股指期货的风险管理研究
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摘要
股指期货是以股票价格指数作为交易标的物的金融期货品种,自1982年美国堪萨斯市期货交易所(KCBT)推出堪萨斯价值线指数期货以来,股指期货在规避证券市场系统风险、促进证券市场发展等方面发挥了巨大的作用。经过二十多年的发展,很多国家陆续推出了股指期货,股指期货已经成为国际期货市场最成功的期货品种之一,但是由于股指期货交易机制的特点,股指期货也蕴含着巨大的风险。一旦对股指期货运用或管理不当,就可能给投资者带来巨大损失,甚至扰乱国家的金融秩序。我国迟迟没有推出,其中一个重要的原因就是怕出现市场操纵,进而引起股指期货和股票现货市场的联动反应。随着2007年美国次贷危机的爆发,引发了多米诺骨牌效应,伴随着银行信贷的紧缩与投资者信心的严重不足,2008年全球虚拟经济遭受了有史以来罕见的重创,各国的证券市场的资产市值也相应大幅缩水,投资者的利益遭受了严重的损害。因此,如何有效防范与管理股指期货的风险显得尤为重要。
本文在研究过程中运用归纳演绎、比较和实证分析等研究方法。在借鉴国外股指期货风险管理成功系统经验基础上,结合我国证券和期货市场的特点,按照风险管理的过程从股指期货风险识别、测量、控制三方面进行研究,并运用金融市场风险测量技术——VAR对香港恒生指数期货市场风险测量进行实证分析。最后分别从宏观、中观、微观三大层面探讨如何实现有效的股指期货风险管理,进而建立我国股指期货风险管理体系。
The stock index futures is a variety of financial futures taking stock price index as trade target, Stock index futures have functioned tremendously in avoiding systematic risks and promoting the development of the securities market since Kansas City Futures Exchange (KCBT) in the United States put forward the Kansas Value Line index futures. After twenty years' development, many countries in the world began to trade stock index futures step by step. Futures on stock index already became one of the most successful futures products. Because of the specialty of the trading on stock index futures, there are immense risks in it. Once it is short of exact management on it, great losses will be brought to the investors and even the national financial system will be disturbed. China delayed to put forward ,one of the most important reasons is that it may be disarrange the present market, and then results in the coinstantaneous reflection between the markets on stock index futures and the present stock. With the 2007 the U.S. subprime crisis causing the effect of dominoes:banks tightened up on their credits and investor s lose theirs confidence. In 2008, global virtual economy suffered a great crises we rarely seen, the value of securities market devaluate dramatically,the benefit of investors suffered serious damage.Therefore, it is very important to control and manage the stock index futures' risk.
Study using summarized interpretation, comparison and analysis of empirical research methods. In the foreign stock index futures successful risk management system on the basis of experience, in light of China's securities and futures market characteristics, in accordance with the risk management process from the stock index futures risk identification、measurement、control of three aspects of research, and use of financial market risk measurement techniques——VAR, It made empirical analysis about market risk measurement of the Heng Sheng Index Futures in Hong Kong. Finally, from macroscopic, middle-scope and microscopic angles concrete policies were brought forward to prevent the risk of the stock index futures, then establish China's stock index futures risk management system.
本文在研究过程中运用归纳演绎、比较和实证分析等研究方法。在借鉴国外股指期货风险管理成功系统经验基础上,结合我国证券和期货市场的特点,按照风险管理的过程从股指期货风险识别、测量、控制三方面进行研究,并运用金融市场风险测量技术——VAR对香港恒生指数期货市场风险测量进行实证分析。最后分别从宏观、中观、微观三大层面探讨如何实现有效的股指期货风险管理,进而建立我国股指期货风险管理体系。
The stock index futures is a variety of financial futures taking stock price index as trade target, Stock index futures have functioned tremendously in avoiding systematic risks and promoting the development of the securities market since Kansas City Futures Exchange (KCBT) in the United States put forward the Kansas Value Line index futures. After twenty years' development, many countries in the world began to trade stock index futures step by step. Futures on stock index already became one of the most successful futures products. Because of the specialty of the trading on stock index futures, there are immense risks in it. Once it is short of exact management on it, great losses will be brought to the investors and even the national financial system will be disturbed. China delayed to put forward ,one of the most important reasons is that it may be disarrange the present market, and then results in the coinstantaneous reflection between the markets on stock index futures and the present stock. With the 2007 the U.S. subprime crisis causing the effect of dominoes:banks tightened up on their credits and investor s lose theirs confidence. In 2008, global virtual economy suffered a great crises we rarely seen, the value of securities market devaluate dramatically,the benefit of investors suffered serious damage.Therefore, it is very important to control and manage the stock index futures' risk.
