股指期货风险测算及监管研究
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摘要
经过25年的发展，股指期货已经成为国际期货市场最成功的期货品种之一。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。但由于交易机制的特点，股指期货也蕴涵着巨大的风险。一旦对股指期货运用或管理不当，就有可能给投资者带来巨大损失，甚至扰乱国家的金融秩序。本文针对股指期货的风险测算展开一系列的理论与实证研究，并就股指期货交易的法律监管、完善我国股指期货立法提出了个人的几点建议。
随着中国加入了世界贸易组织(The World Trade Organization，简称WTO)，一瞬间我们进入了全球经济一体化的时代，从此，研究中国的经济问题就不得不从全球视角进行。现在我们能做的只是，考虑在中国引入全球一体化这一新增变量后，如何有效地开放金融市场。资本账户开放必须慎重行事，因为这往往是产生金融危机的根本原因。资本账户开放的过程本质上就是实现国内经济与国际接轨，国内金融资产重新定价的过程，有可能因开放的外部性导致社会福利的相互抵消，引发金融危机。所以，我们研究任何金融问题，目前都不应该脱离这个国际大背景，本文的研究亦不例外。
论文各章主要内容如下：
第1章分析了该论文的研究背景和意义，对一些基本概念作了界定，并总结了论文的研究思路和方法、研究框架、难点和创新。
第2章是理论文献综述。首先回顾了有效市场假说的缺陷，行为金融学的产生与发展，BAPM定价理论和BPT资产组合理论；其次介绍了风险测算相关理论的最新发展，包括分形市场理论、Copula理论以及高频金融时间序列的研究方法；接着介绍了风险管理技术的内容，综合管理的必要性与VAR报告的结构化方法；然后从股指期货市场的外部环境——金融自由化的角度，分析了国际规范与中国特色；最后是监管理论的综述，并对公共利益论、俘获论、制新论三种监管理论进行了比较和评价。
第3章是有关股指期货市场及其风险的来源和分类的内容。首先介绍了股指期货的概念和相关定价，讨论了股指期货市场的风险根源及风险分类；其次分析了股指期货交易过程中的心理因素，在此基础上提出了认知陷阱导致较为普遍的行为偏差，而这些行为偏差恰恰是交易操作风险产生的源泉；接着介绍了期望理论与交易判断决策中的认知偏差的内容；最后进行了交易判断决策中的投资心理问卷调查的实证研究。结果表明，在西方证券市场中广泛存在的种种异象，在我国的证券市场中也大多存在。如何避免投资心理中的误区，战胜自我，是每个投资者梦寐以求的境界，因此对投资心理的调查实证，将有助于资本市场的风险分析和风险防范。
第4章主要讨论了股指期货市场的风险测算与评价。首先介绍了测算与评价风险的六种方法；接着简述了流动性风险和操作风险，并介绍了衡量和测算流动性风险的几个指标：宽度、深度、即时性和弹性等；再次介绍了风险管理的含义和程序；风险预算的概念及其运用。最后利用VaR模型与CVaR模型对全球多种股指期货合约进行了实证研究，验证了用传统正态分布方法去估计VaR的值常常被低估；在99.9％置信水平下，CVaR值远远大于正态分布计算的VaR值。
第5章针对股指期货市场的波动性展开研究。首先介绍了股指期货波动的一般特性和股指期货波动性的测度方法；接着介绍了ARCH&GARCH模型，并利用GARCH-M对股指期货报酬率与波动关系进行了实证研究；再者根据各国股指期货市场的大量数据，用GARCH模型和SV模型进行了比较研究，实证分析了在研究股指期货时间序列方面SV模型的刻画能力优于GARCH模型；最后分析股指期货波动持续性的市场机理和经济涵义，这将有助于股指期货的风险分析以及防范策略的研究。
第6章论述了股指期货交易法律监管的主要内容。首先简述了金融市场监管的内容，并对不同国家的金融市场监管体系进行了比较；其次介绍了股指期货交易法律监管的本质、必要性、监管目标以及监管原则；接着论述了我国股指期货市场法律规范体系的现状及缺陷；最后提出了完善我国股指期货立法的几点建议：(1)、应该将期货犯罪与证券犯罪相区分，单独开列相应的条款；(2)、在财产刑中应当引入没收财产刑，并调整罚金刑的幅度；(3)、建议对于某些期货犯罪适用的法定最高刑为无期徒刑。
第7章是总结和展望。
After 25 years' development, stock index futures have become one of the mostsuccessful varieties of the futures in the international futures market. Stock indexfutures have functioned tremendously in avoiding systematic risks and promoting thedevelopment of the securities market since Kansas City Futures Exchange (KCBT) inthe United States put forward the Kansas Value Line index futures. However, as atrading mechanism features, stock index futures have their own risks. It is quitepossible to cause the investors huge losses once the stock index futures are operatedand managed improperly. It is even worse that the improper operation andmanagement will make the country's finance out of order. Based on the riskcalculations of stock index futures, the thesis will launch a series of the theoreticaland empirical researches as well as some individual proposals concerning the legalsupervision of the stock index futures exchange and the mature of the legislation inChina's stock index futures.
