股指期货异地上市对“定价权”的影响研究
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摘要
衍生金融市场自诞生以来,发展历程虽然只经历短短三十多年,但无论从产品种类、市场规模、增长速度来说,都相当惊人。股指期货,衍生金融产品的一种,在证券市场上,是一种能有效对冲系统性风险所不可或缺的重要工具,各国交易所也竞相开设股指期货交易,更有甚者,不少交易所开发出以别国(或地区)股指为标的的期货产品,这就是本文所述的股指期货异地上市。2006年9月5日,新加坡交易所推出的新华富时A50指数期货,是以我国A股指数为标的开发出的,使我国也面临着股指期货异地上市的问题。
很多学者研究过股指期货对现货市场的影响,也证实这种影响是显著的,然而对“定价权”这一带有主权色彩的问题却较少地发表看法,多数这方面的研究集中在商品市场及商品期货市场,部分原因在于商品市场的定价权缺失造成的贸易损失很明显。基于这些情况,本文借助异地上市的日经225指数期货,通过实证分析其对现货价格发现的贡献度,即它在“定价权”问题上所占的权重,来研究异地上市的股指期货对“定价权”的影响,在阐述了定价权重要性的前提下,分析异地的这些“影响”会给本土市场造成哪些冲击?尤其是在“定价权”方面的冲击?我国是否同样面临这种状况?管理层应该如何应对?本文正是拟解决这些问题。
股指期货异地上市是指以一国(或地区)的股票价格指数作为交易标的的期货合约在另一国(或地区)上市交易。这里,把该股价指数所在国(或地区)的证券市场称为本土市场,把推出该异地上市股指期货合约的国家(或地区)的证券市场称为异地市场。论文第一章,介绍选题背景、研究意义和文献综述等;第二章,阐述股指期货和定价权概念及相关理论;第三章,定性和定量分析股指期货异地上市对本土市场定价方面影响;第四章,分析我国可能面临“定价权”之争的问题;第五章,分析我国现状,提出政策建议。
Since the creation of derivative financial markets, it experiences tremendousdevelopment in last three decades, judging by products, market scale or growth speed.Stock index futures are one kind of derivative financial products, which is anindispensable tool to counteract system risk. And many countries establish their stockindex futures exchange, some even develop products based on futures of othercountries, which are the overseas listing futures referred to in thisdissertation .Singapore created a product, called XinHuafu A50 in sep 5th 2006, whichtargets onAstock of our country, bringing us the issue of oversea listing stock index.
Many scholars have done the research on the effect on spot market from stockindex futures, proving the existence of prominent effect. However, few express theirviewpoint on“pricing right”, which is hot topic in merchandise market andmerchandise futures market. This is partly because of serious consequences onshortage of pricing right of merchandise market. Under such circumstances, we willuse data of overseas Nikkei 225 index futures and employ experiential approach toanalyze the contribution degree on price of spot market. Based on the importance ofpricing right, we will discuss what kind of impact it will pose on local market,especially on pricing right. Whether does our country face similar situation? Whatmeasures should we take to deal with it? This dissertation will present answers.
The first chapter introduces relative background, meaning of the research andsummery of reference articles. The second chapter describes the definition of stockindex futures and pricing right and related theories. The third chapter analyzesquantitatively and qualitatively the effect on local market pricing right from overseaslisting. The forth chapter discusses the issue of pricing right our country is facing. Thefifth chapter further analyzes the current situation of our country and proposes somesuggestion.
很多学者研究过股指期货对现货市场的影响,也证实这种影响是显著的,然而对“定价权”这一带有主权色彩的问题却较少地发表看法,多数这方面的研究集中在商品市场及商品期货市场,部分原因在于商品市场的定价权缺失造成的贸易损失很明显。基于这些情况,本文借助异地上市的日经225指数期货,通过实证分析其对现货价格发现的贡献度,即它在“定价权”问题上所占的权重,来研究异地上市的股指期货对“定价权”的影响,在阐述了定价权重要性的前提下,分析异地的这些“影响”会给本土市场造成哪些冲击?尤其是在“定价权”方面的冲击?我国是否同样面临这种状况?管理层应该如何应对?本文正是拟解决这些问题。
股指期货异地上市是指以一国(或地区)的股票价格指数作为交易标的的期货合约在另一国(或地区)上市交易。这里,把该股价指数所在国(或地区)的证券市场称为本土市场,把推出该异地上市股指期货合约的国家(或地区)的证券市场称为异地市场。论文第一章,介绍选题背景、研究意义和文献综述等;第二章,阐述股指期货和定价权概念及相关理论;第三章,定性和定量分析股指期货异地上市对本土市场定价方面影响;第四章,分析我国可能面临“定价权”之争的问题;第五章,分析我国现状,提出政策建议。
Since the creation of derivative financial markets, it experiences tremendousdevelopment in last three decades, judging by products, market scale or growth speed.Stock index futures are one kind of derivative financial products, which is anindispensable tool to counteract system risk. And many countries establish their stockindex futures exchange, some even develop products based on futures of othercountries, which are the overseas listing futures referred to in thisdissertation .Singapore created a product, called XinHuafu A50 in sep 5th 2006, whichtargets onAstock of our country, bringing us the issue of oversea listing stock index.
