中国股指期货合约设计研究
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摘要
近年来,中国资本市场有了长足的发展,但由于缺乏必要的避险工具以及存在单边交易机制,极大地限制了证券市场发展。与外汇期货、利率期货和其他各种商品期货一样,股票指数期货也是顺应人们规避风险的需要而产生的,而且是专门为人们管理股票市场的价格风险而设计的。开设股票指数期货交易,设计股票指数期货合约规格,一定要既有利于维护市场交易的活跃,又抑制过度投机,确保各种功能的有效发挥。
开展股指期货交易的关键在于合约规格的设计,合约规格的合理设计与选择直接关系到股票指数期货开办的成功与否,所有国家和地区在推出股票指数期货合约之前,都会对其进行严谨的分析论证,以确保股指期货功能的发挥。目前,国内对于股指期货合约方案设计存在较多的争议。笔者认为,我国股指期货制度设计既要借鉴境外市场的成功经验,也要结合我国的实际情况。
首先,本文介绍了股指期货的基本理论,并且研究借鉴国外先进经验,总结世界各国股指期货合约设计的成功因素。将股指期货合约条款按照影响市场流动性和风险可控性的标准进行分类,通过比较分析,总结出各条款设计的国际惯例及发展趋势。
接着,论文对我国现已推出的沪深300指数期货合约的条款设计进行了评析,全面比较分析了国内股票指数和境外股价指数编制方法,分析了我国选择沪深300指数作为首只期货品种的可行性,并且借鉴国际惯例并结合我国资本市场的现状,讨论了合约的主要条款,主要内容包括合约价值与乘数、最小波动价位、合约交易月份、涨跌停板限制、最后交易日及最后结算日、最后结算价、手续费、交易时间与交割方式等,研究当前环境下对我国合约设计不够成熟与亟需完善的方面。
最后,结合国际经验与我国实际情况提出相应的对策建议:从提高合约的市场流动性方面,在股指期货市场发展到一定阶段,要适时推出迷你型股指期货合约,逐步降低保证金水平,对短期交易者收取较低水平保证金,并且对合约手续费采取固定值收费方法,不断增强市场交易的活跃程度;在完善市场风险控制方面,要不断完善市场法规,组建多部门的联合监管体制,加强政府风险监管力度,注重对投资者的风险教育,同时要不断完善熔断机制设计并根据市场波动状况及时调整保证金水平。如此才能使股指期货真正发挥其对资本市场的积极作用。
In recent years, the Chinese capital market has got considerable development, because of the lack of essential hedging instrument and the existing of unilateral trade mechanism; the security market has been restrained. The stock indexes futures appear comply with the needs of evading risk. The design of the futures contract must not only help to safeguard the activeness of marketing but also excessively inhibit congenially, guarantee the effective full play of various functions.
Futures run succeed or not lie in contract design of, all countries or regions will go on rigorous analysis prove to it before putting out the futures contract of stock index. At present, there are some disputes to the design of the stock index contract domestically. I think the design of our stock index contract should use the successful experience of the external market for reference, and combine the actual conditions of our country.
First of all, this text has introduced the basic theories of the stock index futures, used foreign advanced experiences for reference, summarized the successful factors and classified the futures standard of flow ability of market and risk controllability, through comparative analysis, summarized international practice and the trend.
Secondly, this thesis analysis the Shanghai and Shenzhen 300 index futures clause of contract that our country put out now, compare it with other indexes overseas, and draw lessons from the international practice and combine the current situation of the capital market of our country, discuss the main clause of the contract, the main content includes the contract value and multiplier, minimum price, trading month ,last bargain day and last account day, close price, service charge, trade time, delivery way and so on.
Finally, combine the international experience with the actual conditions of our country. Consider raising the flow ability of the market, we can put out the mini-stock index futures contract in right time, reduce the level of the earnest money progressively, collect lower money from short-term dealers, and take fixed value to charge the contract service. For improving the risk control of market, we should improve the market regulation constantly, set up the union regulatory systems, strengthen the supervision of government risk, and pay attention to the risk education of investors and so on.