With the accession to the WTO, China entered the integration of the globaleconomy era at the very moment. Since then, we have to conduct the research oneconomic issues from the global perspective. What we can do now is to consider howto open the financial market effectively taking the integration of China intoconsideration. We must act cautiously with the capital account liberalization becauseit is often the fundamental reason of the financial crisis. The essence of the capitalaccount liberalization is to connect the domestic economy with the internationalcommunity. Meanwhile, it has the possibility that an open external to the socialwelfare will counteract each other then trigger a financial crisis during the process toreprice the domestic financial assets. Therefore, whatever financial issues we examine,should not be separated from the large international context, the study is noexception.
Main contents of the chapters are as follows:
Chapter 1 has analyzed the background and significance of the thesis, and defined some basic concepts, and concluded the outline, methods, framework,difficulties and innovations of the thesis.
Chapter 2 is the overview of the theoretical literatures. First it recalled thedefects of the Efficient Market Hypothesis, the selection and development of thebehavioral finance, BAPM pricing theory and BPT portfolio theory. Second itintroduced the latest development of the theoretical risk calculations which includesfractal market theory, Copula theory and high-efficiency financial time seriesapproach to study. Next it introduced the content of risk-management techniques, thenecessity of the integrated management with the VAR structure of the report. Then itfocuses on the eternal environment of the stock index future market from theliberalization of the financial perspective of international norms with Chinesecharacteristics. At last, it comes the overview of the supervision theory as well as thecomparison and evaluation among the public theory, the capture theory and the newsystem theory.
Chapter 3 of the thesis is the source of stock index futures market and its riskwith the content of its classification. The concept of the stock index futures and therelated pricing were firstly put forward. The source and classification of the stockindex futures were discussed following. Second, the chapter analyzed thepsychological factors in the exchange of stock index futures. Based on thepsychological factors, the thesis put forward that pitfalls lead to common deviantbehavior. It is the misbehaved trading operation that results in the risk. Then theexpectations theory and the content of cognitive errors during the decision-making,judgment and transaction were introduced. Finally, the empirical research such as thesurvey concerning the investment psychology in the decision-making, judgment andtransaction was carried through. It turns out that the phenomena distributed widely inwestern stock markets that Chinese security market also has mostly existed. How toavoid investment psychology of error of self-defeat is the dream of the every investorrealm. Therefore, the investment psychology of empirical investigation willcontribute to the risk analysis and risk prevention for the capital market.
Chapter 4 mainly discussed the risk measure and evaluation of the stock indexfutm'es. It begins with the introduction of sixth methods to calculate and evaluate the risk followed by the brief review of the liquidity risk and operational risk. Severalindicators of measuring and calculating such as width, depth, immediacy andflexibility have also mentioned in this chapter. Again, the meaning and procedures ofthe risk management has been referred. This chapter ended with the empirical studythat aims at a variety of global stock index futures contracts taking advantage of theVaR model and CVaR model. The study verified that the VaR value is oftenunderestimated by using the traditional normal fractal method. CVaR value is fargreater than the normal calculation than the VaR value under the 99.9% confidencelevel.
