股指期货风险管理研究
|
摘要
股指期货自上世纪80年代推出以来,目前已经是世界上交易量最大、流动性最好的金融衍生产品之一,还被认为是股市上最有效的规避系统性风险工具,作为一项金融创新产品相当成功。
金融创新必然带来新的金融风险,股指期货的风险规模大、涉及面广,具有放大性、复杂性等特征。股指期货的风险成因主要有股指频繁波动、保证金交易产生的杠杆效应、非理性投机以及市场机制不健全等。而股指期货的风险,更直接导致世界金融史上影响极大、后果极严重的几件金融机构丑闻:如1994年英国巴林银行破产案和2008年法国兴业银行巨亏事件。
在金融体制不断完善的大背景下,2006年10月30日,中国金融期货交易所正式推出沪深300指数期货仿真交易,迄今已超过两年,实盘交易的股指期货推出也为期不远。本论文试图从中国特定的国情出发,研究股指期货风险的成因、特性以及风险控制的方法,从理论分析到实证检验,参考和借鉴国外发达国家以及中国香港、台湾相对丰富的股指期货风险管理方法,进行系统性梳理和总结,以期为我国未来股指期货市场的健康发展做出一定的贡献。
本论文试图用理论和实证分析回答以下几个问题:第一、股指期货市场存在哪些风险,或者基于中国国情,存在哪些特殊的风险?第二、如何识别这些风险,这些风险各自的成因是什么?第三、如何度量股指期货的风险,目前中国仿真交易的保证金水平确定是否适当?第四、如何从政府、交易所、期货公司和投资者的角度来控制这些风险,如何通过合理的监管和信息交换防范和应对这些风险?第五、考虑到股指期货这一金融衍生品的特性,结合中国股指期货和股票现货市场的风险关联现状,如何给出针对性的跨市场风险防范和控制的建议?
带着上述问题,本文参考了国内外诸多股指期货风险管理理论和实证研究结果,以及国外股指期货风险管理案例和经验,得出以下结论:
第一,股指期货风险相对其他金融创新产品是较大的,特别在中国,关键宏观经济信息泄密、红利分配过少、政策市、国际股指期货创新竞争等都会导致股指期货风险的增大。
第二,股指期货风险成因是复杂的,微观成因有股票指数价格波动、杠杆效应、市场操纵等,宏观成因有金融市场全球化、金融主体的机构化、金融发展自由化等等。
第三,根据沪深300指数的真实数据,论文利用极值理论计算了沪深300指数的VaR和ES,推算出中国股指期货保证金水平应该在7.3686-8.7920之间。当然本论文认为国内目前保证金水平确定考虑的因素还相对少,具体实践还应该从市场流动性、现货市场状况、未来可能变化、其他交易所设定保证金比率水平角度多方面考虑。
第四,本论文从宏观、中观、微观的角度提出了股指期货风险控制方法,并且指出中观角度-期货交易所出发的风险控制最为关键。
第五,本论文还利用copula函数就股指期货跨市场操纵进行了实证分析,研究认为中国股指期货市场发生日常跨市场操纵的可能性并不大。但是在股灾和股指期货到期日时应该加强市场监察,并且通过完善股指期货最后结算价的确定规则、加强股票市场和股指期货市场的跨市场信息分享、建立跨市场大盘断路器、建立风险预警机制和跨市场危机处理紧急预案等措施来防范跨市场操纵的发生。
Being the most successful financial innovation in the international financial market in1980s, stock index future has been one of the financial derivatives of best transaction and Liquidity and considered as the best tool to hedge systematic risk in stock market.
Financial innovation results in new financial risks inevitably. The risk of stock index future market is characteristic of large scale, broad scope, magnification and complication. The reasons for risk mentioned above include the frequent fluctuation, the leverage of margin trade, irrational speculation and the unhealthy market mechanism. And the risk of stock index future directly result in the scandal of some financial institutions bankruptcy and huge losses with great influence and worst outcome in the financial history, such as the bankruptcy of Barings Bank in 1994 and the huge losses of SG in 2008.
Under the background of continuous perfection of financial institution, it is over 2 years since the CFFE put forth the Simulated exchange of shanghai and Shenzhen 300 stock index in October 30 2006, and the actual transaction is not far away from. This paper attempts to study the reasons of stock index future, its character and the methods of relevant risk control upon the special Chinese Circumstance through theoretical and empirical analysis ,with reference to stock index future risk management in developed countries and regions such as Hongkong and Taiwan. Then this paper will systematize and summarize the research above so as to contribute to the healthy development of stock index future market.
This paper attempt to answer the following questions through theoretical and empirical analysis: firstly, what kind of risks are there in stock index future market or, in the special Chinese market ? secondly, how to indentify these risks and the reasons for those risks? Thirdly, how to measure those risks and is it proper for the margin in the simulated exchange? fourthly, how to control these risks from the angle of government ,exchange, future companies and the investors and how to deal with these risks by way of reasonable supervision and information exchange? Last, this paper will suggest on the trans-market risk prevention and management in consideration of the feature of stock index future as a financial derivative and the connection of risk between stock index future and stock market.
For the purpose of questions mentioned, this paper concludes the followings with reference to many theoretical and empirical researches on stock index future risk management as well as the cases and experience of stock index future risk management abroad:
Firstly, stock index future risk is greater than other financial derivatives especially in China, where many factors influence the risk of stock index future significant macro-economic information leakage, low bonus, policy-oriented market and the competition from international stock index future innovation.
Secondly, the reason for stock index future is complicated, of which micro reason consists of stock price fluctuation, leverage, and the macro reason consist of globalization of financial market, financial institutions monopolization and the freedom of financial development.
Thirdly, in accordance with the shanghai and shenzhen 300 index, this paper calculates the VaR and ES with Extreme Value Theory and concludes the margin should between 7.3686-8.7920. Definitely, this paper thinks that this margin is merely for reference and the practice shall take more factors into consideration such as the fluidity of market, future changes, Spot market, margins rate of other exchanges.
Fourthly, this paper set forth the methods of risk control on stock index future from the macro, meso and micro perspective, then points out that it is most significant to control the risk of future exchange arising from future exchange through meso-analysis.
Lastly, this paper concludes though empirical analysis it is unlikely that the trans-market manipulation will take place in stock future in China with the aids of copula function. However, it is necessary to reinforce the market supervision in stock disaster and at the date stock index future mature. Moreover, it is necessary to prevent the trans-market manipulation through these measures such as the perfection of final settlement price rules of stock index future, adequate trans-market information sharing between stock market and stock index future market, the set up of trans-market exchange breaker, risk alert mechanism and emergent action plan for trans-market crisis.
金融创新必然带来新的金融风险,股指期货的风险规模大、涉及面广,具有放大性、复杂性等特征。股指期货的风险成因主要有股指频繁波动、保证金交易产生的杠杆效应、非理性投机以及市场机制不健全等。而股指期货的风险,更直接导致世界金融史上影响极大、后果极严重的几件金融机构丑闻:如1994年英国巴林银行破产案和2008年法国兴业银行巨亏事件。
在金融体制不断完善的大背景下,2006年10月30日,中国金融期货交易所正式推出沪深300指数期货仿真交易,迄今已超过两年,实盘交易的股指期货推出也为期不远。本论文试图从中国特定的国情出发,研究股指期货风险的成因、特性以及风险控制的方法,从理论分析到实证检验,参考和借鉴国外发达国家以及中国香港、台湾相对丰富的股指期货风险管理方法,进行系统性梳理和总结,以期为我国未来股指期货市场的健康发展做出一定的贡献。
本论文试图用理论和实证分析回答以下几个问题:第一、股指期货市场存在哪些风险,或者基于中国国情,存在哪些特殊的风险?第二、如何识别这些风险,这些风险各自的成因是什么?第三、如何度量股指期货的风险,目前中国仿真交易的保证金水平确定是否适当?第四、如何从政府、交易所、期货公司和投资者的角度来控制这些风险,如何通过合理的监管和信息交换防范和应对这些风险?第五、考虑到股指期货这一金融衍生品的特性,结合中国股指期货和股票现货市场的风险关联现状,如何给出针对性的跨市场风险防范和控制的建议?
带着上述问题,本文参考了国内外诸多股指期货风险管理理论和实证研究结果,以及国外股指期货风险管理案例和经验,得出以下结论:
第一,股指期货风险相对其他金融创新产品是较大的,特别在中国,关键宏观经济信息泄密、红利分配过少、政策市、国际股指期货创新竞争等都会导致股指期货风险的增大。
第二,股指期货风险成因是复杂的,微观成因有股票指数价格波动、杠杆效应、市场操纵等,宏观成因有金融市场全球化、金融主体的机构化、金融发展自由化等等。
第三,根据沪深300指数的真实数据,论文利用极值理论计算了沪深300指数的VaR和ES,推算出中国股指期货保证金水平应该在7.3686-8.7920之间。当然本论文认为国内目前保证金水平确定考虑的因素还相对少,具体实践还应该从市场流动性、现货市场状况、未来可能变化、其他交易所设定保证金比率水平角度多方面考虑。
第四,本论文从宏观、中观、微观的角度提出了股指期货风险控制方法,并且指出中观角度-期货交易所出发的风险控制最为关键。
第五,本论文还利用copula函数就股指期货跨市场操纵进行了实证分析,研究认为中国股指期货市场发生日常跨市场操纵的可能性并不大。但是在股灾和股指期货到期日时应该加强市场监察,并且通过完善股指期货最后结算价的确定规则、加强股票市场和股指期货市场的跨市场信息分享、建立跨市场大盘断路器、建立风险预警机制和跨市场危机处理紧急预案等措施来防范跨市场操纵的发生。
Being the most successful financial innovation in the international financial market in1980s, stock index future has been one of the financial derivatives of best transaction and Liquidity and considered as the best tool to hedge systematic risk in stock market.
