical problems aroused after introduction of stock index futures. The dissertation studies the regulation of China's stock index futures market from the macro-perspective to the medium-perspective and then to the micro-perspective, based on which it develops strategical and tactful solutions aiming at specific problems.
At the beginning period of China's stock index futures market, the regulation framework is newly established, which needs improving. The real effect of regulation measures is to be observed and improved according to specific conditions. Based on the real market status in quo after the introduction of the stock index futures, the dissertation studies China's stock index futures market from the perspectives of regulation system, regulation institutions and measures, contract design and trading rules, so as to make the regulation more effective and more matching to the real market situation. Main arguments and conclusions are as follows.
Firstly, from the perspective of macro-regulation, the regulation mode of "one dollar three-level" widely adopted in world stock index futures markets also applies to China, while necessary adjustments and complements are needed according to the status in quo in China. The dissertation attempts to construct a new regulation system for China's stock index futures market, adjusting the regulating emphasis and expanding the regulation rights of the second and third layers, so as to make the regulation system function comprehensively.
Secondly, the dissertation develops several main measures to enhance regulation from the medium-perspective, including coordinating regulation in both the futures market and the spot market, educating investors, and enhancing the direct regulation of the exchange.
Thirdly, the dissertation, from the micro-perspective, analyses the contract design and trading rules based on the real transaction data of China's CSI 300 Index Futures. Improving suggestions are raised at last, including reducing the contract multiplier of current 300 yuan/point or developing small-sized stock index futures contract in order to meet the demand of medium and small investors, reducing the price limits or subsection settings,setting Circuit Breaker system to reducing Regulatory lacunae and Prevent speculation.
The dissertation, combining theory and practice together systematically, studies the regulation of China's stock index futures market in reference to the foreign experiences and China's status in quo. Conclusions and suggestions are developed cautiously to improve and enhance regulation, which is a reference to the market management. They may have active effect on the improvement of regulation of China's stock index futures market and the promotion of the healthy devotement of the market.
随着中国经济的连年快速增长和资本市场对外开放的程度不断提高,国内对金融避险工具的需求越来越迫切。在筹备了五年之后,中国沪深300股指期货终于在2010年4月推出,它改变了中国股市多年来只能做多的格局,对完善和稳定市场内在机制、促进金融创新、拓展资本市场的广度和深度等方面都有着积极的作用,在中国金融发展史上具有划时代的意义。然而此时,金融危机刚刚过去,全球经济动荡不安,出于投机、保值等动机的国际资本可能会借道不断升值的人民币而对中国内地市场造成冲击,同时股指期货本身就是一个具有高风险的金融衍生品种,国内对它的研究和经验都还不足,尤其是缺乏基于其真实交易数据的实证分析和系统性的研究,所以在中国对其进行首次尝试的初期阶段,在这样不利的内外大背景下,如何兼顾其发展与监管,这对管理层提出较高要求,也是本文的研究主题。
论文主要研究了中国股指期货市场的监管问题,着重分析中国股指期货推出后的实际情况,归结市场的问题所在,然后由宏观到微观、自上而下地对中国股指期货市场的监管进行研究,针对其中的具体问题给出先战略性后战术性的解决方案。
论文认为,中国股指期货市场尚处建立初期,对其监管的框架刚刚搭建,还有待完善,包括一系列监管举措的实际效用还有待观察和因地制宜地改进。论文基于对中国股指期货推出后的真实市场情况,从中国股指期货市场的监管体系、监管制度与措施、合约设计与交易制度等方面分别进行了研究,力求使其监管作用更具实效,与市场实际情况合理匹配,主要的工作和结论如下：
1、在监管的宏观方面,论文认为世界股指期货市场普遍采用的“一元三级”监管模式也同样可被应用于中国,但必须结合中国市场实际情况而对其适当地进行调整和补充,为此本文尝试性地构建了一个专门针对中国股指期货市场的新型监管体系,来重新调整监管重心,扩大了第二、三层级的监管职权,使市场各方监管机制综合地发挥实际效用；
2、为确保监管体系的顺利运行,论文再从中观角度研究了加强监管的几项主要措施,包括：跨期、现两市联合监管、培育投资者队伍、加强一线监管等,并就此展开详实的论述；
3、继宏观和中观之后,论文再深入到与监管相关的微观层面进行研究,为此论文采用了中国股指期货沪深300合约上市后真实的交易数据来作为研究的基础和依据,对其进行多项统计和对比,从合约设计及交易制度在市场建立初期定价过程中的适用性和实效性角度进行了论证后,提出完善建议,包括：建议适当降低目前300元／点的合约乘数水平或尽快推出小型股指期货合约以满足中小投资者需要求、缩小涨跌停板幅度或对其分段设置、增加熔断机制以弥补监管疏漏并遏制投机行为等。
论文紧密地将理论和市场实务有机结合在一起,借鉴国外经验并结合国内实际情况对中国股指期货市场的监管问题进行了有限的研究,谨慎地提出了有针对性的改进并加强监管的结论和建议,仅供市场管理者参考,对促进中国股指期货市场监管的完善与成熟、推进市场健康稳定发展具有积极的意义。