Study using summarized interpretation, comparison and analysis of empirical research methods. In the foreign stock index futures successful risk management system on the basis of experience, in light of China's securities and futures market characteristics, in accordance with the risk management process from the stock index futures risk identification、measurement、control of three aspects of research, and use of financial market risk measurement techniques——VAR, It made empirical analysis about market risk measurement of the Heng Sheng Index Futures in Hong Kong. Finally, from macroscopic, middle-scope and microscopic angles concrete policies were brought forward to prevent the risk of the stock index futures, then establish China's stock index futures risk management system.
引文
①宋军.股指期货的非系统性和系统性风险管理.证券时报,2003年11月4日
①图来源:路铁军.股指期货风险管理与控制阅.上海:上海海运学院,2003.
①李妍.股指期货的风险管理研究.[吉林大学硕士学位论文],吉林:吉林大学,2007:7
①潘善启.对当前推出股指期货的政策性建议.经济师,2003年第1期
①扬光华.美国期货交易管理概论,中国商业出版杜1993年第1版
①季冬生,魏建华,应展宇等编著.股指期货—中国金融市场新品种,北京:中国时代经济出版社,2002
①张国喜.论股指期货在我国股市的运用.国际金融研究,2000年第8期
①张烬、付晓建.股指期货交易中的风险与管理.证券之窗,2001年第3期。
①姚兴涛.中国股指期货市场概论.北京大学出版社,2001年第1版
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[2] Panayiotis Alexakis(2007).On the Effect of Index Futures Trading on Stock Martket Volatility.International Research
[3]James Richard Cummings & Alex Frino.Index Arbitrage and the Pricing Relationship between Australian Stock Index Futures and Their Underlying Shares.21st Australasian Finance and Banking Conference 2008 Paper
[4]Gioia Pescetto, Antonios Antoniou & Antonis Violaris. Modeling International Price Relationships and Interdependencies between EU Stock Index and Stock Index Futures Markets: A Multivariate Analysis.EFMA 2001 Lugano Meetings
[5]Abhyankar, A.H., 1995, "Return and Volatility Dynamics in the FTSElUO Stock Index and Stock Index Futures Markets", The Journal of Futures Markets, 15(4),457-488.
[6]Susan Abbott Gidel (2000), "Stock Index Futures&Options",John Wiley &Sons, Inc., Journal of Futures Markets, pp.1988-2001.
[7]Anne Fremault,“Stock Index Futures and Index Arbitrage in a Rational Expectations Model”,The Journal of Business,1991
[8]Charles M.S.Sutclife,Stock Index Futures:Theories and international evidence Chaman&Hall,1993
[9]Areal,Nelson M.P.C.and Stephen J.Taylor.2002“The Realized Volatility of FTSE-100 Futures Prices”,The Journal of Futures Markets,Vol.22,No.7,627-648.
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[11]Rison,(1997) Value at Risk:The new benchmark for controlling market risk New York:The McGraw。一Hill Companies,11.
[12]Pietro Penza ,Vipul K.Bansal, Measuring Market Risk With Value at Risk,John whey&Sons Co.,Inc2001.
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[14]Robinson.G,1993, "The effect of future trading on cash market volatility: evidence from London Stock Exchange",Bank of England Working Paper.