Financial innovation results in new financial risks inevitably. The risk of stock index future market is characteristic of large scale, broad scope, magnification and complication. The reasons for risk mentioned above include the frequent fluctuation, the leverage of margin trade, irrational speculation and the unhealthy market mechanism. And the risk of stock index future directly result in the scandal of some financial institutions bankruptcy and huge losses with great influence and worst outcome in the financial history, such as the bankruptcy of Barings Bank in 1994 and the huge losses of SG in 2008.
Under the background of continuous perfection of financial institution, it is over 2 years since the CFFE put forth the Simulated exchange of shanghai and Shenzhen 300 stock index in October 30 2006, and the actual transaction is not far away from. This paper attempts to study the reasons of stock index future, its character and the methods of relevant risk control upon the special Chinese Circumstance through theoretical and empirical analysis ,with reference to stock index future risk management in developed countries and regions such as Hongkong and Taiwan. Then this paper will systematize and summarize the research above so as to contribute to the healthy development of stock index future market.
This paper attempt to answer the following questions through theoretical and empirical analysis: firstly, what kind of risks are there in stock index future market or, in the special Chinese market ? secondly, how to indentify these risks and the reasons for those risks? Thirdly, how to measure those risks and is it proper for the margin in the simulated exchange? fourthly, how to control these risks from the angle of government ,exchange, future companies and the investors and how to deal with these risks by way of reasonable supervision and information exchange? Last, this paper will suggest on the trans-market risk prevention and management in consideration of the feature of stock index future as a financial derivative and the connection of risk between stock index future and stock market.
For the purpose of questions mentioned, this paper concludes the followings with reference to many theoretical and empirical researches on stock index future risk management as well as the cases and experience of stock index future risk management abroad:
Firstly, stock index future risk is greater than other financial derivatives especially in China, where many factors influence the risk of stock index future significant macro-economic information leakage, low bonus, policy-oriented market and the competition from international stock index future innovation.
Secondly, the reason for stock index future is complicated, of which micro reason consists of stock price fluctuation, leverage, and the macro reason consist of globalization of financial market, financial institutions monopolization and the freedom of financial development.
Thirdly, in accordance with the shanghai and shenzhen 300 index, this paper calculates the VaR and ES with Extreme Value Theory and concludes the margin should between 7.3686-8.7920. Definitely, this paper thinks that this margin is merely for reference and the practice shall take more factors into consideration such as the fluidity of market, future changes, Spot market, margins rate of other exchanges.
Fourthly, this paper set forth the methods of risk control on stock index future from the macro, meso and micro perspective, then points out that it is most significant to control the risk of future exchange arising from future exchange through meso-analysis.
Lastly, this paper concludes though empirical analysis it is unlikely that the trans-market manipulation will take place in stock future in China with the aids of copula function. However, it is necessary to reinforce the market supervision in stock disaster and at the date stock index future mature. Moreover, it is necessary to prevent the trans-market manipulation through these measures such as the perfection of final settlement price rules of stock index future, adequate trans-market information sharing between stock market and stock index future market, the set up of trans-market exchange breaker, risk alert mechanism and emergent action plan for trans-market crisis.
引文
[1]鲍建平.国内外期货市场保证金制度比较研究及其启示[J].世界经济,2004,(12):65-69.
[2]陈晓杰.沪深300股指期货仿真交易价格风险实证研究[J].当代财经,2008,(8):61-67.
[3]陈晓杰,黄志刚,邹辉文.金融期货与远期定价的虚拟衍生资产偏微分方法研究[J].广西金融研究,2007,(8):33-35.
[4]陈晓杰,黄志刚.台湾加权指数期货价量动态关系的实证分析及对大陆的启示[J].台湾农业探索,2007,(2):11-15.
[5]常清.我国农产品期货市场发展的理论和战略性研究[D].北京:中国社会科学院研究生院,2001:
[6]迟国泰,刘轶芳,余方平.基于SV模型和KLR信号分析的期货逼仓风险预警模型[J].系统工程,2006,(7):21-29.
[7]崔晓健,佟伟民,李一军.股指期货操纵行为的识别[J].企业管理,2008,(8):94-95.
[8]道格拉斯·C·诺斯.经济史中的结构与变迁[M].上海:上海人民出版社,1991.
[9]董科.防范股指期货六大风险[N].期货日报,2006,12(1):6.
[10]范英.股市风险值估计的EWMA方法及其应用[J].预测,2001(3):34-37.
[11]高见,杨丹.指数化投资中复制方法的比较分析[J].金融研究,2006,(8):31-40.
[12]郭晓亭.基于GARCH模型的中国证券投资基金市场风险实证研究[J].国际金融研究,2005,(10):55-59.
[13]韩德宗,陈弢.基于极值理论的我国期货市场保证金设置研究-经流动性风险调整后的优化设置[J].南方经济,2006,(7):25-33.
[14]黄运成,李海英,诸晓敏.借鉴美国经验加强对我国期货市场操纵的监管[J].金融理论与实践,2006,(4):77-79.
[15]蒋贤锋,史永东,李慕春.期货市场保证金调整的市场风险控制作用及制度改革-来自大连商品交易所的实证分析[J].金融研究,2007,(2):74-88.
[16]李翔,林树.信息不对称、信息披露与股票价格波动-兼论管理会计信息披露的市场效应[J].山西财经大学学报,2007,(6):112-116.
[17]李晓渝,宋曦,潘席龙.基于极值理论方法的中国股指期货保证金设定的实证研究[J].统计与信息论坛,2006,(4):42-45.
[18]李新路,张文修.中国股票市场个体投资者“处置效应”的实证研究[J].当代经济科学,2005,(5):76-81.
[19]刘博文,房振明.我国股指期货与现货价格发现效率实证研究-基于沪深300模拟期货数据[J].大连理工大学学报(社会科学版),2008,(2):6-9.
[20]刘凤元.现货市场与衍生品市场跨市监管研究[J].证券市场导报,2007,(9):38-42.
[21]刘红忠.金融市场学[M].上海:上海人民出版社,2003.
[22]刘晓星,陈学彬.金融全球化与金融监管:动因、挑战与问题——基于新兴市场经济国家的分析[J].国际经贸探索,2008,(3):50-54.
[23]刘庆富.中国期货市场波动性与价格操纵行为研究[D].南京:东南大学,2007:
[24]M.S.萨克里弗著,李飞,黄栋译.股指期货(第三版)[M].北京:中国青年出版社,2008.
[25]毛小云.防止期货市场操纵:监管措施及其效率评价[J].河北经贸大学学报,2006,(1):72-78.
[26]攀登,邹炎,刘海龙.考虑不完全知情交易者的交易策略分析[J].系统工程理论与实践,2003,(10):22-29.
[27]施东晖,孙培源.市场微观结构-理论与中国经验[M].上海:上海三联书店,2005:221-225.
[28]施红梅,施东晖.股票指数期货:模式设计和运作构想[J].证券市场导报,2000,(1):4-15.
[29]史永东,蒋贤锋.内幕交易、股价波动与信息不对称:基于中国股票市场的经验研究[J].世界经济,2004,(12):86-95.
[30]田成诗.政策事件对中国证券市场波动的影响研究[M].大连:东北财经大学出版社,2008.
[31]王宝森.股票指数期货交易策略及风险管理研究[M].北京:北京理工大学出版社,2007.
[32]王海洋.股指期货强行平仓的法律性质与后果[J].政治与法律,2008,(5):53-57.
[33]王柱,王欣荣,吴冲锋.每日结算价确定方法与股指期货价格发现效率的关系-以HIS 指数期货为例[J].系统工程理论方法应用,2006,(8):299-304.
[34]王永宏,赵学军.中国股市“惯性策略”和“反转策略”的实证分析[J].经济研究,2001(6):56-61.
[35]王福重,焦继文.基于t-分布下外债利率风险的VaR度量模型[J].金融研究,2006,(12):33-37.
[36]王春峰.金融市场风险管理[M].天津:天津大学出版社,2003.
[37]王春峰,卢涛,房振明.股票、股指期货跨市场信息监管的国际比较及借鉴[J].国际金融研究,2008,(3):63-68.
[38]王春峰,蒋祥林,韩冬.中国股市的内幕交易及监管-国际经验与中国的对策[J].国际金融研究,2003,(3):57-63.
[39]王开国.股指期货:市场深化中的金融创新[J].经济研究,2000,(7):32-38.
[40]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.
[41]吴育华,徐忠东.股指期货定价方法研究[J].现代财经,2006,(6):12-15.
[42]徐国祥,檀向球.全国统一股价指数编制研究——指数期货标的物选择实证分析[J].统计研究,2001,(9):46-53.
[43]徐国祥,吴泽智.我国指数期货保证金水平设定方法及其实证研究-极值理论的应用[J].财经研究,2004,(11):63-74.
