摘要
改革开放来,资本市场的快速崛起成为我国国民经济发展的一个重要特征。以往在谈到资本市场时,投资者往往狭义地理解为股票市场,而忽略了期货市场。这与资本市场发展的格局有很大关系。虽然两个市场同时起步但经过二十年的发展,股票市场无论在市场规模、社会影响还是服务国民经济发展方面都远远超过了期货市场。期货市场一直作为一个“小众”的市场而存在。普通投资者对期货市场的认识也停留在这是一个高风险的投机市场。但这种大“证券”,小“期货”的局面随着股指期货的成功推出和平稳运行已经发生了根本性转变。
股指期货是金融衍生品中最重要的一个品种。是以股票现货指数为标的的期货合约。股指期货具有价格发现、风险管理和期现套利的功能,有助于优化市场投资者结构,提供风险对冲机制和完善期货市场法律体系。在看到股指期货市场正面作用的同时,也要正视股指期货可能给金融市场带来的负面影响。股指期货既是风险管理的工具,也可能引发新的市场风险。许多国家的股指期货市场都曾经出现过市场操纵案件,严重动摇市场基础。
期货和现货的价格关系和有效的监管政策措施是股指期货市场在未来相当长时间内快速发展的重要因素。本文选取股指期货与现货价格的风险互动关系和股指期货市场监管措施进行研究抓住了现阶段股指期货研究的主要矛盾,具有重要的理论和实践意义。本文采用理论与实证相结合,综合运用理论分析、比较分析、实证分析、案例分析等方法研究股指期货和股票市场的关系,包括现货市场的波动性和流动性以及两者的价格作用关系,以及由此应采取的监管政策和措施等问题。本文的主要研究工作如下：
一、对中国期货市场和股指期货市场的发展进程进行了梳理和归纳,总结了我国期货市场发展的背景和自身特征。指出发展股指期货市场的重要意义并对股指期货推出后的运行特征进行了详尽分析。针对股指期货上市后的运行情况,目前首先应注意优化投资者结构。对于证券公司、公募基金、银行和信托投资公司,在放开进入期货市场限制的基础上,抓紧入市策略、交易手段和内控机制的建立等问题的解决,打消机构进入期货市场的观望和犹豫不决,改变目前以中小投资者为主的投资者结构。这是保证股指期货长期稳定运行的关键所在。其次还要坚持投资者适当性制度,继续加强监管。利用目前股票市场处于震荡运行的时机,完善股指期货监管的基础制度,建立实时交易信息统计体系,便于将来应对更大的监管挑战。
二、本文在时间序列分析的理论框架下,利用ARCH模型加入虚拟变量的形式分析了股票市场在引入股指期货后波动性是否发生显著变化。实证结果显示无论是股指期货上市短期还是中期,采用GARCH(1,1)模型均可以达到较好的拟合效果。而在该模型中,虚拟变量的系数均不显著,这表明在股指期货上市前后,股票市场的波动性未因此而发生显著变化,股指期货市场只是股票市场的“影子”,不会对股票市场的走势产生根本性影响。同时还建立了针对股票市场杠杆效应的EGARCH模型,该模型表明股票市场对利好消息和利空消息的反应不一致,利空消息会带来更大的波动。本文还通过T检验分析了股票市场成交金额增长率在股指期货上市前后的变动情况。分析结果表明股指期货推出前后股票市场的成交金额没有发生显著变化,说明流动性变化不显著。从实证结果得到的结论是中国股指期货的上市在短期和中期内都没有增加股票市场的波动性和流动性。股指期货市场有效地提高了现货市场的深度和信息传播效率,从长期看一个规范发展的股指期货市场具有降低股票市场波动性的作用。
三、本文用高频数据具体分析了股指期货和现货价格在价格发现和相互作用中的引导机制。在VAR模型下的格兰杰因果检验中发现股指期货和现货价格互为格兰杰原因,表明价格发现是两个市场相互作用的过程。协整关系检验表明股指期货和现货价格间存在长期均衡关系,表明股指期货市场没有脱离现货市场而无序波动,股指期货达到了平稳推出和运行的目的。随后建立的误差修正模型显示,在定价过程中,股指期货价格主要是受到市场冲击的影响,股票价格对股指期货价格的形成没有很强的解释力。而股指期货价格在解释股指现货的价格时具有显著影响。这表明股指期货在价格引导中具有主导地位。脉冲响应函数分析也佐证了这一点。现货市场受到冲击时,期货市场的反应并不明显。当期货市场受到冲击时,现货市场的运行路径发生明显变化,并且滞后期大约为2期左右,说明股指期货价格大约领先现货价格5到10分钟左右。综合来看,协整理论和向量误差修正模型在描述股指期货和现货价格关系中取得良好的效果,揭示问题准确。
四、股指期货和股指现货的价格联动效应会引发期货和现货市场间的跨市场操纵行为。本文从价格发现功能出发,总结出跨市场操纵行为的基本特征和风险概况,并对跨市场监管的主要内容进行了探讨。指出可以采取的监管措施主要包括：继续巩固现有监管措施,加强投资者教育和异常行为监控,监管方式保持灵活性和机动性；要研究跨市场操纵的法律问题。填补《证券法》和《期货交易管理条例》留下的关于跨市场操纵的法律空白。建立信息共享监测系统。
五、股指期货市场的监管要解决监管谁,监管什么、如何监管和监管效率的问题。本文具体分析了我国股指期货市场的监管原则、监管目标,指出了监管模式选择的思路和如何构建有效的监管体系。加强监管的政策建议主要包括：革新监管理念,坚持市场化监管思路,防止过度监管和监管不足；提升监管人员水平提高监管效率；统一调配、集中使用现有监管力量,对异常交易监测、高风险机构的风险防范、大型课题研究和跨市场操纵等重点问题集中展开工作；突出交易所在一线监管中的核心地位,加强期货业协会自律管理；鼓励期货公司等中介机构进行业务创新、经营创新。
本文的创新之处包括：第一、本文对我国期货和股指期货市场的发展演变做了系统回顾,通过总结得出若干经验教训,为未来工作展开打下良好基础。第二、本文对股指期货推出前后股票现货市场的运行特征、波动性和流动性进行全面分析,采用GARCH模型和非对称GARCH理论建立了波动性测度模型,计算结果较好地反映了股指期货推出前后现货市场的运行情况。实证表明现货市场并没有受到股指期货的冲击,从定量分析的角度打消了社会各界对股指期货的疑虑,为管理层提供了决策参考。第三、之前关于股指期货和现货价格关系的研究存在着方法不全面或者数据不充足的情况,本文采用统计计量方法对股指期货和股票现货的高频数据进行建模分析,建立了针对高频数据的VEC模型和协整关系模型。并运用脉冲响应函数和格兰杰因果检验等方法验证出股指期货价格领先于股指现货价格,实证结论填补了国内有关研究数据不足和方法不够全面的空白。
Since China implemented its reform and opening up policies, an important characteristic of national economy is the rapid development of the capital market. When we talk about the capital market, people usually think about the stock market while neglect the futures market. That is mainly because the stock market grows bigger and much more quickly the futures market. Although the two markets started the same time twenty years ago, stock market surpassed futures market with the market scale and social influence right now in China. Futures market appears as an "unknown" market. The ordinary investor only think the futures market is a highly risk place with speculators. Now the situation has greatly changed with the Shanghai and Shenzhen300index futures list in April2010.
