股指期货标的指数选择研究
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摘要
在我国即将推出股指期货之际,管理层最大的顾虑是股指期货对市场可能带来的风险。在股指期货交易风险控制的多种角度和措施中,股指期货标的指数的选择是交易风险控制的基础问题。在这种背景下,如何选择适合中国特色的股指期货标的指数,是本文所关心的问题。
本文首次将博弈论技术引入股指期货标的指数的选择中,指出大力发展套期保值者和套利者,是管理层有效提高投机者操纵成本,抑制投机者操纵市场,同时又不提高监管成本的有效措施。分析只有同时有利于套期保值者、套利者和投机者的股指期货品种,才是能有效控制风险的品种。
本文在第四章分析了股指期货的主要参与人及其博弈的规则,建立他们之间博弈的基本模型。
第五章通过对海外市场推出股指期货前后,现货市场的波动性、流动性、和估值标准的变化情况实证分析,指出期货的出现并不能改变现货市场固有特征,从而支持本文建立在未推出股指期货前的市场上的分析结论是有指导意义的。
第六章为“从套期保值角度看我国股指期货标的指数选择”,分为我国现阶段投资者构成、国内A股市场系统风险分析、用套期保值理论模型和绩效衡量指标,对我国现各类指数的套保效果实证分析结果,共3部分。
第七章为“从套利角度看我国股指期货标的指数选择”,主要从指数成分股分红预测、和成分股流动性分析两方面,比较在套利者眼里各指数的优劣。
第八章为“从投机角度看我国股指期货标的指数选择”,主要从各指数市场代表性、波动性和可操纵性几方面,比较在投机者眼里各指数的优劣,并给出反过度投机的措施。
第九章在综合前面几章节分析结论的基础上,给出了适合我国股指期货标的指数需要具备的几项要素,并对我国合约设计和制度设计提出了建议。
Before the establishment of index futures in China, the biggest issue people may concern is that the index futures might increase the riskiness of the market. We might have different visions and different methods of trading risk control of the market, however choosing an optimal underlying index act the most important and fundamental role in risk control. Therefore, an appropriate selection of the underlying index for the Chinese market is the key argument of this article.
First of all, game theory methodology will be introduced into the selection of underlying index, and we try to explain why hedgers and arbitragers are crucial to the index futures market in China. The reasons to encourage these two kinds of investors are that, they will increase speculators’transaction cost as well as restricting speculators from destabilizing the market. However, they would not affect the cost of regulation management. Therefore, an optimal index futures product with efficiently risk control must be benefit for hedgers, arbitragers and speculators.
In chapter 4, we focus on the participators in index futures market, and the role of the game theory, thus establish a game theory model which connect with players in the futures market.
In chapter 5, we investigate on the change in volatilities, liquidity and estimation of the spot market after the accomplishment of index futures in oversea markets. We conclude that the issue of index futures does not essentially change the feature of the spot market. Therefore, the analysis of this report on futures index is evidently significant.
In chapter 6, we discuss the choosing of underlying index for hedging purpose in China, including the structure of investors in China, A-share systematic risk analysis, hedging theoretical models and their measure of performance, for testing the hedging performance of existing indices in China.
In chapter 7, we discuss the choosing of underlying index for arbitraging purpose in China. This includes three parts, the dividend expectation of index components, the liquidity of index components, and comparing the advantage and disadvantage of different indices for arbitrage.
In chapter 8, we discuss the choosing of underlying index for speculating purpose in China. This mainly research on indices volatilities, market-representative properties and operational properties. Finally we compare the advantage and disadvantage of different indices for speculating purpose and thus find a method to restrict them from over-speculating.
In chapter 9, according to the argument from above chapters we find appropriate and essential factors for choosing an optimal underlying index and the suggestion for index futures contract design and construction.
本文首次将博弈论技术引入股指期货标的指数的选择中,指出大力发展套期保值者和套利者,是管理层有效提高投机者操纵成本,抑制投机者操纵市场,同时又不提高监管成本的有效措施。分析只有同时有利于套期保值者、套利者和投机者的股指期货品种,才是能有效控制风险的品种。
本文在第四章分析了股指期货的主要参与人及其博弈的规则,建立他们之间博弈的基本模型。
第五章通过对海外市场推出股指期货前后,现货市场的波动性、流动性、和估值标准的变化情况实证分析,指出期货的出现并不能改变现货市场固有特征,从而支持本文建立在未推出股指期货前的市场上的分析结论是有指导意义的。
第六章为“从套期保值角度看我国股指期货标的指数选择”,分为我国现阶段投资者构成、国内A股市场系统风险分析、用套期保值理论模型和绩效衡量指标,对我国现各类指数的套保效果实证分析结果,共3部分。
第七章为“从套利角度看我国股指期货标的指数选择”,主要从指数成分股分红预测、和成分股流动性分析两方面,比较在套利者眼里各指数的优劣。
第八章为“从投机角度看我国股指期货标的指数选择”,主要从各指数市场代表性、波动性和可操纵性几方面,比较在投机者眼里各指数的优劣,并给出反过度投机的措施。
第九章在综合前面几章节分析结论的基础上,给出了适合我国股指期货标的指数需要具备的几项要素,并对我国合约设计和制度设计提出了建议。
Before the establishment of index futures in China, the biggest issue people may concern is that the index futures might increase the riskiness of the market. We might have different visions and different methods of trading risk control of the market, however choosing an optimal underlying index act the most important and fundamental role in risk control. Therefore, an appropriate selection of the underlying index for the Chinese market is the key argument of this article.
First of all, game theory methodology will be introduced into the selection of underlying index, and we try to explain why hedgers and arbitragers are crucial to the index futures market in China. The reasons to encourage these two kinds of investors are that, they will increase speculators’transaction cost as well as restricting speculators from destabilizing the market. However, they would not affect the cost of regulation management. Therefore, an optimal index futures product with efficiently risk control must be benefit for hedgers, arbitragers and speculators.
In chapter 4, we focus on the participators in index futures market, and the role of the game theory, thus establish a game theory model which connect with players in the futures market.
In chapter 5, we investigate on the change in volatilities, liquidity and estimation of the spot market after the accomplishment of index futures in oversea markets. We conclude that the issue of index futures does not essentially change the feature of the spot market. Therefore, the analysis of this report on futures index is evidently significant.
In chapter 6, we discuss the choosing of underlying index for hedging purpose in China, including the structure of investors in China, A-share systematic risk analysis, hedging theoretical models and their measure of performance, for testing the hedging performance of existing indices in China.
In chapter 7, we discuss the choosing of underlying index for arbitraging purpose in China. This includes three parts, the dividend expectation of index components, the liquidity of index components, and comparing the advantage and disadvantage of different indices for arbitrage.
In chapter 8, we discuss the choosing of underlying index for speculating purpose in China. This mainly research on indices volatilities, market-representative properties and operational properties. Finally we compare the advantage and disadvantage of different indices for speculating purpose and thus find a method to restrict them from over-speculating.
In chapter 9, according to the argument from above chapters we find appropriate and essential factors for choosing an optimal underlying index and the suggestion for index futures contract design and construction.
引文
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