[44]徐国祥,檀向球.指数期货合约定价模型及其实证研究-对恒生指数期货合约定价的实证分析[J].统计研究,2003,(8):50-53.
[45]邢精平.股指期货:方案设计与运作分析[M].北京:中国财政经济出版社,2007.
[46]邢精平,臧大年.换月效应、窗饰与股指期货合约到期日设计[J].证券市场导报,2006,(9):25-28.
[47]熊熊,王芳.我国沪深300股指期货仿真交易的价格发现分析[J].天津大学学报(社会科学版),2008,(4):321-325.
[48]杨朝峰.股指期货价格形成机制研究[D].上海:同济大学,2005:
[49]杨海珍,鄢宏亮.股指期货跨期套利交易保证金设置方法的比较[J].系统工程理论与实践,2008,(8):132-138.
[50]杨峰.海外股指期货市场比较研究[J].金融研究,2002,(7):36-43.
[51]杨德明,林斌,辛清泉.盈利质量、投资者非理性行为与盈余惯性[J].金融研究,2007,(2):122-132.
[52]应望江,张永京,徐华康.从台湾实践看股指期货对现货影响[J].证券市场导报,2001,(7):52-57.
[53]余书炜.本土市场对股指期货异地上市事件的反应[R].上海:上海期货交易所博士后报告,2006:
[54]周春生,王亚平.中国股票市场交易型的价格操纵研究[J].经济研究,2005,(10):67-87.
[55]章辉,胡颖,骆媛媛,邵彬.沪深300股指期货的保证金设计——基于“分形市场”假说的研究[J].财贸经济,2008,(4):36-41.
[56]张维,王平.印度股票市场与期货市场信息传递性研究[J].上海金融,2006,(9):54-57.
[57]张薰华.《资本论》脉络(第二版)[M].上海:复旦大学出版社,1999:21-25.
[58]张永鹏,邱沛光.市场操纵过程的进化博弈分析[J].系统工程理论与实践,2005,(3):214-222.
[59]张维.亚洲区域资本市场间的价格发现机制与联合监管[R].上海:复旦大学,2007:
[60]臧玉卫.股指期货在我国的应用研究[D].天津:天津大学,2003:
[61]周春生,杨云红,王亚平.中国股票市场交易型的价格操纵研究[J].经济研究,2005,(10):07-87.
[62]郑尊信,吴冲锋.现金结算价与股指期货套期保值决策[J].上海交通大学学报,2006,(9):1592-1595.
[63]周波.金融期货价格波动限制机制探讨[J].证券市场导报,2006,(9):68-73.
[64]周明,于渤.衍生品市场的法律框架:国际比较与趋势[J].证券市场导报,2007,(12):59-63.
[65]祝红梅.资产重组中的内幕交易和股价操纵行为研究[J].南开经济研究,2003,(5):60-62
[66]Abhyankar,(1995),A Return and volatility dynamics in the FTSE-100 stock index and stock index futures markets.The Journal of Futures Markets,15(4): 457 - 488.
[67]Ackert & Hunter, (1990), A Sequential Test Methodology for Detecting Futures Markets Disruptions with Applications to Futures Margin Management.Review of utures Markets, Vol.9, No.2, pp.318-41.
[68]Ackert & Hunter (1994), Tests of a simple optimizing model of daily price limits on futures contracts.Review of financial economics, 4, 93-108.
[69]Allen & Douglas Gale, (1992), Stock-Price Manipulation, The Review of Financial Studies, Vol.5, No.3, pp.503-529.
[70]Alkeback & Hagelin, (2004), Expiration Day Effects of index futures and options: evidence from a market with a long settlement period.Applied Financial Economics, 2004, 14: 385-396
[71]Amihad, (2002), Liquidity and stock returns: cross-section and time-series effects.Journal of Financial Market, 5 (1): 3-28
[72]Andersen, T.C.& Bollerslev, T.(1997), Intraday periodicity and volatility persistence in financial markets, Journal of Empirical Finance, 4(2-3), pp.115-158.
[73]Anderson, R.W.& Danthine, J.P.(1981) , Cross hedging, Journal of Political Economy, 89(6), pp.1182-1196.
[74]Antoniou, A., Koutmos, G.& Pericli, A.(2005), Index futures and positive feedback trading evidence from major stock exchanges, Journal of Empirical Finance, 12(2), pp.219-238.
[75]Arai, T., Akamatsu, T.&Yoshioka, A.(1993) , Stock index futures in Japarc problems and prospects, NRI Quarterly, 2(1), pp.28-57.A slightly edited version of the final section appears in the Journal of References 449 International Securities Markets, vol.7, Autume, pp.159-164.
[76]Arak, M.(1997), Do daily limits acts as magnets? The case of treasury bond futures.Journal of financial services research, 12, 5-20.
[77]Ariel, R.A.(1987), A monthly effect in stock returns.Journal of Financial Economics, 18: 161-174
[78]Bae, S.C., Kwon, T.H.& Park, J.W.(2004) , Futures trading spot market volatility and market efficiency: the case of the Korean index futures markets, Journal of Futures Markets, 24(12), pp.1195-1228.
[79]Bailey, W.(1989), The market for Japanese stock index futures some preliminary evidence, Journal of Futures Markets, 9(4), pp.283-295.
[80]Balkema, A.& L.de Haan, (1974), Residual Life Time at Great Age, Annals of Probability 2, 792-804.
[81]Bank for international settlemengts(BIS), BIS Quarterly Review.Septermber 2004.
[82]Barclay, W.J.& Noll, E.W.(1992) , The creation of equity derivative markets: learning from experience, Paper presented at the Pacific Basin Capital Markets Research Centre Conference, Hong Kong, 1992, 26pages.
[83]Bassett, G.W., France, V.G.& Pliska, S.R.(1989) , The MMI cash-futures spread on October 19, 1987, Review of Futures Markets, 8(1), pp.118-146.
[84]Becker, K.G., Finnerty, J.E.& Friedman, J.(1995), Economic news and equity market linkages between the US and UK, Journal of Banking and Finance, 19(7), pp.1191-1210.
[85]Berglund, T.& Kabir, R.(1994) , What explains the difference between the futures price and its "fair References 451 value"? Evidence from the European Options Exchange, Working paper, Tilburg University, Netherlands, 20 pages.
[86]Berkman, H., Brailsford, T.&Frino, A.(2005) , A note on execution costs for stock index futures: information versus liquidity effects, Journal of Banking and Finance, 29(3), pp.565-577.
[87]Bernanke, B.S.(1990), Clearing andsettlment during the crash, Review of Financial Studies, 3(1), pp.133-151.
[88]Billingsley, R.S.& Chance, D.M.(1988), The pricing and performance of stock index futures spreads, Journal of Futures Markets, 8(3), pp.303-318.
[89]Black, F.(1976), The pricing of commodity contracts, Journal of Financial Economices, 3(1), pp.167-179.
[90]Blank, S.C.(1991) , Chaos' in futures markets? A nonlinear dynamical analysis, Journal of Futures Markets, 11(6), pp.711-728.
[91]Board, J.L.G.& Sutcliffe, CM.S.(1995), The relative volatility of the markets in equities and index futures, Journal of Business Finance and Accounting,22(2), pp.201-223.
[92]Booth, G.G., Broussard, J.P., Martikainen, T.&Puttonen, V.(1997) ,Prudent margin levels in the Finnish stock index futures markets, Management Science, 43(8), pp.1177-1188.
[93]Brady, N.F.(Chairman), (1988) , Report on the Presidential Task Force on Market Mechanisms, US Government Printing Office, 320 pages.
[94]Braga, B.S.(1995) , Derivatives markets in Brazil: an overview, Working paper, Comisso de Valores Mobiliarios, Rio de Janeiro, 23 pages.
[95]Brenner, M., Subrahmanyam, M.G.& Uno, J.(1994) , The volatility of the Japanese stock indices evidence from the cash and futures markets.In Japan, Europe and International Financial Markets: Analytical and Empirical Perspectives, ed.by R.Sato, RM.M.Levich & R.V.Ramachandran, Cambridge University Press, pp.176-196.
[96]Btosussard, J.P.& Booth.G.G.(1998) , The behaviour of extreme values in Germany' stock index futures: an application to intra-daily setting, European Journal of Operational Research, 104(3), pp.393-402.
[97]Buckle, M., apGwilym, 0., Thomas, S.H.&Woodhams, M.S.(1998) , Intraday empirical regularities in interest rate and equity index futures markets and the effect of macroeconomic announcements, Jornal of Business Finance and Accounting, 25(7-8), pp.921-944.
[98]Chamberlain, T.W., Cheung, S.C., & Kwan, C.C.Y.(1989), Expiration day effects of index futures and options: Some Canadian evidence, Financial Analysts Journal, 45(5), 67-71.
[99]Chang E.C.Cheng, J.W.& Pinegar, J.M.(1999) , Does futures trading increase stock market volatility? The case of the Nikkei stock futures market, Journal of Banking and Finance, 23(5), pp.727-753.
[100]Cherian, J.A.and R.A.Jarrow(1995), Market Manipulation, Chapter 20 of Handbook of Operations Research and Management Science, vol.9, Finance, North- Holland.
[101]Chng, M.T.(2004) , A model of price discovery and market design: theory and empirical evidence, Journal of Futures Markets, 24(12), pp.1107-1146.
