中国股指期货市场交易者结构合理化问题研究
|
摘要
自1982年美国堪萨斯期货交易所推出世界上第一个股票指数期货合约后,经过近30年的发展,股指期货交易已成为国际金融市场的重要组成部分,而其本身也成为现代金融创新过程中出现的最重要、最成功的金融衍生品之一。本论文从世界各国、地区成功推出的几种重要股指期货入手,深入分析了由中国金融期货交易所推出的沪深300股指期货仿真交易合约样本,并将我国股指期货的交易者分成四类,继而阐述了股指期货的推出对交易者结构合理化的影响,最后提出作者的观点:我国拟推出的沪深300股指期货,无论从理论上还是仿真交易出现的行情上,都显示其并不适合绝大多数中小投资者直接投资,但却是他们参与证券市场的重要参考指标。在推出股指期货的过程中,我国的监管者应重点防范境外投机者,适度发展境内投机者,大力培植境内外机构投资者。最终,建立合理的交易者结构,完善我国金融期货期权市场体系。
本论文共四章,分别从不同角度对股指期货交易者结构合理化问题做了研究说明。
一、二章简述了股指期货的概念、世界主要股指期货品种及我国发展股指期货的条件。重点介绍了中金所公布的沪深300指数合约仿真交易样本及相关交易细则,并认为我国已具备在适当时机推出股指期货的条件。
三、四章是本文的重点,首先将我国的股指期货交易者分类,主要包括:境外套期保值者(QFII)、境外投机套利者(对冲基金)、境内主要套期保值者(机构投资者)和境内主要投机套利者(炒手)。然后运用市场深度测算、交易安全保障性分析、仿真交易实时行情演算等方法对各类交易者的制度安排进行比较分析并得出相关结论。最后,总结了笔者的观点,合理的交易者结构是保障股指期货交易正常运行的基础;按照市场发展阶段动态地调整交易者结构是我国股指期货市场良性发展的明智选择。
With nearly 30 years' development, stock index futures have been the most important part of international financial market and the most successful derivatives in the process of financial innovation as well, since KCBT offered the first stock index futures contract in 1982. Started with introduction of several key stock index futures among the world, I analyze the sample of Hu-Shen 300 security index future imitating contract, offered by China Financial Futures Exchange (CFFE). Based on which, I divide the investor into four types, and make analysis of the influence for them, which comes to a conclusion that, the planned Hu-Shen 300 stock index futures, is not suitable for small and middle sized investors, either theoretically or practically, though it could be a useful reference for investment. For the supervision, China should focus on overseas speculators, while allow the domestic ones in certain extent, what's vital is to develop institutional investors both overseas and domestic. Finally, proper trader structure should be built to improve China's financial futures and options market system.
This essay includes four parts, which research the rationalization of traders' structure in China stock index futures from different angles:
Chapter one and two introduce definition and types of stock index futures among the world, and analyze the conditions for China to develop stock index futures. With the introduction of the CFFE imitating contract sample and its rules, this essay concludes that China has already had the condition to launch stock index futures.
The third and fourth parts, which are the highlights of this essay, divide China's stock index futures investors into four types, which are: overseas investors, overseas speculators, domestic investors and domestic speculators. In order to obtain the conclusion, these two parts use the methods of ADL calculation, transaction security analysis, and imitating transaction estimation to analyze the influence for all kinds of traders. Lastly, I make a conclusion that proper trader structure is the basis for China stock index futures to operate effectively and dynamic adjusting of the structure is the wise choice to develop our futures market.
