内地和香港权证发行与交易制度—效率比较研究
摘要
在国际证券市场上,权证产品历史悠久,并且在欧洲及香港地区交易活跃,在证券市场上扮演着重要角色。随着内地金融市场的逐渐成熟,对于权证这一重要的金融衍生工具的需求也与日俱增。内地权证产生的特殊性及其在1992-1996年间的试验失败,使当前内地权证市场的发展面临重大考验。通过南航权证等几只权证的市场表现来看,当初为“反投机”而由券商创设的权证缘何违背管理层初衷,沦落为“赌博工具”,甚至背上了股市“绞肉机”的恶名,发人深思。造成这些问题的原因是多方面的,本文认为内地权证市场问题频发的主要原因还是制度不够完善。而反观香港权证市场,则得益于制度优势而蓬勃发展。因此,如何规范内地权证市场,成为目前急需解决的问题,这对于内地资本市场的发展起着至关重要的作用。对于当前衍生品市场尚不发达的内地来说,可以从香港市场学习先进的经验,在吸取经验教训的同时,应该更多的关注金融衍生品在内地的发展,要使金融衍生工具实实在在为我所用,助我避险。本文力图从制度-效率的角度出发,着重比较研究香港与内地权证市场发行与交易的制度-效率,希望能提出内地权证制度-效率的改进措施。
第一章是引论,主要阐述研究内地权证市场发行与交易制度-效率的背景与意义,并对相关核心概念、国内外有关于权证制度-效率研究的文献进行分类阐述,最后对本文_的主要内容、论文的逻辑框架、研究思路、方法以及创新与不足进行简单介绍。
第二章是权证发行与交易制度的经济学机理分析,提出核心命题并对权证发行制度-效率的内在传导机制进行剖析,建立支持核心观点的理论支撑。
第三章是香港与内地权证发行制度-效率比较研究,通过对香港与内地权证发行制度-效率的比较,发现与香港相比,内地权证发行制度-效率均低于香港权证市场。
第四章是香港与内地权证交易制度-效率比较研究,通过对香港与内地权证交易制度-效率的比较,发现与香港相比,内地权证交易制度-效率均低于香港权证市场。
第五章是提高内地权证市场发行与交易制度-效率的对策建议。
本文通过实证比较研究,结果表明内地权证市场在发行与交易制度-效率上远远低于香港权证市场。最后,提出了一些提高内地权证市场发行制度-效率的对策建议。进一步提高内地权证发行与交易制度-效率的主要办法为:对发行人资格做出严格限制,同时提高发行人的素质;开发新的权证种类,为投资者提供更多的选择;引入卖空机制;完善创设机制;实行分散交易制度;引入和完善做市商制度,完善权证T+O交易制度。
The warrants product has a long history and played an important role at the international stock market, and it is an active trading product in Europe and Hong Kong. With the mainland's financial markets mature, the demand of derivative financial instruments is also growing. Due to the special nature of our warrants, as well as the failure of the test between 1992 and 1996, the development of mainland warrants market is facing new challenges. Through the market performance of the CZ warrants and so on, it is worth to speculate the reasons that the warrants which were created by dealers for the purpose of anti-speculation have violated the managers' mind and became the "tools of gambling", even have burdened the notoriety "meat chopper of stock market". For the Mainland which the underdeveloped derivatives market, it is necessary to draw lessons from the above mentioned deficiencies, however, the most important things are that paying close attention to the development of financial derivatives in the Mainland and taking use of the tools of financial derivatives. Therefore, how to regulate the Mainland warrants market has become An Urgent Problem to be solved at present, and it plays an important role for the development of the Mainland capital market. This thesis starts from the view of the system - the efficiency point, and focus on comparative study between Hong Kong's issuing warrants trading system - efficiency and the Mainland market's, for the purpose of getting measures about the efficiency improvement.
The first chapter is the introduction. It mainly describes the background and significance of warrant issuance and trading systems - the efficiency in the Mainland market, and introduces the related core concepts and literatures about warrants system -efficiency at home and abroad. Finally, this thesis briefly introduces the main contents, the logical framework, research ideas, methods, innovation and weakness of the thesis.
The second chapter is an economic mechanism analysis of warrants issuing and trading systems. It proposes a core proposition and analyzes the internal transmission mechanism of warrants distribution system - efficiency to establish the theoretical support for the core viewpoints.
The third chapter compares warrants distribution system - efficiency between Hong Kong and the Mainland. Through the comparison, we found Warrants distribution in Hong Kong isn't less efficient than that in the Mainland.