Chapter 5 start the study against the volatility of the stock index futures. It firstintroduces the general characteristics and the measurement of the volatility in stockindex futures. After that, the ARCH&GARCH models are brought in. The lattermodel has been used to reflect the relations between the stock reward rate and thefluctuation of the stock index futures. Furthermore, according to large volume of theevery country's stock index futures market, another empirical analysis is done bycomparing the GARCH model with SV model. It shows that the depict ability of SVmodel is excel in GARCH model regarding the time and order perspectives. The lasttopic of this chapter is market mechanism and economic meaning of the continualvolatility of the stock index futures. It will help the analysis of the risk and researchof the prevention strategy of the stock index futures.
Chapter 6 puts up the main content of the supervision of the stock index futures.The nature, necessity, objectives and principles of the supervision of the stock indexfutures consisting of the content firstly to be introduced. This was followed by thebrief introduction of the current conditions and defects of the law regulating system inChinese stock index futures market. The chapter ends with some proposals to perfectthe legislation of Chinese stock index futures. The first proposal is that the futurescrime should be distinguished from the security crime and should be separately listedcorresponding to the provisions. The second one is that the criminal forfeiture ofproperty should be introduced into the property punishment and the rate of criminalfine should be adjusted. The last is that some certain futures crimes are applicable forthe statutory maximum penalty to life imprisonment. Chapter 7 is the overview and outlook of the whole thesis.
随着中国加入了世界贸易组织(The World Trade Organization，简称WTO)，一瞬间我们进入了全球经济一体化的时代，从此，研究中国的经济问题就不得不从全球视角进行。现在我们能做的只是，考虑在中国引入全球一体化这一新增变量后，如何有效地开放金融市场。资本账户开放必须慎重行事，因为这往往是产生金融危机的根本原因。资本账户开放的过程本质上就是实现国内经济与国际接轨，国内金融资产重新定价的过程，有可能因开放的外部性导致社会福利的相互抵消，引发金融危机。所以，我们研究任何金融问题，目前都不应该脱离这个国际大背景，本文的研究亦不例外。
论文各章主要内容如下：
第1章分析了该论文的研究背景和意义，对一些基本概念作了界定，并总结了论文的研究思路和方法、研究框架、难点和创新。
第2章是理论文献综述。首先回顾了有效市场假说的缺陷，行为金融学的产生与发展，BAPM定价理论和BPT资产组合理论；其次介绍了风险测算相关理论的最新发展，包括分形市场理论、Copula理论以及高频金融时间序列的研究方法；接着介绍了风险管理技术的内容，综合管理的必要性与VAR报告的结构化方法；然后从股指期货市场的外部环境——金融自由化的角度，分析了国际规范与中国特色；最后是监管理论的综述，并对公共利益论、俘获论、制新论三种监管理论进行了比较和评价。
第3章是有关股指期货市场及其风险的来源和分类的内容。首先介绍了股指期货的概念和相关定价，讨论了股指期货市场的风险根源及风险分类；其次分析了股指期货交易过程中的心理因素，在此基础上提出了认知陷阱导致较为普遍的行为偏差，而这些行为偏差恰恰是交易操作风险产生的源泉；接着介绍了期望理论与交易判断决策中的认知偏差的内容；最后进行了交易判断决策中的投资心理问卷调查的实证研究。结果表明，在西方证券市场中广泛存在的种种异象，在我国的证券市场中也大多存在。如何避免投资心理中的误区，战胜自我，是每个投资者梦寐以求的境界，因此对投资心理的调查实证，将有助于资本市场的风险分析和风险防范。
第4章主要讨论了股指期货市场的风险测算与评价。首先介绍了测算与评价风险的六种方法；接着简述了流动性风险和操作风险，并介绍了衡量和测算流动性风险的几个指标：宽度、深度、即时性和弹性等；再次介绍了风险管理的含义和程序；风险预算的概念及其运用。最后利用VaR模型与CVaR模型对全球多种股指期货合约进行了实证研究，验证了用传统正态分布方法去估计VaR的值常常被低估；在99.9％置信水平下，CVaR值远远大于正态分布计算的VaR值。
第5章针对股指期货市场的波动性展开研究。首先介绍了股指期货波动的一般特性和股指期货波动性的测度方法；接着介绍了ARCH&GARCH模型，并利用GARCH-M对股指期货报酬率与波动关系进行了实证研究；再者根据各国股指期货市场的大量数据，用GARCH模型和SV模型进行了比较研究，实证分析了在研究股指期货时间序列方面SV模型的刻画能力优于GARCH模型；最后分析股指期货波动持续性的市场机理和经济涵义，这将有助于股指期货的风险分析以及防范策略的研究。