[102]Chou, R.K.& Chung, H.(2004) , Decimalization, trading costs and information transmissions between ETFs and index futures, Working paper, National Central University at Taiwan.
[103]Chou, R.K.&Lee, J.H.(2002), The relative effciencies of price execution between the Singapore Exchange and the Taiwan Futures Exchange, Journal of Futures Markets, 22(2), pp.173-196.
[104]Chu, Q.C., Hsieh, W.G.& Tse, Y.(1999) , Price discovery on the S&P500 index markets; an analysis of spot index, index futures and SPDRs, International Review of Financial Analysis, 8(1), pp.21-34.
[105]Chung, Y.P., Kang, J.K.&Rhee, S.G.(1994) , The lead-lag relationship between the stock market and stock index futures market in Japan.PACAP Research Centre, University of Rhode Island, Working paper, 27 pages.
[106]Cita, J.& Lien, D.D.(1992) , Constructing accurate cash settlement indices: the role of index specifications, Journal of Futures Markets, 12(3), pp.339-360.
[107]Cornell, B.& French, K.R.(1983) , The pricing of stock index futures, ournal of Futures Markets, 3(1), pp.1-14.
[108]Cotter, J.(2001), Margin exceedences for European stock index futures using extreme value theory, Journal of Banking and Finance, 25(8), pp.1475-1502.
[109]Danielsson, J.and C.G.de Vries (1997), Tail Index and Quantile Estimation with Very High Frequency Data, Journal of Empirical Finance, 4, 241-257.
[110]Day E.Theodore.CraigM.Lewis.(1997), Initial Marin Policy and Stochastic Volatility in the Crude Oil Futures Market.Review of Financial Studies.10(2), 303-332.
[111]De Ceuster, M.J.K., Durinck, E., Laveren, E.& Lodewyckx, J.(2000), A survey into the use of derivatives by large non-financial forms operating in elgium, European Financial Management, 6(3), pp.301-318.
[112]De Jong, F.& Nijman, T.(1997), High frequency analysis of lead-lag relationships between financial markets, Journal of Empirical Finance, 4(2-3), pp.259-277.
[113]Dow, J.and Gorton(1997), Stock Market Efficiency and Economic Efficiency: Is there a Connection? Journal of Finance, 7, 1087-1130.
[114]Dusak, K.(1973) , Futures trading and investor returns: an investigation of commodity market risk premiums, Journal of Political Economy, 81(6), pp.1387-1406.
[115]Dutt, H.R.& Wein, I.L.(2003) , Revisiting the empirical estimation of the effect of margin changes of futures trading volume, Journal of Futures Markets,23(6), pp.561-576.
[116]Engle, R.F.(2002), Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models.Journal of Business & Economic Statistics, 7: 339-350.
[117]Fama, E.F.(1989), Perspectives on October 1987, or what did we learn from the crash? In: R.kampuis, Black Monday and the future of Financial markets, 71-82.
[118]Fenn, G.&Kupiec, P.(1993) , Prudential margin policy in a futures-style settlement system, Journal of Futures Markets, 13(4), pp.389-408.
[119]Figlewski, S.(1984), Margins and market integrity: margin setting for stock index futures and options, Journal of Futures Markets, 4(3), pp.385-416.
[120]Fishe, R.P.H.& Goldberg, L.G.(1986) , The effects of margins on trading in futures markets, Journal of Futures Markets, 6(2), pp.261-271.
[121]Fisher, R.and L.Tippett (1928), Limiting Forms of the Frequency Distribution of the Largest or Smallest Member of a Sample, Proceedings of the Cambirdge Philosophical Society, 180-190.
[122]Fleming, J., Ostdiek, B.& Whaley, R.E.(1996) , Trading cosls and the relative rates of price discovery in stock, futures and option markets, Journal of Future Markets, 16(4), pp.353-387.
[123]France, V.G.(1991), The regulation of margin requirements.In Margins and Market Integrity, ed.by the Mid America Institute, Probus Publishing Co., pp.1-47.464.
[124]Furbush, D.(1989), Program trading and price movement: evidence from the October 1987 market crash, Financial Management, 18(3), pp.68-83.
[125]Gay, G.D., Hunter, W.C.& Kolb, R.W.(1986) , A comparative analysis of futures contract margins, Journal of Futures Markets, 6(2), pp.307-324.
[126]Gay, G.D.& Jung, D.Y.(1999) , A further look at transaction costs, short sale restrictions and futures market efficiency: the case of Korean stock index futures, Journal of Futures Markets, 19(2), pp.153-174.
[127]Ginter, G.D.(1991) , Toward a theory of harmonized margins.In Margins and Market Integrity, ed.by the Mid America Institute, Probus Publishing Co., pp.49-53.
[128]Gray, R.W.(1963), Onions revisited, Journal of Farm Economics, vol.45, May, pp.273-276.
[130]Green, E.J.(1986) , Financial futures and price-level variability.In Financial Futures and Options in the US E-conomy: A Study by the SAtaff of the Federal Reserve System, ed.byM.L.Kwast, Board of Governors of the Federal Reserve System,pp.79-89.
[131]Gulen, H.& Mayhew, S.(2000), Stock index futures trading and volatility in international equity markets, Journal of Futures Markets, 20(7), pp.661-685.
[132]Harris, L.(1989), The October 1987 S&P500 stock-futures basis, Journal of Finance, 44(1), pp.77-90.
[133]Harris, L., Sofianos, G.& Shapiro, J.E.(1994) , Program trading and intraday volatility, Review of Financial Studies, 7(4), pp, 653-685.
[134]Hartzmark, M.L.(1986) , The effects of changing margin levels on futures market activity, the composition of traders in the market and price performance, Journal of Business, 59(2), Part 2, pp.S147-S180.
[135]Hartzmark, M.L.(1986) , Regulating futures margin requirements, Reviewof Research in Futures Markets, 5(3), pp.242-260.
[136]Hazen, T.L.(1992), Rational investments, speculation or gambling-Derivative securities and financial futures and their effect on the underlying capital markets, North-western University Law Review, 86(4), pp.987-1037.
[137]Ibbotson, R.G.& Kaplan, P.D.(2000) , Does asset allocation policy explain 40, 90 or 100 percent of perfor-mance?, Financial Analysts Journal, 56(1), pp.26-33.
[138]Illueca, M.&Lafuents, J.A.(2004), Introducing the mini-futures contract in Ibex 35: implications for price discovery and volatility transmission, Working paper WP-EC 2004-13, Valencian Institute of Economic Research, 24 pages.
[139]Jenkinson, A.F.(1955), The Frequency Distribution of the Annual Maximum (or Minimum) Values of Meteorological Elements, Quarterly Journal of the Royal Meteorology Society, 87, 145-158.
[140]Juri A.(2002), Wutrich M V.Copula Convergence Theorems for Tail Eventslnsurance: Mathematics and Economics, 30: 405-420.
[141]Kan, A.C.N.& Tang, G.Y.N.(1999) , The impact of index futures trading on the betas of the underlying constituent stockes; the case of Hong Kong, Journal of International Financial Markets, Institutions References 473 and Money, 9(1),pp.97-114.
[142]Karolyi, A.G.(1996), Stock market volatility around expiration days in Japan, Journal of Derivatives, 4(2), 23-43.
[143]Kawaller, I.G.(1987) , A note: debunking the myth of the risk-free terurn,Journal of Futures Markets, 7(3), pp.327-331.
[144]Kawaller, I.G.(1991) , Determining the relevant fair value (s) of S&P500 futures: a case study approach, Journal of Futures Markets, 11(4), pp.453-460.
[145]Kipnis, G.M.& Tsang, S.(1984) , Arbitrage.In Stock Index Futures, ed.by F.J.Fabozzi & G.M.Kipnis, Dow Jones-Irwin pp.124-141.
[146]Klemkosky, R.C.& Lee, J.H.(1991) , The intraday ex post and ex ante profitability of index arbitrage, Journal of Futures Markets, 11(3), pp.291-311.
[147]Kodres (1993), Tests of unbiasedness in the foreign exchange futures markets: An examination of price limits and conditional heteroskedasticity.Journal of business, 66, 463-490.
[148]Kutner, G.W.& Sweeney, R.J.(1991), Causality tests between the S&P500 cash and futures markets, Quarterly Jurnal of Buisiness and Economics, 30(2),pp.51-74.
[149]Kyriacou, K.& Sarno, L.(1999) , The temporal relationship between derivatives trading and spot market volatility in the UK: empirical analysis and Monte Carlo evidence, Journal of Futures Markets, 19(3), pp.245-270.
[150]Lam, K, Sin, C.Y.& Leung.R.(2004) , A theoretical framework to evaluate different margin-setting methodologies, Journal of Futures Markets, 24(2), pp.117-145.
[151]Lawrence, C& G.Robinson.(1998), Liquidity, Dynamic Hedging and Value at Risk, in Risk Management for Financial Institutions, ed.Risk Publications,63-72.
[152]Lien, D.D.&Tse, Y.K.(1998) , Hedging time-varying downside risk, Journal of Futures Markets, 18(6), pp.705-722.
[153]Lim, K.G.(1992), Arbitrage and price behaviour of the Nikkei stock index futures, Journal of Futures Markets, 12(2) pp.151-161.
[154]Longin, F.(1996), The Asymptotic Distribution of Extreme Stock Market Returns, Journal of Business, 69(3): 383 — 408.