本论文共四章,分别从不同角度对股指期货交易者结构合理化问题做了研究说明。
一、二章简述了股指期货的概念、世界主要股指期货品种及我国发展股指期货的条件。重点介绍了中金所公布的沪深300指数合约仿真交易样本及相关交易细则,并认为我国已具备在适当时机推出股指期货的条件。
三、四章是本文的重点,首先将我国的股指期货交易者分类,主要包括:境外套期保值者(QFII)、境外投机套利者(对冲基金)、境内主要套期保值者(机构投资者)和境内主要投机套利者(炒手)。然后运用市场深度测算、交易安全保障性分析、仿真交易实时行情演算等方法对各类交易者的制度安排进行比较分析并得出相关结论。最后,总结了笔者的观点,合理的交易者结构是保障股指期货交易正常运行的基础;按照市场发展阶段动态地调整交易者结构是我国股指期货市场良性发展的明智选择。
With nearly 30 years' development, stock index futures have been the most important part of international financial market and the most successful derivatives in the process of financial innovation as well, since KCBT offered the first stock index futures contract in 1982. Started with introduction of several key stock index futures among the world, I analyze the sample of Hu-Shen 300 security index future imitating contract, offered by China Financial Futures Exchange (CFFE). Based on which, I divide the investor into four types, and make analysis of the influence for them, which comes to a conclusion that, the planned Hu-Shen 300 stock index futures, is not suitable for small and middle sized investors, either theoretically or practically, though it could be a useful reference for investment. For the supervision, China should focus on overseas speculators, while allow the domestic ones in certain extent, what's vital is to develop institutional investors both overseas and domestic. Finally, proper trader structure should be built to improve China's financial futures and options market system.
This essay includes four parts, which research the rationalization of traders' structure in China stock index futures from different angles:
Chapter one and two introduce definition and types of stock index futures among the world, and analyze the conditions for China to develop stock index futures. With the introduction of the CFFE imitating contract sample and its rules, this essay concludes that China has already had the condition to launch stock index futures.
The third and fourth parts, which are the highlights of this essay, divide China's stock index futures investors into four types, which are: overseas investors, overseas speculators, domestic investors and domestic speculators. In order to obtain the conclusion, these two parts use the methods of ADL calculation, transaction security analysis, and imitating transaction estimation to analyze the influence for all kinds of traders. Lastly, I make a conclusion that proper trader structure is the basis for China stock index futures to operate effectively and dynamic adjusting of the structure is the wise choice to develop our futures market.
引文
[1]Anonymous.Sharp drop in open interest of stock futures.Business line Chennai,Mar 4,2008
