沪深300股指期货合约设计研究
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摘要
国际经济发展实践证明,金融衍生产品的发展对一国货币与资本市场的规模、效率、功能、完整性、安全性、流动性、国际化、产品创新、产业升级等诸多方面大有裨益;对一国社会资源与社会风险配置效率的提升、一国经济参与全球化资源配置的能力与吸引力的提升大有帮助。总之,在经济货币化、证券化、全球化的大背景下,金融衍生品市场的社会经济功能日渐突出。目前我国的利率和汇率的市场化还处于起步阶段,股权资本市场经过十余年的发展壮大已日趋成熟,股权衍生品创新所需的政策环境、市场基础与市场需求已完全具备,基于此中国金融期货交易所将国内首支交易所金融衍生产品确定为沪深300股指期货。
显然,有效的产品设计是股指期货成功推出的前提与基础,而合约设计则是整个股指期货产品设计的重中之重。论文即以股指期货的合约设计为命题,分十一个章节展开研究。第一章为绪言,主要介绍了论文的选题背景、研究意义及研究框架。第二章为合约设计的总体规划,内容包括合约结构与功能分析、基于投资者需求与市场质量指标的合约设计约束原理分析、股指期货的定价机理分析以及合约条款的统一研究路径设计。第三至十章为论文的主体部分,按照第二章中建立的统一研究路径分别对合约乘数、到期月份、到期日、最后结算价格、每日结算价格、保证金水平、最小价格变动单位以及价格限制等八个股指期货合约的核心条款展开系统深入的设计研究,得出相应的合约设计结论。第十一章为全篇的总结。
论文的主要研究成果和创新点体现在以下五个方面:
(1)对国内外已有的关于股指期货各合约条款设计的理论与实证研究文献按条款内容进行了系统的综述研究;同时对国际股指期货市场已有的典型合约的合约条款进行了系统的实证比较研究。
(2)对于每个合约条款的设计,论文都从不同类型投资者需求和市场质量指标约束两个角度进行了严整的分析,在此基础上建立起一个逻辑完整的实证分析体系或建模决策体系,进行基于国内证券市场主体结构与交易结构的实证检验分析或数据推理分析,实证结果既支持了论文结论,也为后续股指期货产品设计工作的深入展开及上市后的监管提供了参考。其中对合约乘数、最后结算价格、保证金水平、价格限制以及到期日的建模研究可以说是一种科学、严谨且精确的研究方法创新。
(3)提出了一套完整的既具有科学性和前瞻性又符合中国国情的股指期货合约设计方案,多数设计结论已为中国金融期货交易所所采纳。
(4)首次提出了距离加权移动平均基准保证金计量模型,该模型经济意义明确、计算简便、经实证检验在效率方面没有显著提高社会成本,但在稳健性方面优势突出,综合而言优于现有的各类基准保证金计量模型。
(5)形成了一套按“理论综述研究——国际比较研究——基于投资者结构和市场评价目标的合约参数设计二维约束原理分析——基于中国资本市场数据的实证检验——合约参数设计结论”路径展开的严谨、科学的股权衍生品开发的研究范式,为后续股指、股票、利率与汇率等相关金融衍生产品的创新设计提供了研究方法参考。
The development of international economy has verified that the evolution of financial derivative products is not only very beneficial for the scale, efficiency, function, integrity, safety, fluidity, internationalization, product innovation, industry upgrade of one country's monetary and capital market, but also can help one country to improve the efficiency of social resource and social risk allocation, as well as the capability and attraction of participating in global resource allocation. In a word, under the background of economic monetization, securitization, globalization, the social-economic function of financial derivative market becomes more important than ever. Seeing that Chinese interest and exchange rate liberalization is still in its infancy, equity capital market becomes more mature after more than ten years development, and policies, market basis and requirement necessary for equity derivatives innovation are fully prepared, China Securities Regulatory Commission established China Financial Derivatives Exchange and named the first internal financial derivative product HS300 stock index future in September, 2006.