[155]Longin, F.(1999), optimal Margin Levels in Futures Makrets: Extreme price Movements, Journal of Futures Markets 19, 127 — 152.
[156]Longin, F.M.and B.Solnik (2001), Extreme Correlation of International Equity Markets, Journal of Finance, 56, 2, 649-676.
[157]Low, A., Muthuswamy, J., Sakar, S.& Terry, E.(2002), Multiperiod hedging with futures contracts, Journal of Futures Markets, 22 (12), pp.1179-1203.
[158]Mak, B.S.C., Tang, G.Y.N.& Choi, D.F.S.(1993) , Validity of the carrying cost model and long run relationship between futures and spot index prices, Review of Futures Markets, 12(3), pp.687-715.
[159]Miffre, J.(2004) , Conditional OLS minimum variance hedge ratios, Journal of Futures Markets, 24(10), pp.945-964.
[160]Miller, M.H.(Chairman) (1988) , Final Report of the Committee of Enquiry Appointed by the CME to Examine the Events Surroundin.
[161]Miller, M.H.Muthuswarmy, J.&Whaley.R.E.(1994), Mean reversion of Standard & poor 500index basis change: Journal pf finance, 49(2), pp.479-513.October 19 1987, Chicago Mercantile Exchange.
[162]Moriarty, E.J., Gordon, J.D., Kuserk, G.J.& Wang, G.H.K.(1990), Statistical analysis of price and basis behaviour: October 12-26, 1098, S&P500 utures and cash.In The Stock Market: Bubbles, Volatility, and Chaos, ed.by G.P.Dwyer&R.W.Hafer, Kluwer Academic Publishers, pp.141-179.
[163]Moser, J.T.(1992) , Determining margin for futures contracts: the role f private interests and the erlevance of excess volatility, Federal Reserve Bankof Chicageo Economic Perspectives, March-April, pp.2-18.
[164]Norman, A.&Annandale, C.(1991), Index futures or stocks, FTSE 100 Index utures Review (Liffe), Fourth Quarter, pp.3-4.
[165]Park, H.Y.(1990) , Trading mechanisms and the price volatility: spot versus futures, University of Illinois at Urbana-Champaign, Working paper no.90-1683, 29 pages.
[166]Pickands, J., (1975), Statistical Inference Using Extreme Order Statistics, Annals of Statistics 3, 119-131.
[167]Pizzi, M.A., Economopoulos, A.J.&0' Neill, H.M.(1998), An examination of the relationship between stock index cash and futures markets: a cointegration approach, Journal of Futures Markets, 18(3), pp.297-305.
[168]Pliska, S.R.& Shalen, C.T.(1991) , The effects of regulations on trading activity and return volatility in futures markets, Journal of Futures Markets,11(2), pp.135-151.
[169]Quality of Markets Unit (1991), Equity stock lending and borrowing Quality of Markets Quarterly, January-March, pp.21-24.
[170]Robertson, M.J.(1990) , FTSE 100 Futures and Options, LIFFE & LTOM.
[171]Schlag, C.(1996), Expiration day effects of stock index derivatives in Germany, European Financial Management, 1, 69-95.
[172]Schwert, G.W.(1989) , Stock market volatility, Financial Analysts Journal, 46(3), pp.23-34.
[173]Securities and Exchange Commission.(1988) , The October 1987 Market Break:A Report by the Division of Market Regulation, Securities and Exchange Commission, US Government Printing Office, 850 pages.
[174]Smith, T.& Whaley, R.E.(1994) , Estimating the effective bid-ask spread from time and sales data, Journal of Futures Markets, 14(4), pp.437-455.
[175]So, R.W.& Tse, Y.(2001), A note on international portfolio diversification with short selling, Review of Quantitative Finance and Accounting, 16(4), pp.311-321.
[176]So, R.W.& Tse, Y.(2004) , Price discovery ion the Hang Seng index markets:index, futures and the tracker fund, Journal of Futures Markets, 24(9), pp.887-907.
[177]Speight, A.E.H., McMillan, D.G.& ap Gwilym, 0.(2000) , Intraday volatility components in FTSE lOOstock index futures, Journal of Futures Markets,20(5), pp.36-48.
[178]Stoll, H.R.& Whaley, R.E.(1987) , Program trading and expiration day effects, Financial Analysts Journal, 43(2), pp.16-28.
[179]Stoll, H.R.& Whaley, R.E.(1990) , The dynamics of stock index and stock index futures returns, Journal of Financial and Quantitative Analysis, 25(4), pp.441-468.
[180]Stoll, H.R., & Whaley, R.E.(1997), Expiration-day effects of the All Ordinaries Share Price Index Futures: Empirical Evidence and Alternative Settlement Procedures, Australian Journal of Management, 22, 139-174.
[181]Sutrick, K.H.(1993), Reducing the Bias in Empirical Studies due to Limit Moves, Journal of Futures Markets, 13, 527-543.
[182]T.Bollerslev.(1990), Modelling the Coherence in Short-Run Nominal Exchange Rates.- A Multivariate Generalized Arch Model, The Review of Economics and Statistics, Vol.72, No.3: 498-505
[183]Telser, L.G.(1981), Margins and futures contracts, Journal of Futures Markets, 1(2), pp.225-253.
[184]Tomek, W.G.(1985) , Margins on futures contracts: their economic roles and regulation.In Futures Markets: Regulatory Issues, ed.byA.E.Peck, American Enterprise Institute for Public Policy Research, Washington D.G., pp.143-209.
[185]Tse, Y.K.(1999) , Price discovery and volatility spillovers in the DJIA index and futures markets, Journal of Futures Markets, 19(8), pp.911-930.
[186]Wahab, M.& Lashgari, M.(1993) , Price dynamics and error correction in stock index and stock index futures markets: a conintegration approach, Journal of Futures Markets, 13(7), pp.711-742.
[187]Wang, J.(1999) Asymmetric information and the bid-ask spread: an empirical comparison between automated order execution and open outery auction, Journal of International Financial Markets, Institutions and Money, 9(2), pp.115-128.
[188]Warshawsky, M.(1989) , The adequacy and consistency of margin requirements:the cash, furutes and options segmants of the equity market, Review of Futures arkets, 8(3), pp.420-437.
[189]Working, H.(1953), Futures trading and hedging American Economic Review, 43(3), pp.314-343.
[190]Working, H.(1963), Futures markets under renewed attack, Food Research Institute Studies, vol.4, pp.13-24.References 493.
[191]Yadav, P.K.& Pope, P.F.(1990) , Stock index futures arbitrage:international evidence, Journal of Futures Markets, 10(6), pp.573-604.
[2]陈晓杰.沪深300股指期货仿真交易价格风险实证研究[J].当代财经,2008,(8):61-67.
[3]陈晓杰,黄志刚,邹辉文.金融期货与远期定价的虚拟衍生资产偏微分方法研究[J].广西金融研究,2007,(8):33-35.
[4]陈晓杰,黄志刚.台湾加权指数期货价量动态关系的实证分析及对大陆的启示[J].台湾农业探索,2007,(2):11-15.
[5]常清.我国农产品期货市场发展的理论和战略性研究[D].北京:中国社会科学院研究生院,2001:
[6]迟国泰,刘轶芳,余方平.基于SV模型和KLR信号分析的期货逼仓风险预警模型[J].系统工程,2006,(7):21-29.
[7]崔晓健,佟伟民,李一军.股指期货操纵行为的识别[J].企业管理,2008,(8):94-95.
[8]道格拉斯·C·诺斯.经济史中的结构与变迁[M].上海:上海人民出版社,1991.
[9]董科.防范股指期货六大风险[N].期货日报,2006,12(1):6.
[10]范英.股市风险值估计的EWMA方法及其应用[J].预测,2001(3):34-37.
[11]高见,杨丹.指数化投资中复制方法的比较分析[J].金融研究,2006,(8):31-40.
[12]郭晓亭.基于GARCH模型的中国证券投资基金市场风险实证研究[J].国际金融研究,2005,(10):55-59.
[13]韩德宗,陈弢.基于极值理论的我国期货市场保证金设置研究-经流动性风险调整后的优化设置[J].南方经济,2006,(7):25-33.
[14]黄运成,李海英,诸晓敏.借鉴美国经验加强对我国期货市场操纵的监管[J].金融理论与实践,2006,(4):77-79.
[15]蒋贤锋,史永东,李慕春.期货市场保证金调整的市场风险控制作用及制度改革-来自大连商品交易所的实证分析[J].金融研究,2007,(2):74-88.
[16]李翔,林树.信息不对称、信息披露与股票价格波动-兼论管理会计信息披露的市场效应[J].山西财经大学学报,2007,(6):112-116.
[17]李晓渝,宋曦,潘席龙.基于极值理论方法的中国股指期货保证金设定的实证研究[J].统计与信息论坛,2006,(4):42-45.
[18]李新路,张文修.中国股票市场个体投资者“处置效应”的实证研究[J].当代经济科学,2005,(5):76-81.
[19]刘博文,房振明.我国股指期货与现货价格发现效率实证研究-基于沪深300模拟期货数据[J].大连理工大学学报(社会科学版),2008,(2):6-9.
[20]刘凤元.现货市场与衍生品市场跨市监管研究[J].证券市场导报,2007,(9):38-42.
[21]刘红忠.金融市场学[M].上海:上海人民出版社,2003.