The value line futures contract was introduced by Kansas City Board of Trade (KCBT) in 1982. After 28-year's development, stock index futures has become one of the most successful financial derivatives in international capital markets. It proves to play an important role in avoiding risks of financial capital, improving the function of the stock market, and promoting the development of the financial system. Nevertheless, international experience shows that it is also exposed to new risks. Without proper regulation, it will not only harm the capital market itself, but also endanger the national financial system, even the real economy. Therefore, it has long been a project under research in countries how to regulate the stock index futures scientifically and reasonably so as to improve its development smoothly.
With the rapid growth of the Chinese economy and more opening up of the capital market, the domestic demand of financial instruments to avoid risks becomes more and more urgent. After five-year's preparation, China's HS300 Stock Index Futures was finally launched in April 2010. It has changed the long pattern in China's stock market, playing an active role in improving and stabilizing the internal market mechanisms, promoting financial innovation and expanding the width and depth of capital markets. It is a milestone in the history of China's financial development. In the meantime, the global economy fluctuates in the wake of the financial crisis. International capital may take advantage of appreciating RMB in order to speculate or avoid crisis, resulting in impact on the mainland China. Both he research about stock index futures, which is a high-risk derivative itself, and the experience of operating it are inefficient in China, particularly lack of empirical analysis based on actual transaction data and systematic research. Therefore, it's a great challenge faced by the management how to balance the development of stock index futures and its regulation at the beginning period in China based on the adverse background domestically and internationally. It is also the topic of this dissertation.
The dissertation is concerned about the regulation of China's stock index futures market, focusing on the practical problems aroused after introduction of stock index futures. The dissertation studies the regulation of China's stock index futures market from the macro-perspective to the medium-perspective and then to the micro-perspective, based on which it develops strategical and tactful solutions aiming at specific problems.
At the beginning period of China's stock index futures market, the regulation framework is newly established, which needs improving. The real effect of regulation measures is to be observed and improved according to specific conditions. Based on the real market status in quo after the introduction of the stock index futures, the dissertation studies China's stock index futures market from the perspectives of regulation system, regulation institutions and measures, contract design and trading rules, so as to make the regulation more effective and more matching to the real market situation. Main arguments and conclusions are as follows.
Firstly, from the perspective of macro-regulation, the regulation mode of "one dollar three-level" widely adopted in world stock index futures markets also applies to China, while necessary adjustments and complements are needed according to the status in quo in China. The dissertation attempts to construct a new regulation system for China's stock index futures market, adjusting the regulating emphasis and expanding the regulation rights of the second and third layers, so as to make the regulation system function comprehensively.
Secondly, the dissertation develops several main measures to enhance regulation from the medium-perspective, including coordinating regulation in both the futures market and the spot market, educating investors, and enhancing the direct regulation of the exchange.
Thirdly, the dissertation, from the micro-perspective, analyses the contract design and trading rules based on the real transaction data of China's CSI 300 Index Futures. Improving suggestions are raised at last, including reducing the contract multiplier of current 300 yuan/point or developing small-sized stock index futures contract in order to meet the demand of medium and small investors, reducing the price limits or subsection settings,setting Circuit Breaker system to reducing Regulatory lacunae and Prevent speculation.