第6章论述了股指期货交易法律监管的主要内容。首先简述了金融市场监管的内容，并对不同国家的金融市场监管体系进行了比较；其次介绍了股指期货交易法律监管的本质、必要性、监管目标以及监管原则；接着论述了我国股指期货市场法律规范体系的现状及缺陷；最后提出了完善我国股指期货立法的几点建议：(1)、应该将期货犯罪与证券犯罪相区分，单独开列相应的条款；(2)、在财产刑中应当引入没收财产刑，并调整罚金刑的幅度；(3)、建议对于某些期货犯罪适用的法定最高刑为无期徒刑。
第7章是总结和展望。
After 25 years' development, stock index futures have become one of the mostsuccessful varieties of the futures in the international futures market. Stock indexfutures have functioned tremendously in avoiding systematic risks and promoting thedevelopment of the securities market since Kansas City Futures Exchange (KCBT) inthe United States put forward the Kansas Value Line index futures. However, as atrading mechanism features, stock index futures have their own risks. It is quitepossible to cause the investors huge losses once the stock index futures are operatedand managed improperly. It is even worse that the improper operation andmanagement will make the country's finance out of order. Based on the riskcalculations of stock index futures, the thesis will launch a series of the theoreticaland empirical researches as well as some individual proposals concerning the legalsupervision of the stock index futures exchange and the mature of the legislation inChina's stock index futures.
With the accession to the WTO, China entered the integration of the globaleconomy era at the very moment. Since then, we have to conduct the research oneconomic issues from the global perspective. What we can do now is to consider howto open the financial market effectively taking the integration of China intoconsideration. We must act cautiously with the capital account liberalization becauseit is often the fundamental reason of the financial crisis. The essence of the capitalaccount liberalization is to connect the domestic economy with the internationalcommunity. Meanwhile, it has the possibility that an open external to the socialwelfare will counteract each other then trigger a financial crisis during the process toreprice the domestic financial assets. Therefore, whatever financial issues we examine,should not be separated from the large international context, the study is noexception.
Main contents of the chapters are as follows:
Chapter 1 has analyzed the background and significance of the thesis, and defined some basic concepts, and concluded the outline, methods, framework,difficulties and innovations of the thesis.
Chapter 2 is the overview of the theoretical literatures. First it recalled thedefects of the Efficient Market Hypothesis, the selection and development of thebehavioral finance, BAPM pricing theory and BPT portfolio theory. Second itintroduced the latest development of the theoretical risk calculations which includesfractal market theory, Copula theory and high-efficiency financial time seriesapproach to study. Next it introduced the content of risk-management techniques, thenecessity of the integrated management with the VAR structure of the report. Then itfocuses on the eternal environment of the stock index future market from theliberalization of the financial perspective of international norms with Chinesecharacteristics. At last, it comes the overview of the supervision theory as well as thecomparison and evaluation among the public theory, the capture theory and the newsystem theory.