[22]刘晓星,陈学彬.金融全球化与金融监管:动因、挑战与问题——基于新兴市场经济国家的分析[J].国际经贸探索,2008,(3):50-54.
[23]刘庆富.中国期货市场波动性与价格操纵行为研究[D].南京:东南大学,2007:
[24]M.S.萨克里弗著,李飞,黄栋译.股指期货(第三版)[M].北京:中国青年出版社,2008.
[25]毛小云.防止期货市场操纵:监管措施及其效率评价[J].河北经贸大学学报,2006,(1):72-78.
[26]攀登,邹炎,刘海龙.考虑不完全知情交易者的交易策略分析[J].系统工程理论与实践,2003,(10):22-29.
[27]施东晖,孙培源.市场微观结构-理论与中国经验[M].上海:上海三联书店,2005:221-225.
[28]施红梅,施东晖.股票指数期货:模式设计和运作构想[J].证券市场导报,2000,(1):4-15.
[29]史永东,蒋贤锋.内幕交易、股价波动与信息不对称:基于中国股票市场的经验研究[J].世界经济,2004,(12):86-95.
[30]田成诗.政策事件对中国证券市场波动的影响研究[M].大连:东北财经大学出版社,2008.
[31]王宝森.股票指数期货交易策略及风险管理研究[M].北京:北京理工大学出版社,2007.
[32]王海洋.股指期货强行平仓的法律性质与后果[J].政治与法律,2008,(5):53-57.
[33]王柱,王欣荣,吴冲锋.每日结算价确定方法与股指期货价格发现效率的关系-以HIS 指数期货为例[J].系统工程理论方法应用,2006,(8):299-304.
[34]王永宏,赵学军.中国股市“惯性策略”和“反转策略”的实证分析[J].经济研究,2001(6):56-61.
[35]王福重,焦继文.基于t-分布下外债利率风险的VaR度量模型[J].金融研究,2006,(12):33-37.
[36]王春峰.金融市场风险管理[M].天津:天津大学出版社,2003.
[37]王春峰,卢涛,房振明.股票、股指期货跨市场信息监管的国际比较及借鉴[J].国际金融研究,2008,(3):63-68.
[38]王春峰,蒋祥林,韩冬.中国股市的内幕交易及监管-国际经验与中国的对策[J].国际金融研究,2003,(3):57-63.
[39]王开国.股指期货:市场深化中的金融创新[J].经济研究,2000,(7):32-38.
[40]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.
[41]吴育华,徐忠东.股指期货定价方法研究[J].现代财经,2006,(6):12-15.
[42]徐国祥,檀向球.全国统一股价指数编制研究——指数期货标的物选择实证分析[J].统计研究,2001,(9):46-53.
[43]徐国祥,吴泽智.我国指数期货保证金水平设定方法及其实证研究-极值理论的应用[J].财经研究,2004,(11):63-74.
[44]徐国祥,檀向球.指数期货合约定价模型及其实证研究-对恒生指数期货合约定价的实证分析[J].统计研究,2003,(8):50-53.
[45]邢精平.股指期货:方案设计与运作分析[M].北京:中国财政经济出版社,2007.
[46]邢精平,臧大年.换月效应、窗饰与股指期货合约到期日设计[J].证券市场导报,2006,(9):25-28.
[47]熊熊,王芳.我国沪深300股指期货仿真交易的价格发现分析[J].天津大学学报(社会科学版),2008,(4):321-325.
[48]杨朝峰.股指期货价格形成机制研究[D].上海:同济大学,2005:
[49]杨海珍,鄢宏亮.股指期货跨期套利交易保证金设置方法的比较[J].系统工程理论与实践,2008,(8):132-138.
[50]杨峰.海外股指期货市场比较研究[J].金融研究,2002,(7):36-43.
[51]杨德明,林斌,辛清泉.盈利质量、投资者非理性行为与盈余惯性[J].金融研究,2007,(2):122-132.
[52]应望江,张永京,徐华康.从台湾实践看股指期货对现货影响[J].证券市场导报,2001,(7):52-57.
[53]余书炜.本土市场对股指期货异地上市事件的反应[R].上海:上海期货交易所博士后报告,2006:
[54]周春生,王亚平.中国股票市场交易型的价格操纵研究[J].经济研究,2005,(10):67-87.
[55]章辉,胡颖,骆媛媛,邵彬.沪深300股指期货的保证金设计——基于“分形市场”假说的研究[J].财贸经济,2008,(4):36-41.
[56]张维,王平.印度股票市场与期货市场信息传递性研究[J].上海金融,2006,(9):54-57.
[57]张薰华.《资本论》脉络(第二版)[M].上海:复旦大学出版社,1999:21-25.
[58]张永鹏,邱沛光.市场操纵过程的进化博弈分析[J].系统工程理论与实践,2005,(3):214-222.
[59]张维.亚洲区域资本市场间的价格发现机制与联合监管[R].上海:复旦大学,2007:
[60]臧玉卫.股指期货在我国的应用研究[D].天津:天津大学,2003:
[61]周春生,杨云红,王亚平.中国股票市场交易型的价格操纵研究[J].经济研究,2005,(10):07-87.
[62]郑尊信,吴冲锋.现金结算价与股指期货套期保值决策[J].上海交通大学学报,2006,(9):1592-1595.
[63]周波.金融期货价格波动限制机制探讨[J].证券市场导报,2006,(9):68-73.
[64]周明,于渤.衍生品市场的法律框架:国际比较与趋势[J].证券市场导报,2007,(12):59-63.
[65]祝红梅.资产重组中的内幕交易和股价操纵行为研究[J].南开经济研究,2003,(5):60-62
[66]Abhyankar,(1995),A Return and volatility dynamics in the FTSE-100 stock index and stock index futures markets.The Journal of Futures Markets,15(4): 457 - 488.
[67]Ackert & Hunter, (1990), A Sequential Test Methodology for Detecting Futures Markets Disruptions with Applications to Futures Margin Management.Review of utures Markets, Vol.9, No.2, pp.318-41.
[68]Ackert & Hunter (1994), Tests of a simple optimizing model of daily price limits on futures contracts.Review of financial economics, 4, 93-108.
[69]Allen & Douglas Gale, (1992), Stock-Price Manipulation, The Review of Financial Studies, Vol.5, No.3, pp.503-529.
[70]Alkeback & Hagelin, (2004), Expiration Day Effects of index futures and options: evidence from a market with a long settlement period.Applied Financial Economics, 2004, 14: 385-396
[71]Amihad, (2002), Liquidity and stock returns: cross-section and time-series effects.Journal of Financial Market, 5 (1): 3-28
[72]Andersen, T.C.& Bollerslev, T.(1997), Intraday periodicity and volatility persistence in financial markets, Journal of Empirical Finance, 4(2-3), pp.115-158.
[73]Anderson, R.W.& Danthine, J.P.(1981) , Cross hedging, Journal of Political Economy, 89(6), pp.1182-1196.
[74]Antoniou, A., Koutmos, G.& Pericli, A.(2005), Index futures and positive feedback trading evidence from major stock exchanges, Journal of Empirical Finance, 12(2), pp.219-238.
[75]Arai, T., Akamatsu, T.&Yoshioka, A.(1993) , Stock index futures in Japarc problems and prospects, NRI Quarterly, 2(1), pp.28-57.A slightly edited version of the final section appears in the Journal of References 449 International Securities Markets, vol.7, Autume, pp.159-164.
[76]Arak, M.(1997), Do daily limits acts as magnets? The case of treasury bond futures.Journal of financial services research, 12, 5-20.
[77]Ariel, R.A.(1987), A monthly effect in stock returns.Journal of Financial Economics, 18: 161-174
[78]Bae, S.C., Kwon, T.H.& Park, J.W.(2004) , Futures trading spot market volatility and market efficiency: the case of the Korean index futures markets, Journal of Futures Markets, 24(12), pp.1195-1228.
[79]Bailey, W.(1989), The market for Japanese stock index futures some preliminary evidence, Journal of Futures Markets, 9(4), pp.283-295.
[80]Balkema, A.& L.de Haan, (1974), Residual Life Time at Great Age, Annals of Probability 2, 792-804.
[81]Bank for international settlemengts(BIS), BIS Quarterly Review.Septermber 2004.
[82]Barclay, W.J.& Noll, E.W.(1992) , The creation of equity derivative markets: learning from experience, Paper presented at the Pacific Basin Capital Markets Research Centre Conference, Hong Kong, 1992, 26pages.
[83]Bassett, G.W., France, V.G.& Pliska, S.R.(1989) , The MMI cash-futures spread on October 19, 1987, Review of Futures Markets, 8(1), pp.118-146.
[84]Becker, K.G., Finnerty, J.E.& Friedman, J.(1995), Economic news and equity market linkages between the US and UK, Journal of Banking and Finance, 19(7), pp.1191-1210.
[85]Berglund, T.& Kabir, R.(1994) , What explains the difference between the futures price and its "fair References 451 value"? Evidence from the European Options Exchange, Working paper, Tilburg University, Netherlands, 20 pages.
[86]Berkman, H., Brailsford, T.&Frino, A.(2005) , A note on execution costs for stock index futures: information versus liquidity effects, Journal of Banking and Finance, 29(3), pp.565-577.
[87]Bernanke, B.S.(1990), Clearing andsettlment during the crash, Review of Financial Studies, 3(1), pp.133-151.