Being the most important financial derivatives, stock index futures is based on some well known stock index. Generally, stock index future has three basic functions, that is, price discovery, hedging and arbitrage. The futures market could help manage the risk and establish a complete futures law framework. The stock index futures may also demolish the stock market. The stock index futures is not only tool of risk management, it also may induce the new market risk. The market manipulations happened in many countries before and disorder the stock market.
Price discovery is the basis of hedging and arbitrage in stock futures market. The regulation polices are the key of stock futures sustained development. This dissertation will focus on the price relationship between stock market and futures market. In addition, the author will also explore how to regulate the stock index futures market better. The dissertation try to use research methods such as empirical research case study、theoretical analysis and compare analysis to extend the research. Main conclusions and research works are as follows.
Firstly, the paper sums up the whole process and the background of China's futures market. Implementing the stock index futures is very important to the stock market. The paper analyzes the basic market situation after the list of the stock index futures contract in detail. According to the analysis, the investor component needed to be changed. The market should attract more institutional investors such as mutual funds、banks、securities company and trust company. Right now the institutional investors are not familiar with the stock index futures market and worry about the risk. The government should take actions to encourage the institutional invertors enter the market with full prepare and help them cope with the obstacle. That will assure the stock index futures market run smoothly in the long run. The china financial futures exchange should hold on the regulations regime for suitability of investors and establish the on time trade information platform. Taking advantage of the good opportunity, the government prepares well to cope with the potential bigger regulation challenges.
Secondly, the dissertation uses autoregressive conditional heteroskedastic (ARCH) model with dummy variables to test if the stock market volatility has significantly changed. The empirical studies show that the GARCH(1,1) model has a good fit in both time period no matter it is short run or longer run. In the GARCH(1,1)model, the coefficient of the dummy variable is not significant. That suggest the introduction of the stock index futures contract has not effect on the volatility of the underlying stock market. The stock index futures market is only a derivative of the stock market. It will not change the basic trend of the underlying stock market. The paper also established a EGARCH(1,1) model to test if the stock market has a leverage effect that is good news and bad news have differential effect on the conditional variance. The test result showed the presence of the leverage effect and the bad news increases the volatility. We also use pair wise t test to test if the stock market liquidity changed in the pre and post derivative period. There is no evidence to show the market liquidity has changed due to the introduction of the stock index futures. The empirical findings show that the derivative trading stabilizes the spot market trading and does not increase the spot market volatility and liquidity. The stock index futures market increase the overall spot market depth and informativeness. The derivative market has a favorable effect on the underlying cash market and reduces the spot mark volatility.