Obviously, effective product design, with contract design as the key point, is preliminary for the success of stock index futures. This thesis analyzes the contact design of HS300 stock index with 11 chapters. Chapter 1 introduces study background, purpose and framework. Chapter 2 is the general plan for contract design, including contract structure and function analysis, investors' requirement and quality indicator based theory of constraints analysis, pricing theory of stock index futures analysis and the research route plan for contract design. As the main part of this thesis, Chapter 3 to 10 make an intensive study on eight key terms of stock index futures contact according to the unified framework described in Chapter 2, including contract multiplier, contract months, maturity, final settlement price, daily settlement price, margin, minimum tick size and price limit, as well as make an corresponding conclusion for contract design. Chapter 11 summarizes all above.
Main research findings and innovations are as below:
1.This thesis gives a systematical review on theoretical and empirical literatures at home and abroad about contract design by terms for stock index futures. Meanwhile, it provides an empirical and comparative study on the terms in typical contracts existed in international stock index futures market.
2. It gives a strict analysis for each contract term from the perspectives of different investors' requirement and market quality indicator constrains. And the paper establishes a logically complete empirical analysis system or modeling decision-making system, providing empirical testing analysis, data reasoning analysis or model testing analysis based on domestic stock market's main structure and trading structure. The empirical results not only support this thesis's conclusion, but also provide reference for stock index futures' design and post-marketing surveillance in the future.
3.It put forward a complete set of scientific and perspective solutions for contract design for HS300 stock index future according to Chinese conditions, some of which have already been adopted by China Financial Futures Exchange (CFFEX).
4.It initiates basic-margin measurement model in distance-based weighted moving average way, which has unambiguous economic significance and simple calculations. It has been proved that this model has great advantage in robustness, at the same time it doesn't enhance social cost obviously in term of efficiency aspects. Considering all, it's superior to all kinds of existed benchmark margin measurement model.
5.It forms a set of strict and scientific research paradigms for equity derivatives'development, which is evolved along with theoretical review——internationalcomparative study——investors' structure and market evaluation objective basedtwo-dimension constrain principle analysis——empirical testing based on Chinesecapital market data—conclusion and provides reference for the design of other financial derivatives in the future.
显然,有效的产品设计是股指期货成功推出的前提与基础,而合约设计则是整个股指期货产品设计的重中之重。论文即以股指期货的合约设计为命题,分十一个章节展开研究。第一章为绪言,主要介绍了论文的选题背景、研究意义及研究框架。第二章为合约设计的总体规划,内容包括合约结构与功能分析、基于投资者需求与市场质量指标的合约设计约束原理分析、股指期货的定价机理分析以及合约条款的统一研究路径设计。第三至十章为论文的主体部分,按照第二章中建立的统一研究路径分别对合约乘数、到期月份、到期日、最后结算价格、每日结算价格、保证金水平、最小价格变动单位以及价格限制等八个股指期货合约的核心条款展开系统深入的设计研究,得出相应的合约设计结论。第十一章为全篇的总结。
论文的主要研究成果和创新点体现在以下五个方面:
(1)对国内外已有的关于股指期货各合约条款设计的理论与实证研究文献按条款内容进行了系统的综述研究;同时对国际股指期货市场已有的典型合约的合约条款进行了系统的实证比较研究。
(2)对于每个合约条款的设计,论文都从不同类型投资者需求和市场质量指标约束两个角度进行了严整的分析,在此基础上建立起一个逻辑完整的实证分析体系或建模决策体系,进行基于国内证券市场主体结构与交易结构的实证检验分析或数据推理分析,实证结果既支持了论文结论,也为后续股指期货产品设计工作的深入展开及上市后的监管提供了参考。其中对合约乘数、最后结算价格、保证金水平、价格限制以及到期日的建模研究可以说是一种科学、严谨且精确的研究方法创新。
(3)提出了一套完整的既具有科学性和前瞻性又符合中国国情的股指期货合约设计方案,多数设计结论已为中国金融期货交易所所采纳。
(4)首次提出了距离加权移动平均基准保证金计量模型,该模型经济意义明确、计算简便、经实证检验在效率方面没有显著提高社会成本,但在稳健性方面优势突出,综合而言优于现有的各类基准保证金计量模型。
(5)形成了一套按“理论综述研究——国际比较研究——基于投资者结构和市场评价目标的合约参数设计二维约束原理分析——基于中国资本市场数据的实证检验——合约参数设计结论”路径展开的严谨、科学的股权衍生品开发的研究范式,为后续股指、股票、利率与汇率等相关金融衍生产品的创新设计提供了研究方法参考。