[88]Billingsley, R.S.& Chance, D.M.(1988), The pricing and performance of stock index futures spreads, Journal of Futures Markets, 8(3), pp.303-318.
[89]Black, F.(1976), The pricing of commodity contracts, Journal of Financial Economices, 3(1), pp.167-179.
[90]Blank, S.C.(1991) , Chaos' in futures markets? A nonlinear dynamical analysis, Journal of Futures Markets, 11(6), pp.711-728.
[91]Board, J.L.G.& Sutcliffe, CM.S.(1995), The relative volatility of the markets in equities and index futures, Journal of Business Finance and Accounting,22(2), pp.201-223.
[92]Booth, G.G., Broussard, J.P., Martikainen, T.&Puttonen, V.(1997) ,Prudent margin levels in the Finnish stock index futures markets, Management Science, 43(8), pp.1177-1188.
[93]Brady, N.F.(Chairman), (1988) , Report on the Presidential Task Force on Market Mechanisms, US Government Printing Office, 320 pages.
[94]Braga, B.S.(1995) , Derivatives markets in Brazil: an overview, Working paper, Comisso de Valores Mobiliarios, Rio de Janeiro, 23 pages.
[95]Brenner, M., Subrahmanyam, M.G.& Uno, J.(1994) , The volatility of the Japanese stock indices evidence from the cash and futures markets.In Japan, Europe and International Financial Markets: Analytical and Empirical Perspectives, ed.by R.Sato, RM.M.Levich & R.V.Ramachandran, Cambridge University Press, pp.176-196.
[96]Btosussard, J.P.& Booth.G.G.(1998) , The behaviour of extreme values in Germany' stock index futures: an application to intra-daily setting, European Journal of Operational Research, 104(3), pp.393-402.
[97]Buckle, M., apGwilym, 0., Thomas, S.H.&Woodhams, M.S.(1998) , Intraday empirical regularities in interest rate and equity index futures markets and the effect of macroeconomic announcements, Jornal of Business Finance and Accounting, 25(7-8), pp.921-944.
[98]Chamberlain, T.W., Cheung, S.C., & Kwan, C.C.Y.(1989), Expiration day effects of index futures and options: Some Canadian evidence, Financial Analysts Journal, 45(5), 67-71.
[99]Chang E.C.Cheng, J.W.& Pinegar, J.M.(1999) , Does futures trading increase stock market volatility? The case of the Nikkei stock futures market, Journal of Banking and Finance, 23(5), pp.727-753.
[100]Cherian, J.A.and R.A.Jarrow(1995), Market Manipulation, Chapter 20 of Handbook of Operations Research and Management Science, vol.9, Finance, North- Holland.
[101]Chng, M.T.(2004) , A model of price discovery and market design: theory and empirical evidence, Journal of Futures Markets, 24(12), pp.1107-1146.
[102]Chou, R.K.& Chung, H.(2004) , Decimalization, trading costs and information transmissions between ETFs and index futures, Working paper, National Central University at Taiwan.
[103]Chou, R.K.&Lee, J.H.(2002), The relative effciencies of price execution between the Singapore Exchange and the Taiwan Futures Exchange, Journal of Futures Markets, 22(2), pp.173-196.
[104]Chu, Q.C., Hsieh, W.G.& Tse, Y.(1999) , Price discovery on the S&P500 index markets; an analysis of spot index, index futures and SPDRs, International Review of Financial Analysis, 8(1), pp.21-34.
[105]Chung, Y.P., Kang, J.K.&Rhee, S.G.(1994) , The lead-lag relationship between the stock market and stock index futures market in Japan.PACAP Research Centre, University of Rhode Island, Working paper, 27 pages.
[106]Cita, J.& Lien, D.D.(1992) , Constructing accurate cash settlement indices: the role of index specifications, Journal of Futures Markets, 12(3), pp.339-360.
[107]Cornell, B.& French, K.R.(1983) , The pricing of stock index futures, ournal of Futures Markets, 3(1), pp.1-14.
[108]Cotter, J.(2001), Margin exceedences for European stock index futures using extreme value theory, Journal of Banking and Finance, 25(8), pp.1475-1502.
[109]Danielsson, J.and C.G.de Vries (1997), Tail Index and Quantile Estimation with Very High Frequency Data, Journal of Empirical Finance, 4, 241-257.
[110]Day E.Theodore.CraigM.Lewis.(1997), Initial Marin Policy and Stochastic Volatility in the Crude Oil Futures Market.Review of Financial Studies.10(2), 303-332.
[111]De Ceuster, M.J.K., Durinck, E., Laveren, E.& Lodewyckx, J.(2000), A survey into the use of derivatives by large non-financial forms operating in elgium, European Financial Management, 6(3), pp.301-318.
[112]De Jong, F.& Nijman, T.(1997), High frequency analysis of lead-lag relationships between financial markets, Journal of Empirical Finance, 4(2-3), pp.259-277.
[113]Dow, J.and Gorton(1997), Stock Market Efficiency and Economic Efficiency: Is there a Connection? Journal of Finance, 7, 1087-1130.
[114]Dusak, K.(1973) , Futures trading and investor returns: an investigation of commodity market risk premiums, Journal of Political Economy, 81(6), pp.1387-1406.
[115]Dutt, H.R.& Wein, I.L.(2003) , Revisiting the empirical estimation of the effect of margin changes of futures trading volume, Journal of Futures Markets,23(6), pp.561-576.
[116]Engle, R.F.(2002), Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models.Journal of Business & Economic Statistics, 7: 339-350.
[117]Fama, E.F.(1989), Perspectives on October 1987, or what did we learn from the crash? In: R.kampuis, Black Monday and the future of Financial markets, 71-82.
[118]Fenn, G.&Kupiec, P.(1993) , Prudential margin policy in a futures-style settlement system, Journal of Futures Markets, 13(4), pp.389-408.
[119]Figlewski, S.(1984), Margins and market integrity: margin setting for stock index futures and options, Journal of Futures Markets, 4(3), pp.385-416.
[120]Fishe, R.P.H.& Goldberg, L.G.(1986) , The effects of margins on trading in futures markets, Journal of Futures Markets, 6(2), pp.261-271.
[121]Fisher, R.and L.Tippett (1928), Limiting Forms of the Frequency Distribution of the Largest or Smallest Member of a Sample, Proceedings of the Cambirdge Philosophical Society, 180-190.
[122]Fleming, J., Ostdiek, B.& Whaley, R.E.(1996) , Trading cosls and the relative rates of price discovery in stock, futures and option markets, Journal of Future Markets, 16(4), pp.353-387.
[123]France, V.G.(1991), The regulation of margin requirements.In Margins and Market Integrity, ed.by the Mid America Institute, Probus Publishing Co., pp.1-47.464.
[124]Furbush, D.(1989), Program trading and price movement: evidence from the October 1987 market crash, Financial Management, 18(3), pp.68-83.
[125]Gay, G.D., Hunter, W.C.& Kolb, R.W.(1986) , A comparative analysis of futures contract margins, Journal of Futures Markets, 6(2), pp.307-324.
[126]Gay, G.D.& Jung, D.Y.(1999) , A further look at transaction costs, short sale restrictions and futures market efficiency: the case of Korean stock index futures, Journal of Futures Markets, 19(2), pp.153-174.
[127]Ginter, G.D.(1991) , Toward a theory of harmonized margins.In Margins and Market Integrity, ed.by the Mid America Institute, Probus Publishing Co., pp.49-53.
[128]Gray, R.W.(1963), Onions revisited, Journal of Farm Economics, vol.45, May, pp.273-276.
[130]Green, E.J.(1986) , Financial futures and price-level variability.In Financial Futures and Options in the US E-conomy: A Study by the SAtaff of the Federal Reserve System, ed.byM.L.Kwast, Board of Governors of the Federal Reserve System,pp.79-89.
[131]Gulen, H.& Mayhew, S.(2000), Stock index futures trading and volatility in international equity markets, Journal of Futures Markets, 20(7), pp.661-685.
[132]Harris, L.(1989), The October 1987 S&P500 stock-futures basis, Journal of Finance, 44(1), pp.77-90.
[133]Harris, L., Sofianos, G.& Shapiro, J.E.(1994) , Program trading and intraday volatility, Review of Financial Studies, 7(4), pp, 653-685.
[134]Hartzmark, M.L.(1986) , The effects of changing margin levels on futures market activity, the composition of traders in the market and price performance, Journal of Business, 59(2), Part 2, pp.S147-S180.
[135]Hartzmark, M.L.(1986) , Regulating futures margin requirements, Reviewof Research in Futures Markets, 5(3), pp.242-260.
[136]Hazen, T.L.(1992), Rational investments, speculation or gambling-Derivative securities and financial futures and their effect on the underlying capital markets, North-western University Law Review, 86(4), pp.987-1037.
[137]Ibbotson, R.G.& Kaplan, P.D.(2000) , Does asset allocation policy explain 40, 90 or 100 percent of perfor-mance?, Financial Analysts Journal, 56(1), pp.26-33.
[138]Illueca, M.&Lafuents, J.A.(2004), Introducing the mini-futures contract in Ibex 35: implications for price discovery and volatility transmission, Working paper WP-EC 2004-13, Valencian Institute of Economic Research, 24 pages.
[139]Jenkinson, A.F.(1955), The Frequency Distribution of the Annual Maximum (or Minimum) Values of Meteorological Elements, Quarterly Journal of the Royal Meteorology Society, 87, 145-158.
