股指期货创新与证券市场监管研究
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摘要
股指期货作为一种基础金融衍生工具,虽然只有短短的三十年发展历史,却迅速地在世界范围崛起,被誉为“20世纪70年代以来最伟大的金融创新”。尤其在经历了数次危机的验证之后,其作用和价值逐渐为人们认可和肯定。世界股指期货的发展对国内证券业金融创新取向、监管思路调整甚至证券业的发展方向都产生了较大的影响,并提供了一定的借鉴。2010年我国股指期货的推出,弥补了国内金融创新的不足,完善了证券市场风险管理的机制,丰富了资本市场交易模式,但同时也产生了新的风险。在运行的两年多时间里,国内市场上关于股指期货的运行是否有助股市稳定的争论喋喋不休,客观上需要拨云见日、理性评价我国股指期货的运行效果,深入剖析制约股指期货发挥作用的根本因素,进一步促进股指期货的健康发展；同时,面对股指期货的种种问题以及其带来的风险变化,适时、适当调整证券监管措施,用合宜的监管为金融创新铺设坦途,优化证券市场生态环境,也是历史与现实的双重要求。
本文用实证与规范分析相结合的方法,首先以创新和监管为主线纵向梳理了我国证券市场20多年的发展历史,将当前的证券市场定位于创新发展期,即创新萌发踊跃,监管有待优化。而后结合国际经验和美国证券市场发展历史,横向对比认为我国证券市场目前尚处于新兴市场阶段,即市场比较活跃但基础制度、机制环境不足。综合来看,我国目前正处于创新发展期和新兴市场的两维交点,股指期货创新将对我国证券市场进一步走向成熟产生重要影响。
其次,本文采用归纳和演绎法综合整理了股指期货的基础理论,理论表明股指期货具有规避风险、价格发现、资产配置等功能,同时作为一种金融衍生产品兼有一般风险和自身特殊风险。之后通过考察国外股指期货的历史实践发现,股指期货的发展需要依托股票现货市场的健康与成熟；同时由于其自身先天交易特性,股指期货在回避风险的同时产生了新的风险,并有可能发酵、传递,形成更大的系统性风险,因此必须实现创新与监管的协同发展。
第三,结合沪深300股指期货上市两年以来的运行实践及数据,通过构建计量模型,实证检验了股指期货的功能实现状况。其中,通过估计协整模型、向量误差修正模型(VECM)的参数、对协整系数及长期、短期均衡调整系数的约束检验等方法检验股指期货的价格发现功能；运用GARCH模型,同时在以股票价格波动性作为因变量的方差方程中引入期货是否推出这个虚拟变量作为自变量,检验股指期货的上市交易对现货价格波动性的影响,并进一步检验了股指期货对股票价格波动的影响程度；运用资本资产定价模型(CAPM模型),用β系数来度量系统性风险,对比了具有代表性的上证180、上证50等6个指数在股指期货上市前后的B数值、差异、变化幅度,检验了股指期货降低股市系统性风险的功能。研究结果表明,沪深300股指期货具有一定的价格发现功能；其上市后股票市场价格波动有所下降,但股指期货的角色分量比较有限；它有利于降低股票市场系统性风险,但是降低风险的效果有限。
针对此种结果,文章进而探寻了表象背后深层的原因,采用对比分析的方法深究我国股票市场、股指期货市场以及两市场协调发展机制等方面的缺陷。之后,就股指期货创新自身风险和新增风险,特别是跨市场风险展开论述,说明股指期货作为证券市场的构成部分,其运行改变了证券市场风险和外部风险传导机制,增加了风险传播、扩散的途径和通道。
第四,在明辨创新与监管的辨证关系的基础上,得出股指期货创新的发展需要证券市场监管调整与之协调共进。针对我国证券市场监管调整的思路建设,本文尝试从理论上构建完全信息静态博弈模型,探讨了股指期货作为创新加载项引入证券市场前、后的监管均衡的变化情况；从实践上确立具有更新内涵的三大监管目标,并重塑了“人”字形的监管模式,丰富了三级监管的内涵,增厚了第二级监管,即“五方”与行业协会的一线监管功能,强调了三个监管层级的融汇贯通。
最后,在监管调整目标的引导下,就跨市场监管、股票与股指期货市场环境优化以及机构投资者发育等方面提出具体监管措施。主要通过跨市场监管协调机制的完善、稳定机制的构建、信息体制的改进,实现期现货市场的协同；通过股票发行制度的改革、退市制度的落实、信息披露制度的健全、分红制度的市场化、融资融券制度的完善,弥补股票市场缺陷；通过对机构投资者的引导、产品线纵深的拓展、相关制度的创新,优化股指期货的市场环境；通过多种方式促进基金、证券公司以及其他机构投资者的发展壮大,同时加强与国际监管机构的协作,抑制风险、保障市场安全,从多角度夯实市场基础,促进我国证券市场健康快速发展。
As basic financial derivatives with only a short history of thirty years, stock index futures, known as "the greatest financial innovation since1970s", have rapidly risen. The role and value of stock index futures have affirmed again and again after the re-examination and reflection of people on every crisis, which has a significant effect on the financial innovation orientation and regulatory thinking adjustment of the domestic securities, and even directs the development of the whole securities industry. In2010, China launched stock index futures, which has made up for the deficiency of domestic financial innovation, improved the risk management mechanism in securities market and enriched the trading model of capital market, but also created new risks. During the last two years, the debates on whether it can help the stability of stock market has never stopped.On the objective aspect,we should evaluate the operating effect of stock index futures rationally, analysis the underlying factors which restrict the function of it deeply and promote the development of it healthily in China. At the same time, facing the kinds of problems and changing risk of index futures,it has become the dual requirement of history and reality to adjust the securities regulation, promote financial innovation and Optimization of the securities market.
With the main line of innovation and regulation, this paper,combining of normative research and empirical analysis, firstly reviews the twenty-year developing history of China'securities market and positions the current market as the innovating and developing period in which innovations grow fast and regulations need improving. Combining with the international experience and the developing history of the securities market of US, we come to an agreement that China's securities market is still at emerging stage, when the market is relatively active, but the basic system mechanism need improvement. In general, the securities market of China is in an innovating and developing period and still an emerging one, and stock index futures will have an import impact on the securities market of China to mature further.