[15]MacKinlay,A.C. and Ramaswamy,K.(1998),Index futures arbitrage and the behavior of stock index futures prices Review of Financial Studies
[16]John Millers,Stock Index Options and Futures,McGraw HillBook Co Ltd April,1993 Textbook Binding
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[18] Black F., Jensen M C,Scholes M. The Capital Asset Pricing Model: Some Empirical Tests. Studies in Theory of Capital Markets New York: Praeger, 1972: 79-124
[19] Lintner J. The Valuation of Risk Assets and Selection of Risky Investments in Stock Portfolio and Capital Budgets. Review of Economics and Statistics, 1965, 47: 13-47
[20] Douglas G. W. Risk in the Equity Market: Application of Market Efficiency. Yale Economic Essays, 1968, 9: 3-45
[21] Cheng P. L., Grauer R. R. An alternative test of the capital asset pricing model. American Economic Review, 1980, 70: 660-671
[22] Stambaugh R F. On the Exclusion of Assets from Tests of the Two Parameter Model. Journal of Financial Economics, 1982, 10: 235-268
[23] Mohammad Sharifzadeh. An Empirical and Theoretical Analysis of Capital Asset Pricing Model: [dissertation]. Washington: Walden University, 2006
[24] Sungjun Cho. Essays In Empirical Asset Pricing: [dissertation]. New York: Columbia University, 2007
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[29]应建军.资本资产定价模型下的组合证券投资的模型研究.见:中国现场统计研究会第9届学术年会论文集.北京:数理统计与管理, 1999, 234-237
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[32]王晓黎.资产定价模型在上海股票市场的实证研究. [西南财经大学硕士学位论文].成都:西南财经大学, 2004
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[36]何治国.中国股市风险因索实证研究.经济评论, 2001, 3: 81-85
[37]万伦来.西方证券投资组合理论的发展趋势综述.安徽大学学报(哲学社会科学版), 2005, 29(1): 48-52
[38]吴世农,韦绍永.上海股市投资组合规模和风险关系的实证研究.经济研究, 1998, 4: 45-49
[39]刘超.现代证券投资组合理论在我国应用的局限与思考.经济经纬, 2006, 2: 139-142
[40]徐丽梅.现代投资组合理论及其分支的发展综述.首都经济贸易大学学报, 2006, 4: 75-79
[41]卫海英,邓玮. Markowitz均值-方差理论的局限及其在我国的适用性.南方金融, 2004, 338(10): 30-32
[42]郭存芝,童晓萍,方磊等.上海股市的风险构成分析.统计观察, 2005, 201(11): 82-83
[43]钟辉强.我国股市的风险及其防范和化解.海南师范学院学报(人文社会科学版), 2001, 52(14): 78-80
[44]高敏.对资本资产定价模型及其几种修正模型的研究.当代经理人, 2006, 9: 254-255
[45]王新军.股市风险测定方法新探.山东财政学院学报, 2002, 4: 71-73
[46]鞠英利.论现代投资组合理论在我国的实际应用.现代财经, 2007, 27(6): 11-13
[47]田波平,王大伟,王中玉等.国内股票市场投资组合规模与风险关系的实证研究.管理世界, 2004, 6: 138-139
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①图来源:路铁军.股指期货风险管理与控制阅.上海:上海海运学院,2003.
①李妍.股指期货的风险管理研究.[吉林大学硕士学位论文],吉林:吉林大学,2007:7
①潘善启.对当前推出股指期货的政策性建议.经济师,2003年第1期
①扬光华.美国期货交易管理概论,中国商业出版杜1993年第1版
①季冬生,魏建华,应展宇等编著.股指期货—中国金融市场新品种,北京:中国时代经济出版社,2002
①张国喜.论股指期货在我国股市的运用.国际金融研究,2000年第8期
①张烬、付晓建.股指期货交易中的风险与管理.证券之窗,2001年第3期。
①姚兴涛.中国股指期货市场概论.北京大学出版社,2001年第1版
[1] Antonios Antoniou and Phil Holmes,Systematic Risk and Returns to Stock Index Futures Contracts: International Evidence,The Journal of Futures Markets ,October 1994
[2] Panayiotis Alexakis(2007).On the Effect of Index Futures Trading on Stock Martket Volatility.International Research
[3]James Richard Cummings & Alex Frino.Index Arbitrage and the Pricing Relationship between Australian Stock Index Futures and Their Underlying Shares.21st Australasian Finance and Banking Conference 2008 Paper
[4]Gioia Pescetto, Antonios Antoniou & Antonis Violaris. Modeling International Price Relationships and Interdependencies between EU Stock Index and Stock Index Futures Markets: A Multivariate Analysis.EFMA 2001 Lugano Meetings
[5]Abhyankar, A.H., 1995, "Return and Volatility Dynamics in the FTSElUO Stock Index and Stock Index Futures Markets", The Journal of Futures Markets, 15(4),457-488.
[6]Susan Abbott Gidel (2000), "Stock Index Futures&Options",John Wiley &Sons, Inc., Journal of Futures Markets, pp.1988-2001.
[7]Anne Fremault,“Stock Index Futures and Index Arbitrage in a Rational Expectations Model”,The Journal of Business,1991
[8]Charles M.S.Sutclife,Stock Index Futures:Theories and international evidence Chaman&Hall,1993
[9]Areal,Nelson M.P.C.and Stephen J.Taylor.2002“The Realized Volatility of FTSE-100 Futures Prices”,The Journal of Futures Markets,Vol.22,No.7,627-648.
[10]Chan,K.,K.C.Chan and A.Karolyi,1991“Intraday Volatility in the Stock Index and Stock Index Futures Markets”,Review of Financial Studies,4,657-684.
[11]Rison,(1997) Value at Risk:The new benchmark for controlling market risk New York:The McGraw。一Hill Companies,11.
[12]Pietro Penza ,Vipul K.Bansal, Measuring Market Risk With Value at Risk,John whey&Sons Co.,Inc2001.