Thirdly, the dissertation uses high frequency trading data to analyze the lead lag relationship between stock index futures price and cash price. The pair wise granger causality test suggests that the stock index futures price and spot market price are mutual granger reasons. Both the derivative and cash market have effect on the price process. The cointegration test show the derivative price and the spot price have long term equilibrium relationship. The stock index futures price does not diverge from but were closely linked with the stock spots market indices. The prices change dependently each other. We employ the VEC model to explain the price discovery of futures market. During the price discovery process, the derivative price change is mainly due to the market shock, while the spot price follows the change of the futures market. Empirical results confirm that futures market plays a dominant price discovery role, implying that futures price contains useful information about spot prices. The test findings also find that the futures price lead the spot price about two periods, that is five to ten minutes. In short, VEC model and cointegration theory have good fit effect on describe the price discovery process, the test results are reliable.
Fourthly, the comovement between futures and spot price induce the cross market manipulation behavior. This part sum up the basic feature of the cross market manipulation and discuss the major measures to regulate the behavior. The major actions to improve the regulation levels include:keep focusing on the investor education and emphasize the monitor the abnormal trading activities; keep the regulation framework flexible to catch up the manipulation behavior change; attempt to construct a complete law about the manipulation; try to construct the information share system.
Finally, the stock index futures need to resolve what to regulate, how to regulate and how to improve the regulation efficiency. The dissertation analyzes the stock index futures regulation principle and regulation object. Now the regulation should insist the three level model, that is the CSRC、exchange and futures association coordinate closely together. The regulation measures to improve the market efficiency include:refresh the regulation idea and guidelines and insist the market oriented regulation principle; avoid regulate overly or insufficiently; improve the regulation agency employees level by continuous training; Implement stronger and more effective supervision on the abnormal transactions and pay highly attention to the risky institutional investors; CFFEX should be charged with the important tasks of promoting the innovation and development of China's financial market and building a world-class exchange through international competition; The futures association is responsible for the self-discipline regulation in the industry. The futures company is supposed to improve the sensitivity and response to market risks in their business with a higher sense of responsibility for the industry development.
The contributions of the dissertation are as follows:
1. Through the review of the history development process of China's futures market and stock index futures market, the dissertation concludes some precious experience and lessons, which will help us do a better job in building a well-structured, well-functioning, safe and highly-efficient financial futures market.
2. The dissertation analyzes the underlying stock market volatility and liquidity in the pre and post derivative period in detail. We employ the GARCH and asymmetric GARCH theory to construct the spot market volatility model. The models fit the real market very well. The findings suggest that the introduction does not increase the volatility and liquidity of the cash market at all. The results also relieve the public worries about the derivative market risk and provide suggestions for the government's strategic decisions.
3. The researches done by other scholars before had some inadequacies such as incomplete research methods or insufficient data and so on. The dissertation overcomes those shortcomings. High frequency transaction data has been used to construct the VEC model and cointegration model. The impulse response function and the granger causality test are employed to test the lead lag relationship. The empirical results fill out the same field research blank.
引文
①数据来源于NFA《Annual Volume Survey2010》
②《逃向期货》序言。作者为金融期货之父利奥.梅拉梅德
中国学术期刊（光盘版）电子杂志社编者注：文中（含目录）所谓台湾的“财政部”以及台湾的法律称谓均应加引号或去书名号加引号；文中涉及香港、台湾的“各国”、“国家”均应为“国家（地区）”。
①郑学勤：发展股指期货是金融改革必由之路,2008年05月07日中国证券报
① Christopher L. Culp, The Brady Report:Threat to Stock Market Stability, the freeman. May 1988. Volume:38, Issue 5
①诺贝尔经济学奖得主Robert Merton在上海汇添富财富论坛上针对股指期货等金融衍生品做了精彩发言。
①根据2010年IMF数据,按照购买力平价口径计算的GDP总量也排在全球第二名,但是比重有所降低,相当于美国的69%
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①孙尚清主编：《中国市场发展报告》,中国发展出版社1996年版,第54-78页。
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①勒庞《鸟合之众》,中央编译出版社。冯克利译
②乔治.斯蒂格勒以信息经济学和规制经济学的创始人身份获得1982年诺贝尔经济学奖,见1982年瑞典皇家科学院致辞
①郑艳辉,海外期货市场主管机构的设置与政府监管功能评析,《世界经济研究》,1996年第3期
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