The fourth chapter is a comparative study on warrants trading systems - the efficiency between Hong Kong and the Mainland. Through the comparison, we found Warrants trading in Hong Kong isn't less efficient than that in the Mainland.
The fifth Chapter is to offer related countermeasures on how to improve warrant issuance and trading systems - the efficiency in the Mainland market.
This study was an empirical comparative study. The results show that warrants issuing and trading system - efficiency of the mainland market is less efficient than that of Hong Kong Market. Finally, the thesis offer some related countermeasures on how to improve warrant issuance and trading systems - the efficiency in the Mainland market, including Improving the quality of the issuer; Developing new types of warrants; Improving the creation of mechanisms; Introducing the decentralized trading system; Introducing and improving the market maker system; Improving T +0 trading system warrants; Introducing the mechanism of short selling.
第一章是引论,主要阐述研究内地权证市场发行与交易制度-效率的背景与意义,并对相关核心概念、国内外有关于权证制度-效率研究的文献进行分类阐述,最后对本文_的主要内容、论文的逻辑框架、研究思路、方法以及创新与不足进行简单介绍。
第二章是权证发行与交易制度的经济学机理分析,提出核心命题并对权证发行制度-效率的内在传导机制进行剖析,建立支持核心观点的理论支撑。
第三章是香港与内地权证发行制度-效率比较研究,通过对香港与内地权证发行制度-效率的比较,发现与香港相比,内地权证发行制度-效率均低于香港权证市场。
第四章是香港与内地权证交易制度-效率比较研究,通过对香港与内地权证交易制度-效率的比较,发现与香港相比,内地权证交易制度-效率均低于香港权证市场。
第五章是提高内地权证市场发行与交易制度-效率的对策建议。
本文通过实证比较研究,结果表明内地权证市场在发行与交易制度-效率上远远低于香港权证市场。最后,提出了一些提高内地权证市场发行制度-效率的对策建议。进一步提高内地权证发行与交易制度-效率的主要办法为:对发行人资格做出严格限制,同时提高发行人的素质;开发新的权证种类,为投资者提供更多的选择;引入卖空机制;完善创设机制;实行分散交易制度;引入和完善做市商制度,完善权证T+O交易制度。
The warrants product has a long history and played an important role at the international stock market, and it is an active trading product in Europe and Hong Kong. With the mainland's financial markets mature, the demand of derivative financial instruments is also growing. Due to the special nature of our warrants, as well as the failure of the test between 1992 and 1996, the development of mainland warrants market is facing new challenges. Through the market performance of the CZ warrants and so on, it is worth to speculate the reasons that the warrants which were created by dealers for the purpose of anti-speculation have violated the managers' mind and became the "tools of gambling", even have burdened the notoriety "meat chopper of stock market". For the Mainland which the underdeveloped derivatives market, it is necessary to draw lessons from the above mentioned deficiencies, however, the most important things are that paying close attention to the development of financial derivatives in the Mainland and taking use of the tools of financial derivatives. Therefore, how to regulate the Mainland warrants market has become An Urgent Problem to be solved at present, and it plays an important role for the development of the Mainland capital market. This thesis starts from the view of the system - the efficiency point, and focus on comparative study between Hong Kong's issuing warrants trading system - efficiency and the Mainland market's, for the purpose of getting measures about the efficiency improvement.
The first chapter is the introduction. It mainly describes the background and significance of warrant issuance and trading systems - the efficiency in the Mainland market, and introduces the related core concepts and literatures about warrants system -efficiency at home and abroad. Finally, this thesis briefly introduces the main contents, the logical framework, research ideas, methods, innovation and weakness of the thesis.
The second chapter is an economic mechanism analysis of warrants issuing and trading systems. It proposes a core proposition and analyzes the internal transmission mechanism of warrants distribution system - efficiency to establish the theoretical support for the core viewpoints.
The third chapter compares warrants distribution system - efficiency between Hong Kong and the Mainland. Through the comparison, we found Warrants distribution in Hong Kong isn't less efficient than that in the Mainland.
The fourth chapter is a comparative study on warrants trading systems - the efficiency between Hong Kong and the Mainland. Through the comparison, we found Warrants trading in Hong Kong isn't less efficient than that in the Mainland.
The fifth Chapter is to offer related countermeasures on how to improve warrant issuance and trading systems - the efficiency in the Mainland market.
This study was an empirical comparative study. The results show that warrants issuing and trading system - efficiency of the mainland market is less efficient than that of Hong Kong Market. Finally, the thesis offer some related countermeasures on how to improve warrant issuance and trading systems - the efficiency in the Mainland market, including Improving the quality of the issuer; Developing new types of warrants; Improving the creation of mechanisms; Introducing the decentralized trading system; Introducing and improving the market maker system; Improving T +0 trading system warrants; Introducing the mechanism of short selling.