[2]Frank J.Fabozzi & Gregory M.Kipnis.The Handbook of Stock Index Futures &Options.Dow Jones-Irwin,1989
[3]John Millers.Stock Index Options and Futures.McGraw-Hill Book Company,1992
[4]Joshua Floyd.Thermodynamics,entropy and disorder in futures studies.Futures Kidlington,Nov 2007.Vol.39,Iss.9,pg.1029
[5]Kip Thompson.A Case For Managed Futures Portfolio Diversification Opportunities.Granite Asset Management:Alternative investment,2006
[6]Mark Rosenberg.The Role of Managed Futures Strategies within Investment Portfolios.Yale University,2005
[7]Neil S.Weiner.A Guide for Traders,Investors and Analysts.John Wiley & Sons,1984
[8]毕玉升,王效俐,朱萍,吴益军.股指期货等衍生品推出对券商的影响[J].金融理论与实践,2007,(11):64-67
[9]蔡咏.证券公司开展股指期货业务的风险与监管对策[N].上海证券报,2008-3-6
[10]陈幼红.股指期货投资的风险及其防范[J].商业时代,2008,(1):66-67
[11]程凯.从沪深300合约看中小投资者参与股指期货买卖[J].中国集体经济(下半月),2007,(11):85-86
[12]褚块海.中国期货市场风险研究[M].北京:中国财政经济出版社,2001
[13]楚展志.主动应对股指期货的影响[J].大众理财,2007,(4):51
[14]邓超,杨静.对发展中国期货投资基金问题的探讨[J].河南金融管理干部学院学报,2007,(5):94-98
[15]房振明.股指期货推出背景下券商如何把握机遇[N].上海证券报,2006-8-18
[16]高琼华.投资者应对股指期货投资风险探析[J].昆明冶金高等专科学校学报,2007,23(6):59-62
[17]胡俞越,李宏涛.股指期货:打通证券与期货两个市场[N].上海证券报,2006-8-10
[18]黄碧,朱雅芬.关于股指期货的若干问题分析[J].经济论坛,2007,(1):108-109
[19]蓝天祥,卢用,张龙.股指期货一月通[M].北京:北京大学出版社,2008
[20]李华,程婧.股指期货推出对股票市场波动性的影响研究[J].金融与经济,2006,(2):81-83
[21]李军峰,李丽肖.中国推行股指期货的市场环境条件分析[J].商业现代化,2006,(471):203-204
[22]刘希芬,盛朴.股指期货市场投资者结构分析[J].集团经济研究,2007,(248):95
[23]刘仲元.股指期货教程[M].上海:上海远东出版社,2007
[24]孟祥禹.股指期货-中国资本市场的润滑剂[J].财经界,2007,(1):127
[25]宋薇萍.2007年5月14日起中国股指期货仿真交易新规实施[N].国际金融报,2007-5-14
[26]宋薇萍.2007年6月28日中国金融期货交易所交易规则正式发布[N].国际金融报,2007-6-28
[27]唐衍伟,陈刚.金融衍生品一股指期货与期权[M].北京:经济科学出版社,2007
[28]万丽.境外抢先推出中国股指期货对中国股市的影响分析[J].西安金融,2006,(10):40-41
[29]王沛英.股指期货市场发展问题研究[J].武汉金融,2007,(1):43-44
[30]王莹,余庆生.对股指期货最后结算价格计算规则的研究[J].国际金融研究,2007,(2):60-65
[31]许嘉辉.创新是金融期货市场发展的生命力-美国股指期货市场的启示[J].中国金融,2007,(08):18-20
[32]杨胜刚,汪琛德.全球股指期货与期权市场的发展动向及启示[J].国际金融研究,2006,(11):36-41
[33]姚兴涛.股指期货带给证券公司的风险及外部监管[N].上海证券报,2008-3-5
[34]易彦.海外股指期货上市经验谈[J].期货日报,2007-4-23
[35]殷家祥.股指期货投资与交易实务[M].成都:西南财经大学出版社,2006
[36]张天明.决胜股指期货[M].北京:中国财政经济出版社,2007
[37]张学庆.短期助涨助跌投资者机会在哪[J].中国经济信息,2007,(22):44-45
[38]张燕.瑞银:2008年中国A股波动更剧烈[N].国际金融报,2008-1-22
[39]中国期货业协会.期货法律与监管制度[M].北京:中国财政经济出版社,2005
[40]中国期货业协会.期货市场教程[M].北京:中国财政经济出版社,2006
[41]朱振荣.中国适时推出金融创新产品股指期货的思考[J].北京工商大学学 报,2007,22(1):51-53
[42]左浩苗.韩国股指期货市场的发展经验及启示[J].商场现代化,2006,(475):327-328
[43]CBOE期货交易所有限公司网站www.cboe.com/cfe
[44]韩国期货交易所网站http://www.kofex.com/english/main.asp
[45]美国期货业协会网站www.futuresindustry.org
[46]上海期货交易所网站http://www.shfe.com.cn/
[47]世界交易所手册网站www.Exchange-handbook.co.uk
[48]香港期货交易所网站http://www.hkfe.com/
[49]中国金融期货交易所http://www.cffex.com.cn/
[50]中国期货业协会网站http://www.cfachina.org/
