【作者】 吕晓峰；

【导师】 戴炳然；

【作者基本信息】 复旦大学 ， 世界经济， 2003， 博士

【摘要】 金融衍生产品（Financial Derivative Instrument）是由债券、股票等基础资产（Underlying Asset）衍生而来，其收益取决于基础资产价格的变动。一般来说，基础金融工具、商品等都可作为衍生产品的基础资产，甚至企业破产指数、降雪量等也可以作为衍生产品的标的，因此衍生产品种类繁多、涵盖广阔。但从国际金融市场的现状及发展趋势来看，以基础金融资产为标的的金融衍生产品占据绝对比重。而在这其中，以基础金融资产为标的的金融期权、期货又占有绝对优势，因此以金融期权、期货为研究对象更能抓住金融衍生产品的核心。金融期权、期货与基础金融市场的关系一直是理论界争论的热点问题，相互矛盾的观点与相互矛盾的实证结论并存，然而这一问题又是困扰发展中国家发展金融期权、期货的关键问题。作为世界最大发展中国家的我国也不例外，随着市场经济体系的逐步建立与加入WTO承诺的逐步兑现，目前加快发展我国金融期权、期货市场已经提到政府议事日程上来，因而设立金融期权、期货市场会对现有金融市场产生何种影响，利弊孰轻孰重就成为不能回避的现实理论问题。对这一理论问题给予更系统、更深刻的关注是本文研究的出发点。当然由于问题过于复杂，因此论文从效率层面重点研究以下问题：（1）金融期权存在的必要性分析。本文运用辩证的分析方法，首先通过期权定价理论阐述基础金融市场决定金融期权的收益与风险。在套利作用下，期权的价格由基础金融资产决定，因此期权的收益与风险就取决于基础金融资产。这就证明了存在基础金融资产对期权的影响关系。而后利用Detemple与Selden模型证明期权对基础金融资产价格的改变，从而证明期权对基础金融市场影响的存在。这样利用相互矛盾的理论分析建立起期权与基础金融市场间的双向影响关系。而后本文用实证的方法，解释理论分析对立的原因，从而牢固地树立起金融期权与基础金融市场间相互关联的关系，成为本文研究的基石。 （2）金融期权与金融市场效率关系的分析。本文将Arrow提出的在不确定经济状态空间下的市场效率观与Fama提出的资本市场的有效性观成功地统一到金融市场配置资源与风险两大核心功能的效率上来。这样将Ross在期权与金融市场Arrow效率的研究延伸到提高金融市场功能效率方面。从而在理论上揭示存在金融期权市场对金融市场效率的影响，以及这种影响机制发挥作用的传导路经。这一研究开辟了从金融市场功能的效率出发研究金融期权、期货与基础金融市场关系的新视角。 <WP=9>（3）期货与基础金融市场，以及期权市场相互关系的研究。本文通过期货与基础金融市场关系的研究，揭示以债券市场为纽带期货消弱了金融市场的分割，将金融市场普遍联系起来，这是期货与金融市场效率的直接关系。为揭示期权、期货引入后金融市场发生的更深层次变化，本文继续分析了期货与期权市场间的联系，从而将期权对金融市场效率的影响引入到期货市场中来，论证了金融期货不仅对金融市场效率存在直接的影响，而且还存在间接的影响。这样金融期权、期货以及各基础金融市场间在效率层面的关系就清晰起来。（4）金融期权、期货对金融市场效率影响机制发挥作用的条件分析。金融期权、期货影响金融市场效率是存在条件的，这一部分的分析实际上是将前面研究中隐含的条件予以明确化，目的是使本文研究的成果逻辑上更严密、应用上更具实用价值。本文通过研究不同条件下金融期权、期货的不同作用，发现开放经济与封闭经济、发达国家与发展中国家、大国与小国因情况不同发展金融期权、期货市场的效果也不同。尤其是发展中的大国，超越经济发展水平和经济对金融市场的需要超前发展金融期权、期货市场，结果是政府将不得不反过来再限制金融期权、期货市场的发展。（5）中国发展金融期权、期货市场的研究。在以上研究建立的理论框架内，本文回顾了改革开放以来我国金融期权、期货市场的发展历程，从而验证本文理论结论的正确性。而后从金融市场效率层面对当前国内热点争论的股指期货做出分析，认为完善基础股票市场是发展股指期货的前提。本文还对当前最具开发前景的黄金期货、外汇期货做了简要分析，并提出必要的配套措施和条件。当然，由于本文是仅从效率一个层面分析，其结论仅仅是增加一个分析的方面，不应被理解为以偏概全。整篇论文围绕金融期权、期货、金融市场效率展开论证，综合借鉴与运用已有的研究成果和方法，试图在金融市场效率层面对金融期权、期货与金融市场间的关系给出本质性的分析。更多还原

【Abstract】 Financial Derivative Instruments is derivative from Underlying Asset such as bond, stock and so on. Their benefits depend on the price change of underlying assets. In generally, the underlying financial instruments and commodities may be considered as the writing assets. Even the index of enterprise bankrupt and the amount of falling snow also can be use as writing assets of derivative. So the kinds of derivatives are various. But from the aspect of the actual statues of financial markets and developing trend, the derivatives writing on underlying financial asset is dominant. Furthermore financial options and futures writing on financial asset are overwhelmed. Therefore the financial options and futures are core of the financial derivatives. The relationships among the financial options, futures and underlying assets are the hot issues in academic circles. Contrary theories and empirical conclusions have exist for a long time, which is the key question for developing countries to set up financial options and futures markets, so is china as the biggest developing country. Due to the setup of the market economy and joining the WTO, accelerating the development of financial options and futures markets has been placed on government’s agenda. What are effects of the financial options and futures markets on fundamental financial markets is inevitable question. The theoretical ambition of this paper is to give fairly more systematic and scholarly attention to the question. The paper mainly conducts discussions about the following problems though an efficiency view.Firstly, take a theoretical analysis of necessity of financial options. On one hand, in order to discover the effects of underlying financial assets on options, the paper utilizes the options pricing theory to prove that underlying financial assets determine the options’ price, which demonstrates that the options’ earning and risk rest on underlying financial assets. On the other hand, in order to discover the effects of options on underlying financial assets, the paper introduces the Detemple and Selden model to prove that options affect the price of underlying financial assets. So the relationships between financial options and underlying assets become clear. Furthermore, the paper discusses the reasons of above theoretical analysis controversy through empirical study.Secondly, take a theoretical analysis on relationships between financial options and financial market efficiency. The paper discusses the different views on financial efficiency. Arrow introduced the state-space approach to uncertainty in economics has brought the recognition that an inadequate number of markets in contingent claims would be a source of inefficiency. Fama introduced the <WP=11>efficient market hypothesis that reveals the information reaction abilities of financial markets. The paper successfully unites them into the financial market efficiency on collocating financial resources and risk. The efforts discover the effect mechanism of options on financial market efficiency. Thirdly, research the relationships among futures, options and underlying financial assets. The paper discovers the direct effects of futures on financial markets are futures depress the financial market segmentation though enhancing the relevancy of each financial market. The indirect that are through replicating options, so the replicating options affect the financial market efficiency. Thus, the efficient effects among options, futures and other financial markets become clear. Fourthly, condition analysis on above efficiency mechanism. Although options and futures affect the financial efficiency, the condition shouldn’t be ignored. The paper conducts an analysis of the effects in developed country as well as developing country, in opening economy as well as closed one, in big country as well as small one. We conclude that the developing statues of financial options and futures markets should be consistent with the economic and financial market statues, otherwise the authorities have to re更多还原