The dissertation, combining theory and practice together systematically, studies the regulation of China's stock index futures market in reference to the foreign experiences and China's status in quo. Conclusions and suggestions are developed cautiously to improve and enhance regulation, which is a reference to the market management. They may have active effect on the improvement of regulation of China's stock index futures market and the promotion of the healthy devotement of the market.
引文
①唐齐鸣,陈健.中国股市的ARCH效应分析[J].世界经济.2001,(3)：29-36.
②朱玉辰.股指期货系“小众市场”[N].中国证券报,2010-03-03.
①即当价格即将接近涨跌幅限制时,交易量放大,涨跌幅限制进一步拉动价格接近涨跌停板。
①“金融不稳定假说”的形成始于1963年明斯基在任布朗大学经济学教授时发表的一篇著名论文《“它”会再次发生吗?》
② Cho I.K., Kreps D.M.,1987,Signaling Games and Stable Equilibria[J].The Quarterly Journal of Economics. Vol.102, No.2, pp.179-222.
①陈捷,曹咏.国君证券回应做空期指：确有此事[N].21世纪经济报道,2010-06-25.
①本文此处“市场平均日成交额”指的是每一阶段挂牌的四个合约的每日总成交金额再逐日汇总后的算术平均值。
②本文此处“股指期货的平均日成交量与持仓量”指的也是每一阶段挂牌的四个合约的每日成交量与持仓量逐日汇总后的算术平均值。
①金水.中金所打击高频交易股指期货交易巨量缩水[N].华夏时报,2010-06-19.
①目前亚洲股指期货市场交易量已占据全球股指期货1/3的市场份额。
①黄杰.证监会建金融期货监管部一行三会护航股指期货[N].中国经营报,2006-10-28.
①阿米维斯特流动性比率最早是由一家名为“阿米维斯特”(Amivest)的公司发明,对市场进行流动性测试的指标,其对每百分之一股价变动所导致的交易资金量的变化进行测算。比例越高说明在微小价位变化下可以交易的股票越多。
②黄杰,程涛,张曙光.外资建立无数拖拉机账户围剿中国股指期货[N].中国经营报,2008-02-24.
① Vicentiu Covrig, David K. Ding,2004, " The Contribution of a Satellite Market to Price Discovery: Evidence from the Singapore Exchange"[J]. Journal of futures markets,Vol.24,No.10, pp.981-1004.
①因为不一定非要达到涨跌停板才代表着熔断点未能阻挡住价格的继续剧烈变化.
①以数据统计日期2010-02-08的收盘价格为准。
②以数据统计日期2010-02-08的收盘价格为准。
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①即当价格即将接近涨跌幅限制时,交易量放大,涨跌幅限制进一步拉动价格接近涨跌停板。
①“金融不稳定假说”的形成始于1963年明斯基在任布朗大学经济学教授时发表的一篇著名论文《“它”会再次发生吗?》
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①本文此处“市场平均日成交额”指的是每一阶段挂牌的四个合约的每日总成交金额再逐日汇总后的算术平均值。
②本文此处“股指期货的平均日成交量与持仓量”指的也是每一阶段挂牌的四个合约的每日成交量与持仓量逐日汇总后的算术平均值。
①金水.中金所打击高频交易股指期货交易巨量缩水[N].华夏时报,2010-06-19.
①目前亚洲股指期货市场交易量已占据全球股指期货1/3的市场份额。
①黄杰.证监会建金融期货监管部一行三会护航股指期货[N].中国经营报,2006-10-28.
①阿米维斯特流动性比率最早是由一家名为“阿米维斯特”(Amivest)的公司发明,对市场进行流动性测试的指标,其对每百分之一股价变动所导致的交易资金量的变化进行测算。比例越高说明在微小价位变化下可以交易的股票越多。
②黄杰,程涛,张曙光.外资建立无数拖拉机账户围剿中国股指期货[N].中国经营报,2008-02-24.
① Vicentiu Covrig, David K. Ding,2004, " The Contribution of a Satellite Market to Price Discovery: Evidence from the Singapore Exchange"[J]. Journal of futures markets,Vol.24,No.10, pp.981-1004.
①因为不一定非要达到涨跌停板才代表着熔断点未能阻挡住价格的继续剧烈变化.
①以数据统计日期2010-02-08的收盘价格为准。
②以数据统计日期2010-02-08的收盘价格为准。
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