Many scholars have done the research on the effect on spot market from stockindex futures, proving the existence of prominent effect. However, few express theirviewpoint on“pricing right”, which is hot topic in merchandise market andmerchandise futures market. This is partly because of serious consequences onshortage of pricing right of merchandise market. Under such circumstances, we willuse data of overseas Nikkei 225 index futures and employ experiential approach toanalyze the contribution degree on price of spot market. Based on the importance ofpricing right, we will discuss what kind of impact it will pose on local market,especially on pricing right. Whether does our country face similar situation? Whatmeasures should we take to deal with it? This dissertation will present answers.
The first chapter introduces relative background, meaning of the research andsummery of reference articles. The second chapter describes the definition of stockindex futures and pricing right and related theories. The third chapter analyzesquantitatively and qualitatively the effect on local market pricing right from overseaslisting. The forth chapter discusses the issue of pricing right our country is facing. Thefifth chapter further analyzes the current situation of our country and proposes somesuggestion.
引文
[1]万丽. 境外抢先推出中国股指期货对我国股市的影响分析[J]. 西安金融,2006,(10):40-41
[2]田佳弘. 台湾股指期货交易对股票价格波动之影响[D].中原大学硕士学位论文,2000,(11):15-70
[3]郭睿. 引进股指期货对现货市场的影响研究[D]. 吉林大学博士学位论文,2005,(6):1-97
[4]韩鹏举. 股指期货异地上市对我国股票及股指期货市场发展的影响研究[D].上海财经大学硕士学位论文,2006,(11):10-50
[5]陈芳平, 李松涛. 股指期货推出对股指波动性影响的实证研究-基于日经 225指数期货交易整合式市场模式[J]. 证券投资,2006,(2):45-47
[6]周雨田, 李志宏, 巫春洲. 台湾期货对现货市场的信息传递效果分析[J]. 台湾财务金融学会,2003,(8):45-48
[7]邱建良, 魏志良.TAIFEX与MSCI台股指数期货与现货直接避险策略之研究[J].商管科技季刊,2004,(5):2
[8]余书炜. 本土市场对股指期货异地上市事件的反应[J]. 期货市场研究报告,2005,(11):1-5
[9]Tse Y., SO RW. Price Discoveryin the Hang Seng Index Markets:Index,Futures andtheTracker Fund[J]. Journal of Futures Markets,2004,(9):887-907
[10]Snehal Bandivadekar, Saurabh Ghosh. Derivatives and Volatility on Indian StockMarkets[J].Reserve Bank of India Occasional Papers,2003,(24):3
[11]FrinoA.,T.Walter,A.West,The Lead-lag Relationship between Equities and StockIndex Futures Markets around Information Releases[J].Journal of Futures Markets,2000,(20):467-487
[12]Coving V., Ding D.K., Low B.S. Price discovery in informationally-linkedmarkets:Amicrostructure analysis of Nikkei 225 futures[J].Woking paper,2003
[13]Covrig, V., Ding, D., and Low, B.S. The Contribution of a Satellite Market toPrice Discovery: Evidence from the Singapore Exchange[J]. Journal of FuturesMarkets,2004,(10):981-1004
[14]Booth G., Lee T., Tse Y. International linkages in Nikkei stock index futuresmarkets[J]. Pacific-Basin Finance Journal, 1996,(4):59-76
[15]Wen-liang,Gideon Hsieh. Regulatory changes and information competition: Thecase ofTaiwan index futures[J]. Journal of Futures Markets, 2004,(24):399-412
[16]Bessembinder R., Seguin G.W. Pricing Stock Index Futures with StochasticInterest Rates[J]. Journal of Futures Markets,1996,(5):67-85