Chapter 3 of the thesis is the source of stock index futures market and its riskwith the content of its classification. The concept of the stock index futures and therelated pricing were firstly put forward. The source and classification of the stockindex futures were discussed following. Second, the chapter analyzed thepsychological factors in the exchange of stock index futures. Based on thepsychological factors, the thesis put forward that pitfalls lead to common deviantbehavior. It is the misbehaved trading operation that results in the risk. Then theexpectations theory and the content of cognitive errors during the decision-making,judgment and transaction were introduced. Finally, the empirical research such as thesurvey concerning the investment psychology in the decision-making, judgment andtransaction was carried through. It turns out that the phenomena distributed widely inwestern stock markets that Chinese security market also has mostly existed. How toavoid investment psychology of error of self-defeat is the dream of the every investorrealm. Therefore, the investment psychology of empirical investigation willcontribute to the risk analysis and risk prevention for the capital market.
Chapter 4 mainly discussed the risk measure and evaluation of the stock indexfutm'es. It begins with the introduction of sixth methods to calculate and evaluate the risk followed by the brief review of the liquidity risk and operational risk. Severalindicators of measuring and calculating such as width, depth, immediacy andflexibility have also mentioned in this chapter. Again, the meaning and procedures ofthe risk management has been referred. This chapter ended with the empirical studythat aims at a variety of global stock index futures contracts taking advantage of theVaR model and CVaR model. The study verified that the VaR value is oftenunderestimated by using the traditional normal fractal method. CVaR value is fargreater than the normal calculation than the VaR value under the 99.9% confidencelevel.
Chapter 5 start the study against the volatility of the stock index futures. It firstintroduces the general characteristics and the measurement of the volatility in stockindex futures. After that, the ARCH&GARCH models are brought in. The lattermodel has been used to reflect the relations between the stock reward rate and thefluctuation of the stock index futures. Furthermore, according to large volume of theevery country's stock index futures market, another empirical analysis is done bycomparing the GARCH model with SV model. It shows that the depict ability of SVmodel is excel in GARCH model regarding the time and order perspectives. The lasttopic of this chapter is market mechanism and economic meaning of the continualvolatility of the stock index futures. It will help the analysis of the risk and researchof the prevention strategy of the stock index futures.
Chapter 6 puts up the main content of the supervision of the stock index futures.The nature, necessity, objectives and principles of the supervision of the stock indexfutures consisting of the content firstly to be introduced. This was followed by thebrief introduction of the current conditions and defects of the law regulating system inChinese stock index futures market. The chapter ends with some proposals to perfectthe legislation of Chinese stock index futures. The first proposal is that the futurescrime should be distinguished from the security crime and should be separately listedcorresponding to the provisions. The second one is that the criminal forfeiture ofproperty should be introduced into the property punishment and the rate of criminalfine should be adjusted. The last is that some certain futures crimes are applicable forthe statutory maximum penalty to life imprisonment. Chapter 7 is the overview and outlook of the whole thesis.
引文
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[51] Barberis, Nicholas, Andrie Shleifer, and Robert Vishny. A Model of Investor Sentiment. Journal of Financial Economics, 1998, Vol. 49(3): 307～343
[52] Daniel, Kent, David Hirshleifer and Avanidhar Subrahmanyam.. Investor Psychology and Security Market Under and Overreactions. Journal of Finance, 1998, Vol. 53(6): 1839～1886
[53] Hong. H. and Stein, J.. A Unified Theory of Undrreaction, Momentum Trading and Overreaction in Asset Markets. Journal of Finance, 1999, 54:2143～2184
[54] Benartzi, S. and ThalerR. H.. Myopic Loss Aversion and the Equity Premium Puzzle. Quarterly Journal of Economics, 1995, 110(1): 73～92
[55] Froot, Scharfstein and Stein. Herd on The Street: Informational Inefficient in a Market with Short-term Speculation. Journal of Finance. 1992, 47:1461～1484
[56] Lakonishok, J., Shleifer A. and Vishny R. W.. The Structure and Performance of the Money Management Industry. Brookings Paper on Economic Activity microeconomic, 1992, 339～391
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