Secondly, we use Inductive and deductive method to arrange the basic theory of index futures. It demonstrates that it has functions of risk avoiding, price discovering and asset allocating. But it also has both own and special risks. After researching the historical practice of the foreign stock index futures, we find that its development should depend on a health and mature stock market. And for the own innate transaction characteristics of stock index futures, risk aversion can also create new risks itself which may format even greater systemic risk gradually. Therefore, it is necessary to achieve coordinated development of innovation and regulation.
Thirdly, tests have been respectively made on the index stock futures function effect through building econometric models based on the two-year data of CSI300stock index futures since its listing. We test its effect of discovering price by using cointegration model, the parameter of VECM, and long and short modified LMS. It uses daily data to construct the GARCH model of spot price's volatility and add dummy variables to express the Push-out of future, to test the influence of Push-out of futures on the volatility of spot market, and further tests the effect degree; In addition, it compares beta coefficient and rangeability of six Stock Index by using CAPM model such as Shanghai Stock Exchange180Index and Shanghai Stock Exchange50Index, to test the function which stock index futures can reduce the systematic risk of spot market. The results show that Shanghai and Shenzhen300stock index futures has a certain degree of price discovery function; Push-out of futures can reduce the fluctuation of stock price, but the effect degree is limited; it is in favor of reducing the systemic risk of stock market, and the effect is also limited as above.
For such results, the paper further the study on the deep-seated reasons by the ways of contrastive analysis, including stock market defects, stock index futures market staged defects, and the defects of coordinating and developing mechanisms of the two market. Then the own risks and new risks of stock index futures innovation are discussed, especially cross-market risk, which shows that as a part of securities market, the operation of stock index futures has changed the transmission mechanism of securities market risks and external risks and increase more ways and channels to spread risk.
Fourthly, based on the discernment of the dialectical relationship between innovation and regulation, a conclusion has been drawn that the development of stock index futures innovation comes together with the regulatory adjustment of securities market. For building the ideas of regulatory adjustment in securities market, we try to establish a static game model with complete information to discuss the change of regulation equilibrium when stock index futures are treated as an innovation add-on in the stock market. We also establish the three regulatory objectives and concentrations from the practice. And we try to rebuild the supervision model,whose shape likes“人”,Enrich the connotation of three-grade regulatory,and increase the second regulatory, which is used to a line supervision between "five directions" and industry association, and Emphasizing the connection of three regulatory level.