[17]Robinson G. The effect of futures trading on cash market volatility:evidence fromLondon stock exchange[J]. Band of EnglandWorking Paper,1993,(10):1-15
[18]Edwards F. Does futures trading increase stock market volatility?[J]. FinancialAnalysis Journal,1988,(44):63-69
[19]Edwards F. Futures trading and cash market volatility:Stock index and interest ratefutures[J]. Journal of Futures Markets,1988,(8):421-439
[20]Pericli A., Koutmos G. Index Futures and Options and Stock Market Volatility[J].Journal of Futures Markets,1997,(12):957-974
[21]李华, 程婧. 股指期货推出对股票市场波动性的影响研究-来自日本的实证分析[J]. 金融与经济, 2006,(2):81-83
[22]Harris L. The October 1987 S&P500 Stock-index-futures Basis[J]. The Journal ofFinance,1989,(5):77-99
[23]Antoniou A., Holmes P. Futures Trading,Information and Spot Price Volatility:Evidence for the FTSE-100 Stock Index Futures Contract Using GARCH[J].Journal of Banking & Finance,1995,(19):117-129
[24]Lockwood L.An Examination of Stock Market ReturnVolatilityDuringOvernightand IntradayPeriods[J]. Journal of Finance,1990,(2):1964-1989
[25]Chang E.C., Cheng J.W., Pinegar J.M. Does futures trading increase stock marketvolatility?The case of the Nikkei stock index futures market[J]. Journal of Bankingand finance,1999,(23):727-753
[26]Hasbrouck J. One security,many markets:Determining the contributions to pricediscovery[J]. Journal of Finance,1995,(50):1175-1199
[27]Gonzalo J., Granger C.W.J. Estimation of common long-memory componets incointegrated systems[J]. Journal of Business & Economic Statistics,1995,(13):27-35
[28]Grossman, Sanford J., Merton H.Miller. Liquidity and Market Structure[J].Journal of Finance,1988,(7):617-637
[29]Miller M.H. International competitiveness of U.S. futures markets[J]. Journal ofFinancial Service Research,1990,(4):415-418
[30]Stoll H.R., Whaley R.E. The dynamics of stock index and stock index futuresreturns[J]. Journal of Financial and QuantitativeAnalysis,1990,(25):441-468
[31]Chan K. A further analysis of the lead-lag relationship between the cash marketand stock index futures market[J]. Review of Financial Studies,1992,(5):123-152
[32]Raymond W. So, Yiuman Tse. Price discovery in the hang seng index markets:Index, futures, and the tracker fund[J]. Journal of Futures Markets,2004,(24):9-887
[33]夏天, 程细玉. 国内外期货价格和国产现货价格动态关系的研究[J]. 金融研究,2006,(2):110-117
[34]肖辉, 吴冲锋, 鲍建平等. 伦敦金属交易所与上海期货交易所铜价格发现过程[J].系统工程理论方法应用, 2004,(6):481-489
[35]刘庆富, 王海民. 期货市场与现货市场之间的价格研究-中国农产品市场的经验[J]. 财经问题研究, 2006,(4):44-51
[36]Damodaran A. Index futures and stock market volatility[J]. Review of FuturesMarkets,1990,(9):442-457
[37]Fung J., Lien D., Tse Y.et. Effects of Electronic Trading on the Hang Seng IndexFuturesMarket[J].InternationalReviewofEconomicsandFinance,2005,(14):415-425
[38]徐旭初. 股指期货的国际比较研究-模型、实证及中国课题[D].复旦大学博士学位论文,2003:51-140
[39]徐雪. 期货市场学教程[M].北京:经济日报出版社, 2005:5-350
[40]段文彬,王化栋.现代期货市场学[M].北京:经济管理出版社,2003:55-290
[41]理查德·J·特维莱斯, 弗兰克·J·琼斯等. 期货交易使用指南(第三版)[M]. 北京:经济科学出版社, 2000:1-390