开展股指期货交易的关键在于合约规格的设计,合约规格的合理设计与选择直接关系到股票指数期货开办的成功与否,所有国家和地区在推出股票指数期货合约之前,都会对其进行严谨的分析论证,以确保股指期货功能的发挥。目前,国内对于股指期货合约方案设计存在较多的争议。笔者认为,我国股指期货制度设计既要借鉴境外市场的成功经验,也要结合我国的实际情况。
首先,本文介绍了股指期货的基本理论,并且研究借鉴国外先进经验,总结世界各国股指期货合约设计的成功因素。将股指期货合约条款按照影响市场流动性和风险可控性的标准进行分类,通过比较分析,总结出各条款设计的国际惯例及发展趋势。
接着,论文对我国现已推出的沪深300指数期货合约的条款设计进行了评析,全面比较分析了国内股票指数和境外股价指数编制方法,分析了我国选择沪深300指数作为首只期货品种的可行性,并且借鉴国际惯例并结合我国资本市场的现状,讨论了合约的主要条款,主要内容包括合约价值与乘数、最小波动价位、合约交易月份、涨跌停板限制、最后交易日及最后结算日、最后结算价、手续费、交易时间与交割方式等,研究当前环境下对我国合约设计不够成熟与亟需完善的方面。
最后,结合国际经验与我国实际情况提出相应的对策建议:从提高合约的市场流动性方面,在股指期货市场发展到一定阶段,要适时推出迷你型股指期货合约,逐步降低保证金水平,对短期交易者收取较低水平保证金,并且对合约手续费采取固定值收费方法,不断增强市场交易的活跃程度;在完善市场风险控制方面,要不断完善市场法规,组建多部门的联合监管体制,加强政府风险监管力度,注重对投资者的风险教育,同时要不断完善熔断机制设计并根据市场波动状况及时调整保证金水平。如此才能使股指期货真正发挥其对资本市场的积极作用。
In recent years, the Chinese capital market has got considerable development, because of the lack of essential hedging instrument and the existing of unilateral trade mechanism; the security market has been restrained. The stock indexes futures appear comply with the needs of evading risk. The design of the futures contract must not only help to safeguard the activeness of marketing but also excessively inhibit congenially, guarantee the effective full play of various functions.
Futures run succeed or not lie in contract design of, all countries or regions will go on rigorous analysis prove to it before putting out the futures contract of stock index. At present, there are some disputes to the design of the stock index contract domestically. I think the design of our stock index contract should use the successful experience of the external market for reference, and combine the actual conditions of our country.
First of all, this text has introduced the basic theories of the stock index futures, used foreign advanced experiences for reference, summarized the successful factors and classified the futures standard of flow ability of market and risk controllability, through comparative analysis, summarized international practice and the trend.
Secondly, this thesis analysis the Shanghai and Shenzhen 300 index futures clause of contract that our country put out now, compare it with other indexes overseas, and draw lessons from the international practice and combine the current situation of the capital market of our country, discuss the main clause of the contract, the main content includes the contract value and multiplier, minimum price, trading month ,last bargain day and last account day, close price, service charge, trade time, delivery way and so on.
Finally, combine the international experience with the actual conditions of our country. Consider raising the flow ability of the market, we can put out the mini-stock index futures contract in right time, reduce the level of the earnest money progressively, collect lower money from short-term dealers, and take fixed value to charge the contract service. For improving the risk control of market, we should improve the market regulation constantly, set up the union regulatory systems, strengthen the supervision of government risk, and pay attention to the risk education of investors and so on.