Finally, guided by the regulatory adjustment goal, specific supervision measures on cross-market regulation, optimization of stock and stock index futures market environment and promotion of institutional investors will be put forward. In order to realize the cooperation between futures and spot market, We should improve coordination mechanism of cross-market surveillance and institutional information, and establish stabilisation mechanism. In addition, we need guide investors, expend product line and create relevant system to improve futures market.
Then.Though promoting fund and securities companies and other institutional investors growing by kinds of ways and strengthening the cooperation with international regulators to control risk and ensure the safety of market, the foundation of securities market can be consolidated from multiple perspectives and then the development of innovation will be promoted.
本文用实证与规范分析相结合的方法,首先以创新和监管为主线纵向梳理了我国证券市场20多年的发展历史,将当前的证券市场定位于创新发展期,即创新萌发踊跃,监管有待优化。而后结合国际经验和美国证券市场发展历史,横向对比认为我国证券市场目前尚处于新兴市场阶段,即市场比较活跃但基础制度、机制环境不足。综合来看,我国目前正处于创新发展期和新兴市场的两维交点,股指期货创新将对我国证券市场进一步走向成熟产生重要影响。
其次,本文采用归纳和演绎法综合整理了股指期货的基础理论,理论表明股指期货具有规避风险、价格发现、资产配置等功能,同时作为一种金融衍生产品兼有一般风险和自身特殊风险。之后通过考察国外股指期货的历史实践发现,股指期货的发展需要依托股票现货市场的健康与成熟；同时由于其自身先天交易特性,股指期货在回避风险的同时产生了新的风险,并有可能发酵、传递,形成更大的系统性风险,因此必须实现创新与监管的协同发展。
第三,结合沪深300股指期货上市两年以来的运行实践及数据,通过构建计量模型,实证检验了股指期货的功能实现状况。其中,通过估计协整模型、向量误差修正模型(VECM)的参数、对协整系数及长期、短期均衡调整系数的约束检验等方法检验股指期货的价格发现功能；运用GARCH模型,同时在以股票价格波动性作为因变量的方差方程中引入期货是否推出这个虚拟变量作为自变量,检验股指期货的上市交易对现货价格波动性的影响,并进一步检验了股指期货对股票价格波动的影响程度；运用资本资产定价模型(CAPM模型),用β系数来度量系统性风险,对比了具有代表性的上证180、上证50等6个指数在股指期货上市前后的B数值、差异、变化幅度,检验了股指期货降低股市系统性风险的功能。研究结果表明,沪深300股指期货具有一定的价格发现功能；其上市后股票市场价格波动有所下降,但股指期货的角色分量比较有限；它有利于降低股票市场系统性风险,但是降低风险的效果有限。
针对此种结果,文章进而探寻了表象背后深层的原因,采用对比分析的方法深究我国股票市场、股指期货市场以及两市场协调发展机制等方面的缺陷。之后,就股指期货创新自身风险和新增风险,特别是跨市场风险展开论述,说明股指期货作为证券市场的构成部分,其运行改变了证券市场风险和外部风险传导机制,增加了风险传播、扩散的途径和通道。
第四,在明辨创新与监管的辨证关系的基础上,得出股指期货创新的发展需要证券市场监管调整与之协调共进。针对我国证券市场监管调整的思路建设,本文尝试从理论上构建完全信息静态博弈模型,探讨了股指期货作为创新加载项引入证券市场前、后的监管均衡的变化情况；从实践上确立具有更新内涵的三大监管目标,并重塑了“人”字形的监管模式,丰富了三级监管的内涵,增厚了第二级监管,即“五方”与行业协会的一线监管功能,强调了三个监管层级的融汇贯通。
最后,在监管调整目标的引导下,就跨市场监管、股票与股指期货市场环境优化以及机构投资者发育等方面提出具体监管措施。主要通过跨市场监管协调机制的完善、稳定机制的构建、信息体制的改进,实现期现货市场的协同；通过股票发行制度的改革、退市制度的落实、信息披露制度的健全、分红制度的市场化、融资融券制度的完善,弥补股票市场缺陷；通过对机构投资者的引导、产品线纵深的拓展、相关制度的创新,优化股指期货的市场环境；通过多种方式促进基金、证券公司以及其他机构投资者的发展壮大,同时加强与国际监管机构的协作,抑制风险、保障市场安全,从多角度夯实市场基础,促进我国证券市场健康快速发展。
As basic financial derivatives with only a short history of thirty years, stock index futures, known as "the greatest financial innovation since1970s", have rapidly risen. The role and value of stock index futures have affirmed again and again after the re-examination and reflection of people on every crisis, which has a significant effect on the financial innovation orientation and regulatory thinking adjustment of the domestic securities, and even directs the development of the whole securities industry. In2010, China launched stock index futures, which has made up for the deficiency of domestic financial innovation, improved the risk management mechanism in securities market and enriched the trading model of capital market, but also created new risks. During the last two years, the debates on whether it can help the stability of stock market has never stopped.On the objective aspect,we should evaluate the operating effect of stock index futures rationally, analysis the underlying factors which restrict the function of it deeply and promote the development of it healthily in China. At the same time, facing the kinds of problems and changing risk of index futures,it has become the dual requirement of history and reality to adjust the securities regulation, promote financial innovation and Optimization of the securities market.