[140]Juri A.(2002), Wutrich M V.Copula Convergence Theorems for Tail Eventslnsurance: Mathematics and Economics, 30: 405-420.
[141]Kan, A.C.N.& Tang, G.Y.N.(1999) , The impact of index futures trading on the betas of the underlying constituent stockes; the case of Hong Kong, Journal of International Financial Markets, Institutions References 473 and Money, 9(1),pp.97-114.
[142]Karolyi, A.G.(1996), Stock market volatility around expiration days in Japan, Journal of Derivatives, 4(2), 23-43.
[143]Kawaller, I.G.(1987) , A note: debunking the myth of the risk-free terurn,Journal of Futures Markets, 7(3), pp.327-331.
[144]Kawaller, I.G.(1991) , Determining the relevant fair value (s) of S&P500 futures: a case study approach, Journal of Futures Markets, 11(4), pp.453-460.
[145]Kipnis, G.M.& Tsang, S.(1984) , Arbitrage.In Stock Index Futures, ed.by F.J.Fabozzi & G.M.Kipnis, Dow Jones-Irwin pp.124-141.
[146]Klemkosky, R.C.& Lee, J.H.(1991) , The intraday ex post and ex ante profitability of index arbitrage, Journal of Futures Markets, 11(3), pp.291-311.
[147]Kodres (1993), Tests of unbiasedness in the foreign exchange futures markets: An examination of price limits and conditional heteroskedasticity.Journal of business, 66, 463-490.
[148]Kutner, G.W.& Sweeney, R.J.(1991), Causality tests between the S&P500 cash and futures markets, Quarterly Jurnal of Buisiness and Economics, 30(2),pp.51-74.
[149]Kyriacou, K.& Sarno, L.(1999) , The temporal relationship between derivatives trading and spot market volatility in the UK: empirical analysis and Monte Carlo evidence, Journal of Futures Markets, 19(3), pp.245-270.
[150]Lam, K, Sin, C.Y.& Leung.R.(2004) , A theoretical framework to evaluate different margin-setting methodologies, Journal of Futures Markets, 24(2), pp.117-145.
[151]Lawrence, C& G.Robinson.(1998), Liquidity, Dynamic Hedging and Value at Risk, in Risk Management for Financial Institutions, ed.Risk Publications,63-72.
[152]Lien, D.D.&Tse, Y.K.(1998) , Hedging time-varying downside risk, Journal of Futures Markets, 18(6), pp.705-722.
[153]Lim, K.G.(1992), Arbitrage and price behaviour of the Nikkei stock index futures, Journal of Futures Markets, 12(2) pp.151-161.
[154]Longin, F.(1996), The Asymptotic Distribution of Extreme Stock Market Returns, Journal of Business, 69(3): 383 — 408.
[155]Longin, F.(1999), optimal Margin Levels in Futures Makrets: Extreme price Movements, Journal of Futures Markets 19, 127 — 152.
[156]Longin, F.M.and B.Solnik (2001), Extreme Correlation of International Equity Markets, Journal of Finance, 56, 2, 649-676.
[157]Low, A., Muthuswamy, J., Sakar, S.& Terry, E.(2002), Multiperiod hedging with futures contracts, Journal of Futures Markets, 22 (12), pp.1179-1203.
[158]Mak, B.S.C., Tang, G.Y.N.& Choi, D.F.S.(1993) , Validity of the carrying cost model and long run relationship between futures and spot index prices, Review of Futures Markets, 12(3), pp.687-715.
[159]Miffre, J.(2004) , Conditional OLS minimum variance hedge ratios, Journal of Futures Markets, 24(10), pp.945-964.
[160]Miller, M.H.(Chairman) (1988) , Final Report of the Committee of Enquiry Appointed by the CME to Examine the Events Surroundin.
[161]Miller, M.H.Muthuswarmy, J.&Whaley.R.E.(1994), Mean reversion of Standard & poor 500index basis change: Journal pf finance, 49(2), pp.479-513.October 19 1987, Chicago Mercantile Exchange.
[162]Moriarty, E.J., Gordon, J.D., Kuserk, G.J.& Wang, G.H.K.(1990), Statistical analysis of price and basis behaviour: October 12-26, 1098, S&P500 utures and cash.In The Stock Market: Bubbles, Volatility, and Chaos, ed.by G.P.Dwyer&R.W.Hafer, Kluwer Academic Publishers, pp.141-179.
[163]Moser, J.T.(1992) , Determining margin for futures contracts: the role f private interests and the erlevance of excess volatility, Federal Reserve Bankof Chicageo Economic Perspectives, March-April, pp.2-18.
[164]Norman, A.&Annandale, C.(1991), Index futures or stocks, FTSE 100 Index utures Review (Liffe), Fourth Quarter, pp.3-4.
[165]Park, H.Y.(1990) , Trading mechanisms and the price volatility: spot versus futures, University of Illinois at Urbana-Champaign, Working paper no.90-1683, 29 pages.
[166]Pickands, J., (1975), Statistical Inference Using Extreme Order Statistics, Annals of Statistics 3, 119-131.
[167]Pizzi, M.A., Economopoulos, A.J.&0' Neill, H.M.(1998), An examination of the relationship between stock index cash and futures markets: a cointegration approach, Journal of Futures Markets, 18(3), pp.297-305.
[168]Pliska, S.R.& Shalen, C.T.(1991) , The effects of regulations on trading activity and return volatility in futures markets, Journal of Futures Markets,11(2), pp.135-151.
[169]Quality of Markets Unit (1991), Equity stock lending and borrowing Quality of Markets Quarterly, January-March, pp.21-24.
[170]Robertson, M.J.(1990) , FTSE 100 Futures and Options, LIFFE & LTOM.
[171]Schlag, C.(1996), Expiration day effects of stock index derivatives in Germany, European Financial Management, 1, 69-95.
[172]Schwert, G.W.(1989) , Stock market volatility, Financial Analysts Journal, 46(3), pp.23-34.
[173]Securities and Exchange Commission.(1988) , The October 1987 Market Break:A Report by the Division of Market Regulation, Securities and Exchange Commission, US Government Printing Office, 850 pages.
[174]Smith, T.& Whaley, R.E.(1994) , Estimating the effective bid-ask spread from time and sales data, Journal of Futures Markets, 14(4), pp.437-455.
[175]So, R.W.& Tse, Y.(2001), A note on international portfolio diversification with short selling, Review of Quantitative Finance and Accounting, 16(4), pp.311-321.
[176]So, R.W.& Tse, Y.(2004) , Price discovery ion the Hang Seng index markets:index, futures and the tracker fund, Journal of Futures Markets, 24(9), pp.887-907.
[177]Speight, A.E.H., McMillan, D.G.& ap Gwilym, 0.(2000) , Intraday volatility components in FTSE lOOstock index futures, Journal of Futures Markets,20(5), pp.36-48.
[178]Stoll, H.R.& Whaley, R.E.(1987) , Program trading and expiration day effects, Financial Analysts Journal, 43(2), pp.16-28.
[179]Stoll, H.R.& Whaley, R.E.(1990) , The dynamics of stock index and stock index futures returns, Journal of Financial and Quantitative Analysis, 25(4), pp.441-468.
[180]Stoll, H.R., & Whaley, R.E.(1997), Expiration-day effects of the All Ordinaries Share Price Index Futures: Empirical Evidence and Alternative Settlement Procedures, Australian Journal of Management, 22, 139-174.
[181]Sutrick, K.H.(1993), Reducing the Bias in Empirical Studies due to Limit Moves, Journal of Futures Markets, 13, 527-543.
[182]T.Bollerslev.(1990), Modelling the Coherence in Short-Run Nominal Exchange Rates.- A Multivariate Generalized Arch Model, The Review of Economics and Statistics, Vol.72, No.3: 498-505
[183]Telser, L.G.(1981), Margins and futures contracts, Journal of Futures Markets, 1(2), pp.225-253.
[184]Tomek, W.G.(1985) , Margins on futures contracts: their economic roles and regulation.In Futures Markets: Regulatory Issues, ed.byA.E.Peck, American Enterprise Institute for Public Policy Research, Washington D.G., pp.143-209.
[185]Tse, Y.K.(1999) , Price discovery and volatility spillovers in the DJIA index and futures markets, Journal of Futures Markets, 19(8), pp.911-930.
[186]Wahab, M.& Lashgari, M.(1993) , Price dynamics and error correction in stock index and stock index futures markets: a conintegration approach, Journal of Futures Markets, 13(7), pp.711-742.
[187]Wang, J.(1999) Asymmetric information and the bid-ask spread: an empirical comparison between automated order execution and open outery auction, Journal of International Financial Markets, Institutions and Money, 9(2), pp.115-128.
[188]Warshawsky, M.(1989) , The adequacy and consistency of margin requirements:the cash, furutes and options segmants of the equity market, Review of Futures arkets, 8(3), pp.420-437.
[189]Working, H.(1953), Futures trading and hedging American Economic Review, 43(3), pp.314-343.
[190]Working, H.(1963), Futures markets under renewed attack, Food Research Institute Studies, vol.4, pp.13-24.References 493.
[191]Yadav, P.K.& Pope, P.F.(1990) , Stock index futures arbitrage:international evidence, Journal of Futures Markets, 10(6), pp.573-604.