[13]Hodgson, Allan; Nicholls, Des ,1991, "The impact of index futures markets on Australian share market volatility", Journal of Business Finance&Accounting.
[14]Robinson.G,1993, "The effect of future trading on cash market volatility: evidence from London Stock Exchange",Bank of England Working Paper.
[15]MacKinlay,A.C. and Ramaswamy,K.(1998),Index futures arbitrage and the behavior of stock index futures prices Review of Financial Studies
[16]John Millers,Stock Index Options and Futures,McGraw HillBook Co Ltd April,1993 Textbook Binding
[17] Sharpe W.F. A Simplified Model of Portfolio Analysis. Management Science, 1963, (1): 277-293
[18] Black F., Jensen M C,Scholes M. The Capital Asset Pricing Model: Some Empirical Tests. Studies in Theory of Capital Markets New York: Praeger, 1972: 79-124
[19] Lintner J. The Valuation of Risk Assets and Selection of Risky Investments in Stock Portfolio and Capital Budgets. Review of Economics and Statistics, 1965, 47: 13-47
[20] Douglas G. W. Risk in the Equity Market: Application of Market Efficiency. Yale Economic Essays, 1968, 9: 3-45
[21] Cheng P. L., Grauer R. R. An alternative test of the capital asset pricing model. American Economic Review, 1980, 70: 660-671
[22] Stambaugh R F. On the Exclusion of Assets from Tests of the Two Parameter Model. Journal of Financial Economics, 1982, 10: 235-268
[23] Mohammad Sharifzadeh. An Empirical and Theoretical Analysis of Capital Asset Pricing Model: [dissertation]. Washington: Walden University, 2006
[24] Sungjun Cho. Essays In Empirical Asset Pricing: [dissertation]. New York: Columbia University, 2007
[25]王开国.股指期货:市场深化过程中的金融创新.经济研究,2000,7
[26]李剑梨.资本资产定价模型的改进及其在深圳股市的实证分析: [暨南大学硕士学位论文].广州:暨南大学经济学院, 2006
[27]康彦尊.中国股市风险分析与政策选择: [汕头大学硕士学位论文].汕头:汕头大学商学院, 2003
[28]杨静芳.资本资产定价理论演进过程研究: [东南大学硕士学位论文].南京:东南大学管理学院, 2004
[29]应建军.资本资产定价模型下的组合证券投资的模型研究.见:中国现场统计研究会第9届学术年会论文集.北京:数理统计与管理, 1999, 234-237
[30]陈振东.上海股市风险特征与投资策略选择研究: [武汉大学硕士学位论文].武汉:武汉大学经济管理学院, 2005
[31]李青.上海股市风险-收益及投资组合实证研究: [西北工业大学MBA论文].西安:西北工业大学管理学院, 2002
[32]王晓黎.资产定价模型在上海股票市场的实证研究. [西南财经大学硕士学位论文].成都:西南财经大学, 2004
[33]舒建平.证券风险度量及其在中国股市投资价值分析中的应用. [西南交通大学博士学位论文].成都:西南交通大学, 2006
[34]田波平,王大伟,王中玉等.国内股票市场投资组合规模与风险关系的实证研究.管理世界, 2004, 6: 138-139
[35]翟东升,袁宁.我国股市风险测算方法研究.北京工业大学学报(社会科学版), 2001, 3(1): 37-39
[36]何治国.中国股市风险因索实证研究.经济评论, 2001, 3: 81-85
[37]万伦来.西方证券投资组合理论的发展趋势综述.安徽大学学报(哲学社会科学版), 2005, 29(1): 48-52
[38]吴世农,韦绍永.上海股市投资组合规模和风险关系的实证研究.经济研究, 1998, 4: 45-49
[39]刘超.现代证券投资组合理论在我国应用的局限与思考.经济经纬, 2006, 2: 139-142
[40]徐丽梅.现代投资组合理论及其分支的发展综述.首都经济贸易大学学报, 2006, 4: 75-79
[41]卫海英,邓玮. Markowitz均值-方差理论的局限及其在我国的适用性.南方金融, 2004, 338(10): 30-32
[42]郭存芝,童晓萍,方磊等.上海股市的风险构成分析.统计观察, 2005, 201(11): 82-83
[43]钟辉强.我国股市的风险及其防范和化解.海南师范学院学报(人文社会科学版), 2001, 52(14): 78-80
[44]高敏.对资本资产定价模型及其几种修正模型的研究.当代经理人, 2006, 9: 254-255
[45]王新军.股市风险测定方法新探.山东财政学院学报, 2002, 4: 71-73
[46]鞠英利.论现代投资组合理论在我国的实际应用.现代财经, 2007, 27(6): 11-13
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