With the main line of innovation and regulation, this paper,combining of normative research and empirical analysis, firstly reviews the twenty-year developing history of China'securities market and positions the current market as the innovating and developing period in which innovations grow fast and regulations need improving. Combining with the international experience and the developing history of the securities market of US, we come to an agreement that China's securities market is still at emerging stage, when the market is relatively active, but the basic system mechanism need improvement. In general, the securities market of China is in an innovating and developing period and still an emerging one, and stock index futures will have an import impact on the securities market of China to mature further.
Secondly, we use Inductive and deductive method to arrange the basic theory of index futures. It demonstrates that it has functions of risk avoiding, price discovering and asset allocating. But it also has both own and special risks. After researching the historical practice of the foreign stock index futures, we find that its development should depend on a health and mature stock market. And for the own innate transaction characteristics of stock index futures, risk aversion can also create new risks itself which may format even greater systemic risk gradually. Therefore, it is necessary to achieve coordinated development of innovation and regulation.
Thirdly, tests have been respectively made on the index stock futures function effect through building econometric models based on the two-year data of CSI300stock index futures since its listing. We test its effect of discovering price by using cointegration model, the parameter of VECM, and long and short modified LMS. It uses daily data to construct the GARCH model of spot price's volatility and add dummy variables to express the Push-out of future, to test the influence of Push-out of futures on the volatility of spot market, and further tests the effect degree; In addition, it compares beta coefficient and rangeability of six Stock Index by using CAPM model such as Shanghai Stock Exchange180Index and Shanghai Stock Exchange50Index, to test the function which stock index futures can reduce the systematic risk of spot market. The results show that Shanghai and Shenzhen300stock index futures has a certain degree of price discovery function; Push-out of futures can reduce the fluctuation of stock price, but the effect degree is limited; it is in favor of reducing the systemic risk of stock market, and the effect is also limited as above.
For such results, the paper further the study on the deep-seated reasons by the ways of contrastive analysis, including stock market defects, stock index futures market staged defects, and the defects of coordinating and developing mechanisms of the two market. Then the own risks and new risks of stock index futures innovation are discussed, especially cross-market risk, which shows that as a part of securities market, the operation of stock index futures has changed the transmission mechanism of securities market risks and external risks and increase more ways and channels to spread risk.
Fourthly, based on the discernment of the dialectical relationship between innovation and regulation, a conclusion has been drawn that the development of stock index futures innovation comes together with the regulatory adjustment of securities market. For building the ideas of regulatory adjustment in securities market, we try to establish a static game model with complete information to discuss the change of regulation equilibrium when stock index futures are treated as an innovation add-on in the stock market. We also establish the three regulatory objectives and concentrations from the practice. And we try to rebuild the supervision model,whose shape likes“人”,Enrich the connotation of three-grade regulatory,and increase the second regulatory, which is used to a line supervision between "five directions" and industry association, and Emphasizing the connection of three regulatory level.
Finally, guided by the regulatory adjustment goal, specific supervision measures on cross-market regulation, optimization of stock and stock index futures market environment and promotion of institutional investors will be put forward. In order to realize the cooperation between futures and spot market, We should improve coordination mechanism of cross-market surveillance and institutional information, and establish stabilisation mechanism. In addition, we need guide investors, expend product line and create relevant system to improve futures market.
Then.Though promoting fund and securities companies and other institutional investors growing by kinds of ways and strengthening the cooperation with international regulators to control risk and ensure the safety of market, the foundation of securities market can be consolidated from multiple perspectives and then the development of innovation will be promoted.
引文
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