[42]廖俊. 本土定价权与 IPO 寻租[J].新财经,2004,(12):2
[43]梅新育. 中国没有定价权[J].世界知识,2005,(15):16-20
[44]胡冠. 定价权关乎国家根本[J].新财经,2006,(3):3
[45]杨丽媪. 争夺国际定价权[J]. 粤港澳价格,2005,(5):19-22
[46]Lai, K. S. , M. Lai. A Cointegration Test for Market Efficiency”[J]. The Journal ofFutures Markets, 1991,(11):567-575
[47]郑振龙,张雯. 各国衍生金融市场监管比较研究[M]. 北京:中国金融出版社,2003:10-85
[48]初昌雄, 史蓉. 股指期货对股票现货市场的影响分析[J]. 当代经济,2007,(10):10-12
[49]RueyS.Tsay,潘家柱.金融时间序列分析[M].北京:机械工业出版社,2006:10-410
[50]高铁梅.计量经济分析方法与建模—Eviews 应用及实例[M]. 北京:清华大学出版社,2006,(1):1-450
[51]陈冰. 中国国际定价话语权之我见[J]. 科技情报开发与经济, 2007,(29):172-174
[52]李萌. 中国有望取得棕榈油国际市场定价权[J]. 中国经济周刊,2007,(38):48-49
[53]王聪轩, 刘磊磊. 新华富时A50股指期货推出对国内市场的影响[J]. 商场现代化, 2007,(6):364
[54]李炜.论我国资本市场的金融抑制和金融深化[J].经济师,2007,(6):66-67
[55]陈晓红, 李大荣. 中国金融抑制与经济效率的实证研究—— 基于所有制结构的视角[J]. 华东经济管理, 2007,(9):39-44
[2]田佳弘. 台湾股指期货交易对股票价格波动之影响[D].中原大学硕士学位论文,2000,(11):15-70
[3]郭睿. 引进股指期货对现货市场的影响研究[D]. 吉林大学博士学位论文,2005,(6):1-97
[4]韩鹏举. 股指期货异地上市对我国股票及股指期货市场发展的影响研究[D].上海财经大学硕士学位论文,2006,(11):10-50
[5]陈芳平, 李松涛. 股指期货推出对股指波动性影响的实证研究-基于日经 225指数期货交易整合式市场模式[J]. 证券投资,2006,(2):45-47
[6]周雨田, 李志宏, 巫春洲. 台湾期货对现货市场的信息传递效果分析[J]. 台湾财务金融学会,2003,(8):45-48
[7]邱建良, 魏志良.TAIFEX与MSCI台股指数期货与现货直接避险策略之研究[J].商管科技季刊,2004,(5):2
[8]余书炜. 本土市场对股指期货异地上市事件的反应[J]. 期货市场研究报告,2005,(11):1-5
[9]Tse Y., SO RW. Price Discoveryin the Hang Seng Index Markets:Index,Futures andtheTracker Fund[J]. Journal of Futures Markets,2004,(9):887-907
[10]Snehal Bandivadekar, Saurabh Ghosh. Derivatives and Volatility on Indian StockMarkets[J].Reserve Bank of India Occasional Papers,2003,(24):3
[11]FrinoA.,T.Walter,A.West,The Lead-lag Relationship between Equities and StockIndex Futures Markets around Information Releases[J].Journal of Futures Markets,2000,(20):467-487
[12]Coving V., Ding D.K., Low B.S. Price discovery in informationally-linkedmarkets:Amicrostructure analysis of Nikkei 225 futures[J].Woking paper,2003
[13]Covrig, V., Ding, D., and Low, B.S. The Contribution of a Satellite Market toPrice Discovery: Evidence from the Singapore Exchange[J]. Journal of FuturesMarkets,2004,(10):981-1004
[14]Booth G., Lee T., Tse Y. International linkages in Nikkei stock index futuresmarkets[J]. Pacific-Basin Finance Journal, 1996,(4):59-76
[15]Wen-liang,Gideon Hsieh. Regulatory changes and information competition: Thecase ofTaiwan index futures[J]. Journal of Futures Markets, 2004,(24):399-412
[16]Bessembinder R., Seguin G.W. Pricing Stock Index Futures with StochasticInterest Rates[J]. Journal of Futures Markets,1996,(5):67-85
[17]Robinson G. The effect of futures trading on cash market volatility:evidence fromLondon stock exchange[J]. Band of EnglandWorking Paper,1993,(10):1-15
[18]Edwards F. Does futures trading increase stock market volatility?[J]. FinancialAnalysis Journal,1988,(44):63-69
[19]Edwards F. Futures trading and cash market volatility:Stock index and interest ratefutures[J]. Journal of Futures Markets,1988,(8):421-439
[20]Pericli A., Koutmos G. Index Futures and Options and Stock Market Volatility[J].Journal of Futures Markets,1997,(12):957-974