The development of international economy has verified that the evolution of financial derivative products is not only very beneficial for the scale, efficiency, function, integrity, safety, fluidity, internationalization, product innovation, industry upgrade of one country's monetary and capital market, but also can help one country to improve the efficiency of social resource and social risk allocation, as well as the capability and attraction of participating in global resource allocation. In a word, under the background of economic monetization, securitization, globalization, the social-economic function of financial derivative market becomes more important than ever. Seeing that Chinese interest and exchange rate liberalization is still in its infancy, equity capital market becomes more mature after more than ten years development, and policies, market basis and requirement necessary for equity derivatives innovation are fully prepared, China Securities Regulatory Commission established China Financial Derivatives Exchange and named the first internal financial derivative product HS300 stock index future in September, 2006.
Obviously, effective product design, with contract design as the key point, is preliminary for the success of stock index futures. This thesis analyzes the contact design of HS300 stock index with 11 chapters. Chapter 1 introduces study background, purpose and framework. Chapter 2 is the general plan for contract design, including contract structure and function analysis, investors' requirement and quality indicator based theory of constraints analysis, pricing theory of stock index futures analysis and the research route plan for contract design. As the main part of this thesis, Chapter 3 to 10 make an intensive study on eight key terms of stock index futures contact according to the unified framework described in Chapter 2, including contract multiplier, contract months, maturity, final settlement price, daily settlement price, margin, minimum tick size and price limit, as well as make an corresponding conclusion for contract design. Chapter 11 summarizes all above.
Main research findings and innovations are as below:
1.This thesis gives a systematical review on theoretical and empirical literatures at home and abroad about contract design by terms for stock index futures. Meanwhile, it provides an empirical and comparative study on the terms in typical contracts existed in international stock index futures market.
2. It gives a strict analysis for each contract term from the perspectives of different investors' requirement and market quality indicator constrains. And the paper establishes a logically complete empirical analysis system or modeling decision-making system, providing empirical testing analysis, data reasoning analysis or model testing analysis based on domestic stock market's main structure and trading structure. The empirical results not only support this thesis's conclusion, but also provide reference for stock index futures' design and post-marketing surveillance in the future.
3.It put forward a complete set of scientific and perspective solutions for contract design for HS300 stock index future according to Chinese conditions, some of which have already been adopted by China Financial Futures Exchange (CFFEX).
4.It initiates basic-margin measurement model in distance-based weighted moving average way, which has unambiguous economic significance and simple calculations. It has been proved that this model has great advantage in robustness, at the same time it doesn't enhance social cost obviously in term of efficiency aspects. Considering all, it's superior to all kinds of existed benchmark margin measurement model.
5.It forms a set of strict and scientific research paradigms for equity derivatives'development, which is evolved along with theoretical review——internationalcomparative study——investors' structure and market evaluation objective basedtwo-dimension constrain principle analysis——empirical testing based on Chinesecapital market data—conclusion and provides reference for the design of other financial derivatives in the future.
引文
4 参见Chng.M.T.A model of price discovery and market design:Theory and empirical evidence.The.Journal of Futures Markets.2004,24(12)
5 参见刘逖,《证券市场微观结构理论与实践》,复旦大学出版社,2002
7 此章内容发表于《国际金融研究》,2007,2。
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