引文
[1]散户京城对话证监会:质疑权证创设制度不公平(2)[EB/OL].http://www.zgirw.com/News/2008117/News/663388774701.html
[2]“反投机”权证成了股市“绞肉机”--南航权证谢幕后的思考[N].今日早报.2008-6-14.(23).
[3]马红漫.制度漏洞沦权证创设为券商套利温床[N].第一财经日报.2007-6-8.(A07).
[1]维基百科-权证[EB/OL].http://zh.wikipedia.org/zh-cn/%E6%9D%83%E8%AF%81
[1]马克思 恩格斯[德],共产党宣言[M].北京:外语教学与研究出版社,1998.
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[1]战松.制度与效率:基于中国债券市场的思考[D].四川成都:西南财经大学,2006.
[2]范恒森.金融制度学探索[M].中国金融出版社.2000年.
[1]徐璇.中国金融制度-效率研究fD].江苏南京:南京师范大学,2006.
[1]李婷.我国企业债券市场效率评析及制度创新[D].上海:同济大学.2008.
[1]数据来源:香港证券交易所官方网站/衍生品资料
[1]2009年上海证券交易所统计年鉴,2008年深圳证券交易所统计年鉴
[1]黄松挺.沪深权证定价效率实证研究[D],湖南长沙:湖南大学.2008..
[1]香港交易所.香港联合交易所有限公司证券上市规则.1992.
[1]钟欣.再谈权证创设制度.中国证券报[N]2007-12-10(A16).
[2]2009年上海证券交易所统计年鉴,2008年深圳证券交易所统计年鉴.
[1]维基百科-分散交易[EB/OL].http://www.hudong.com/wiki/%E5%88%86%E6%95%A3%E4%BA%A4%E6%98%93
[2]根据香港证券交易所网站/投资者/衍生权证资料统计得出.
[1]百度百科-做市商制度[EB/OL].http://baike.baidu.com/view/343293.htm?fr=ala0
[1]百度百科-对冲机制[EB/OL].http://baike.baidu.com/view/1252881_htm?fr=ala0
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[2]“反投机”权证成了股市“绞肉机”--南航权证谢幕后的思考[N].今日早报.2008-6-14.(23).
[3]马红漫.制度漏洞沦权证创设为券商套利温床[N].第一财经日报.2007-6-8.(A07).
[1]维基百科-权证[EB/OL].http://zh.wikipedia.org/zh-cn/%E6%9D%83%E8%AF%81
[1]马克思 恩格斯[德],共产党宣言[M].北京:外语教学与研究出版社,1998.
[2]道格拉斯·C·诺斯[美].制度、制度变迁与经济绩效[M].上海:上海三联书店,1994.
[3]道格拉斯·C·诺斯[美].制度、制度变迁与经济绩效[M].上海:上海三联书店,1994.
[4]道格拉斯·C·诺斯[美].制度、制度变迁与经济绩效[M].上海:上海三联书店,1994.
[1]战松.制度与效率:基于中国债券市场的思考[D].四川成都:西南财经大学,2006.
[2]范恒森.金融制度学探索[M].中国金融出版社.2000年.
[1]徐璇.中国金融制度-效率研究fD].江苏南京:南京师范大学,2006.
[1]李婷.我国企业债券市场效率评析及制度创新[D].上海:同济大学.2008.
[1]数据来源:香港证券交易所官方网站/衍生品资料
[1]2009年上海证券交易所统计年鉴,2008年深圳证券交易所统计年鉴
[1]黄松挺.沪深权证定价效率实证研究[D],湖南长沙:湖南大学.2008..
[1]香港交易所.香港联合交易所有限公司证券上市规则.1992.
[1]钟欣.再谈权证创设制度.中国证券报[N]2007-12-10(A16).
[2]2009年上海证券交易所统计年鉴,2008年深圳证券交易所统计年鉴.
[1]维基百科-分散交易[EB/OL].http://www.hudong.com/wiki/%E5%88%86%E6%95%A3%E4%BA%A4%E6%98%93
[2]根据香港证券交易所网站/投资者/衍生权证资料统计得出.
[1]百度百科-做市商制度[EB/OL].http://baike.baidu.com/view/343293.htm?fr=ala0
[1]百度百科-对冲机制[EB/OL].http://baike.baidu.com/view/1252881_htm?fr=ala0
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