[21]李华, 程婧. 股指期货推出对股票市场波动性的影响研究-来自日本的实证分析[J]. 金融与经济, 2006,(2):81-83
[22]Harris L. The October 1987 S&P500 Stock-index-futures Basis[J]. The Journal ofFinance,1989,(5):77-99
[23]Antoniou A., Holmes P. Futures Trading,Information and Spot Price Volatility:Evidence for the FTSE-100 Stock Index Futures Contract Using GARCH[J].Journal of Banking & Finance,1995,(19):117-129
[24]Lockwood L.An Examination of Stock Market ReturnVolatilityDuringOvernightand IntradayPeriods[J]. Journal of Finance,1990,(2):1964-1989
[25]Chang E.C., Cheng J.W., Pinegar J.M. Does futures trading increase stock marketvolatility?The case of the Nikkei stock index futures market[J]. Journal of Bankingand finance,1999,(23):727-753
[26]Hasbrouck J. One security,many markets:Determining the contributions to pricediscovery[J]. Journal of Finance,1995,(50):1175-1199
[27]Gonzalo J., Granger C.W.J. Estimation of common long-memory componets incointegrated systems[J]. Journal of Business & Economic Statistics,1995,(13):27-35
[28]Grossman, Sanford J., Merton H.Miller. Liquidity and Market Structure[J].Journal of Finance,1988,(7):617-637
[29]Miller M.H. International competitiveness of U.S. futures markets[J]. Journal ofFinancial Service Research,1990,(4):415-418
[30]Stoll H.R., Whaley R.E. The dynamics of stock index and stock index futuresreturns[J]. Journal of Financial and QuantitativeAnalysis,1990,(25):441-468
[31]Chan K. A further analysis of the lead-lag relationship between the cash marketand stock index futures market[J]. Review of Financial Studies,1992,(5):123-152
[32]Raymond W. So, Yiuman Tse. Price discovery in the hang seng index markets:Index, futures, and the tracker fund[J]. Journal of Futures Markets,2004,(24):9-887
[33]夏天, 程细玉. 国内外期货价格和国产现货价格动态关系的研究[J]. 金融研究,2006,(2):110-117
[34]肖辉, 吴冲锋, 鲍建平等. 伦敦金属交易所与上海期货交易所铜价格发现过程[J].系统工程理论方法应用, 2004,(6):481-489
[35]刘庆富, 王海民. 期货市场与现货市场之间的价格研究-中国农产品市场的经验[J]. 财经问题研究, 2006,(4):44-51
[36]Damodaran A. Index futures and stock market volatility[J]. Review of FuturesMarkets,1990,(9):442-457
[37]Fung J., Lien D., Tse Y.et. Effects of Electronic Trading on the Hang Seng IndexFuturesMarket[J].InternationalReviewofEconomicsandFinance,2005,(14):415-425
[38]徐旭初. 股指期货的国际比较研究-模型、实证及中国课题[D].复旦大学博士学位论文,2003:51-140
[39]徐雪. 期货市场学教程[M].北京:经济日报出版社, 2005:5-350
[40]段文彬,王化栋.现代期货市场学[M].北京:经济管理出版社,2003:55-290
[41]理查德·J·特维莱斯, 弗兰克·J·琼斯等. 期货交易使用指南(第三版)[M]. 北京:经济科学出版社, 2000:1-390
[42]廖俊. 本土定价权与 IPO 寻租[J].新财经,2004,(12):2
[43]梅新育. 中国没有定价权[J].世界知识,2005,(15):16-20
[44]胡冠. 定价权关乎国家根本[J].新财经,2006,(3):3
[45]杨丽媪. 争夺国际定价权[J]. 粤港澳价格,2005,(5):19-22
[46]Lai, K. S. , M. Lai. A Cointegration Test for Market Efficiency”[J]. The Journal ofFutures Markets, 1991,(11):567-575
[47]郑振龙,张雯. 各国衍生金融市场监管比较研究[M]. 北京:中国金融出版社,2003:10-85
[48]初昌雄, 史蓉. 股指期货对股票现货市场的影响分析[J]. 当代经济,2007,(10):10-12
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[50]高铁梅.计量经济分析方法与建模—Eviews 应用及实例[M]. 北京:清华大学出版社,2006,(1):1-450
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