[2]Frank J.Fabozzi & Gregory M.Kipnis.The Handbook of Stock Index Futures &Options.Dow Jones-Irwin,1989
[3]John Millers.Stock Index Options and Futures.McGraw-Hill Book Company,1992
[4]Joshua Floyd.Thermodynamics,entropy and disorder in futures studies.Futures Kidlington,Nov 2007.Vol.39,Iss.9,pg.1029
[5]Kip Thompson.A Case For Managed Futures Portfolio Diversification Opportunities.Granite Asset Management:Alternative investment,2006
[6]Mark Rosenberg.The Role of Managed Futures Strategies within Investment Portfolios.Yale University,2005
[7]Neil S.Weiner.A Guide for Traders,Investors and Analysts.John Wiley & Sons,1984
[8]毕玉升,王效俐,朱萍,吴益军.股指期货等衍生品推出对券商的影响[J].金融理论与实践,2007,(11):64-67
[9]蔡咏.证券公司开展股指期货业务的风险与监管对策[N].上海证券报,2008-3-6
[10]陈幼红.股指期货投资的风险及其防范[J].商业时代,2008,(1):66-67
[11]程凯.从沪深300合约看中小投资者参与股指期货买卖[J].中国集体经济(下半月),2007,(11):85-86
[12]褚块海.中国期货市场风险研究[M].北京:中国财政经济出版社,2001
[13]楚展志.主动应对股指期货的影响[J].大众理财,2007,(4):51
[14]邓超,杨静.对发展中国期货投资基金问题的探讨[J].河南金融管理干部学院学报,2007,(5):94-98
[15]房振明.股指期货推出背景下券商如何把握机遇[N].上海证券报,2006-8-18
[16]高琼华.投资者应对股指期货投资风险探析[J].昆明冶金高等专科学校学报,2007,23(6):59-62
[17]胡俞越,李宏涛.股指期货:打通证券与期货两个市场[N].上海证券报,2006-8-10
[18]黄碧,朱雅芬.关于股指期货的若干问题分析[J].经济论坛,2007,(1):108-109
[19]蓝天祥,卢用,张龙.股指期货一月通[M].北京:北京大学出版社,2008
[20]李华,程婧.股指期货推出对股票市场波动性的影响研究[J].金融与经济,2006,(2):81-83
[21]李军峰,李丽肖.中国推行股指期货的市场环境条件分析[J].商业现代化,2006,(471):203-204
[22]刘希芬,盛朴.股指期货市场投资者结构分析[J].集团经济研究,2007,(248):95
[23]刘仲元.股指期货教程[M].上海:上海远东出版社,2007
[24]孟祥禹.股指期货-中国资本市场的润滑剂[J].财经界,2007,(1):127
[25]宋薇萍.2007年5月14日起中国股指期货仿真交易新规实施[N].国际金融报,2007-5-14
[26]宋薇萍.2007年6月28日中国金融期货交易所交易规则正式发布[N].国际金融报,2007-6-28
[27]唐衍伟,陈刚.金融衍生品一股指期货与期权[M].北京:经济科学出版社,2007
[28]万丽.境外抢先推出中国股指期货对中国股市的影响分析[J].西安金融,2006,(10):40-41
[29]王沛英.股指期货市场发展问题研究[J].武汉金融,2007,(1):43-44
[30]王莹,余庆生.对股指期货最后结算价格计算规则的研究[J].国际金融研究,2007,(2):60-65
[31]许嘉辉.创新是金融期货市场发展的生命力-美国股指期货市场的启示[J].中国金融,2007,(08):18-20
[32]杨胜刚,汪琛德.全球股指期货与期权市场的发展动向及启示[J].国际金融研究,2006,(11):36-41
[33]姚兴涛.股指期货带给证券公司的风险及外部监管[N].上海证券报,2008-3-5
[34]易彦.海外股指期货上市经验谈[J].期货日报,2007-4-23
[35]殷家祥.股指期货投资与交易实务[M].成都:西南财经大学出版社,2006
[36]张天明.决胜股指期货[M].北京:中国财政经济出版社,2007
[37]张学庆.短期助涨助跌投资者机会在哪[J].中国经济信息,2007,(22):44-45
[38]张燕.瑞银:2008年中国A股波动更剧烈[N].国际金融报,2008-1-22
[39]中国期货业协会.期货法律与监管制度[M].北京:中国财政经济出版社,2005
[40]中国期货业协会.期货市场教程[M].北京:中国财政经济出版社,2006
[41]朱振荣.中国适时推出金融创新产品股指期货的思考[J].北京工商大学学 报,2007,22(1):51-53
[42]左浩苗.韩国股指期货市场的发展经验及启示[J].商场现代化,2006,(475):327-328
[43]CBOE期货交易所有限公司网站www.cboe.com/cfe
[44]韩国期货交易所网站http://www.kofex.com/english/main.asp
[45]美国期货业协会网站www.futuresindustry.org
[46]上海期货交易所网站http://www.shfe.com.cn/
[47]世界交易所手册网站www.Exchange-handbook.co.uk
[48]香港期货交易所网站http://www.hkfe.com/
[49]中国金融期货交易所http://www.cffex.com.cn/
[50]中国期货业协会网站http://www.cfachina.org/