引文
[1] Anthony F. Herbst.. Commodity futures : markets, methods of analysis, and management of risk. New York : Wiley, c1986;
[2] Bo Yoder. Mastering futures trading : an advanced course for sophisticated strategies that work. New York : McGraw-Hill, c2005;
[3] Carroll R. Melton and Terry Vance Pukula. Financial futures : practical applications for financial institutions. Reston, VA : Reston Pub. Co., c1985;
[4] Chengxi Yao. Stock market and futures market in the People's Republic of China. Hong Kong ; New York : Oxford University Press, 1998;
[5] Colin A. Carter. Futures and options markets : an introduction. NEw Jersey : Prentice Hall, c2003;
[6] E. Briys ... [et al.]. Options, futures, and exotic derivatives : theory, application and practice. Chichester ; New York : Wiley, c1998;
[7] George Kleinman. Trading commodities and financial futures : a step-by step guide to mastering the markets. 3rd ed. Boston : Financial Times Press, c2005;
[8] George Steinbeck, Rosemary Erickson. The futures markets dictionary. New York : New York Institute of Finance, 1988;
[9] Gerard Caprio ... [et al.], editors. The future of state-owned financial institutions. Washington, D.C. : Brookings Institution Press, c2005;
[10] Louis E. Boone, David L. Kurtz, Douglas Hearth. Planning your financial future。3rd ed. Mason, Ohio : Thomson/South-Western, c2003:2～10;
[11] edited by Marco Keiner, Martina Koll-Schretzenmayr, and Willy A. Schmid. Managing urban futures : sustainability and urban growth in developing countries. Burlington, VT : Ashgate, c2005;
[12] Mark Powers, David Vogel. Inside the financial futures markets2nd ed. New York : Wiley, c1983;
[13] Robert W. Kolb and James A. Overdahl. Understanding futures markets. 6th ed. -- Malden, MA ; Oxford : Blackwell Pub., 2006;
[14] Robert W. Kolb. Futures, options, and swaps. 4th ed. Malden, MA, USA : Blackwell, c2003;
[15] Todd Lofton. Getting started in futures. 2nd ed. New York : John Wiley & Sons, c1993;
[16]肖辉,刘文财.股票指数现货市场与期货市场关系研究.北京:中国金融出版社,2006:37～288;
[17]罗孝玲.期货投资案例.北京:经济科学出版社, 2005:36～105;
[18]赵曙东.股指期货投资.南京:江苏人民出版社, 2002:156～297;
[19]吴法新.另类智慧:证券、期货投资新思维.深圳:海天出版社, 2002;
[20]章伟国,余南平.走进股指期货.上海:上海辞书出版社, 2002;
[21]姚兴涛.中国股指期货市场概论.北京:北京大学出版社, 2001:27～58;
[22]胡俞越.期货投资基金:揭开期货投资基金神秘面纱知识性与学术性的完美结合.北京:机械工业出版社, 2005;
[23]张逸,郭旭.股票期货案例精析.北京:法律出版社, 2005:168～175;
[24]汪五一.期货与期权交易.合肥:中国科学技术大学出版社, 2005:172～173;
[25]沃特沙姆(英).风险管理中的期货和期权.北京:北京大学出版社, 2003;
[26]朱国华,褚玦海.期货投资学.上海:上海财经大学出版社, 2006:97～105;
[27]彭俊衡.我国股票指数期货市场动作模式研究.上海:复旦大学出版社, 2003:17～19;
[28]杨星.股指期货.广州:广东经济出版社, 2002:56～72;
[29]林国春.股票指数期货交易:套期保值与套利策略.北京:经济管理出版社, 2002:185～212;
[30]杨迈军.股指期货交易.北京:中国物价出版社, 2001:103～252;
[31]欧阳良宜.期权期货市场理论与操作.北京:中国发展出版社, 2006:67～79;
[32]叶永刚,黄河,王学群.股票价格指数期货.武汉:武汉大学出版社, 2004:96～105;
[33]段文斌,王化栋.现代期货市场学.北京:经济管理出版社, 2003:13～59;
[34]洪名勇.新编期货投资学.大连:东北财经大学出版社, 2005:87～92;
[35]季冬生,股指期货.北京:中国时代经济出版社, 2002:31～121;
[36]科林·亚历山大(美).股票市场的时机选择:来自期货交易的长胜技巧.北京:中国财政经济出版社, 2004:35～78;
[37]张慧茹,李海东.金融期货.北京:科学出版社, 2005:115～152;
[38]杨丹.股指期货投资.广州:暨南大学出版社, 2004:10～22;
[39]彭俊衡.我国股票指数期货市场运作模式研究.上海:复旦大学出版社, 2003:121～156;
[40]欧阳日辉.中国期货市场发展的制度分析.重庆:重庆出版社, 2006:111～133;
[2] Bo Yoder. Mastering futures trading : an advanced course for sophisticated strategies that work. New York : McGraw-Hill, c2005;
[3] Carroll R. Melton and Terry Vance Pukula. Financial futures : practical applications for financial institutions. Reston, VA : Reston Pub. Co., c1985;
[4] Chengxi Yao. Stock market and futures market in the People's Republic of China. Hong Kong ; New York : Oxford University Press, 1998;
[5] Colin A. Carter. Futures and options markets : an introduction. NEw Jersey : Prentice Hall, c2003;
[6] E. Briys ... [et al.]. Options, futures, and exotic derivatives : theory, application and practice. Chichester ; New York : Wiley, c1998;
[7] George Kleinman. Trading commodities and financial futures : a step-by step guide to mastering the markets. 3rd ed. Boston : Financial Times Press, c2005;
[8] George Steinbeck, Rosemary Erickson. The futures markets dictionary. New York : New York Institute of Finance, 1988;
[9] Gerard Caprio ... [et al.], editors. The future of state-owned financial institutions. Washington, D.C. : Brookings Institution Press, c2005;
[10] Louis E. Boone, David L. Kurtz, Douglas Hearth. Planning your financial future。3rd ed. Mason, Ohio : Thomson/South-Western, c2003:2～10;
[11] edited by Marco Keiner, Martina Koll-Schretzenmayr, and Willy A. Schmid. Managing urban futures : sustainability and urban growth in developing countries. Burlington, VT : Ashgate, c2005;
[12] Mark Powers, David Vogel. Inside the financial futures markets2nd ed. New York : Wiley, c1983;
[13] Robert W. Kolb and James A. Overdahl. Understanding futures markets. 6th ed. -- Malden, MA ; Oxford : Blackwell Pub., 2006;
[14] Robert W. Kolb. Futures, options, and swaps. 4th ed. Malden, MA, USA : Blackwell, c2003;
[15] Todd Lofton. Getting started in futures. 2nd ed. New York : John Wiley & Sons, c1993;
[16]肖辉,刘文财.股票指数现货市场与期货市场关系研究.北京:中国金融出版社,2006:37～288;
[17]罗孝玲.期货投资案例.北京:经济科学出版社, 2005:36～105;
[18]赵曙东.股指期货投资.南京:江苏人民出版社, 2002:156～297;
[19]吴法新.另类智慧:证券、期货投资新思维.深圳:海天出版社, 2002;
[20]章伟国,余南平.走进股指期货.上海:上海辞书出版社, 2002;
[21]姚兴涛.中国股指期货市场概论.北京:北京大学出版社, 2001:27～58;
[22]胡俞越.期货投资基金:揭开期货投资基金神秘面纱知识性与学术性的完美结合.北京:机械工业出版社, 2005;
[23]张逸,郭旭.股票期货案例精析.北京:法律出版社, 2005:168～175;
[24]汪五一.期货与期权交易.合肥:中国科学技术大学出版社, 2005:172～173;
[25]沃特沙姆(英).风险管理中的期货和期权.北京:北京大学出版社, 2003;
[26]朱国华,褚玦海.期货投资学.上海:上海财经大学出版社, 2006:97～105;
[27]彭俊衡.我国股票指数期货市场动作模式研究.上海:复旦大学出版社, 2003:17～19;
[28]杨星.股指期货.广州:广东经济出版社, 2002:56～72;
[29]林国春.股票指数期货交易:套期保值与套利策略.北京:经济管理出版社, 2002:185～212;
[30]杨迈军.股指期货交易.北京:中国物价出版社, 2001:103～252;
[31]欧阳良宜.期权期货市场理论与操作.北京:中国发展出版社, 2006:67～79;
[32]叶永刚,黄河,王学群.股票价格指数期货.武汉:武汉大学出版社, 2004:96～105;
[33]段文斌,王化栋.现代期货市场学.北京:经济管理出版社, 2003:13～59;
[34]洪名勇.新编期货投资学.大连:东北财经大学出版社, 2005:87～92;
[35]季冬生,股指期货.北京:中国时代经济出版社, 2002:31～121;
[36]科林·亚历山大(美).股票市场的时机选择:来自期货交易的长胜技巧.北京:中国财政经济出版社, 2004:35～78;
[37]张慧茹,李海东.金融期货.北京:科学出版社, 2005:115～152;
[38]杨丹.股指期货投资.广州:暨南大学出版社, 2004:10～22;
[39]彭俊衡.我国股票指数期货市场运作模式研究.上海:复旦大学出版社, 2003:121～156;
[40]欧阳日辉.中国期货市场发展的制度分析.重庆:重庆出版社, 2006:111～133;