【作者】 霍瑞戎；

【导师】 夏德仁；

【作者基本信息】 东北财经大学 ， 金融学， 2009， 博士

【摘要】 改革开放后,中国的期货市场经历了初期发展、清理整顿、逐步规范的三个阶段。在期货市场逐渐规范的过程中,期货交割作为期货交易的最后一个环节,屡次与风险事件有关,因此越来越引起人们的重视。完善交割环节,更好的发挥期货市场的功能,是期货界亟待解决的一个重要问题。期货市场的实物交割,既是期货市场与现货市场联系在一起的纽带,也是期货市场价格发现和套期保值两大基本功能得以正常发挥的制度保障。正是由于期货市场具备实物交割的特别安排,才使期货市场真正有别于其它金融市场,即期货市场与其它金融市场一样既具备投资平台、资金融通的特点,又与商品相联结,将商品货币转换的过程体现出来。从这一意义上讲,不研究交割难以全面了解把握期货市场自身的特有属性。实物交割对于期货市场功能发挥具有重要的意义,它是期货市场发现价格、套期保值功能得以实现的前提条件。从期货市场产生一百多年的实践和我国经济发展趋势看,科学地总结交割的特点,系统地分析交割构成要素,从而在具体分析现有期货品种交割情况的基础上,完善交割环节、交割规则,进一步发挥交割应有的作用,有重要的意义。在两大基本功能的基础上,交割制度也能够在一定程度上防止市场的操纵行为,抑制逼仓。同时,完善的交割制度也能够提高市场的流动性。对于中国的市场来说,研究交割制度还有着特殊重要的意义。我国建立期货市场的初衷是为了解决现货市场的问题,是现阶段中国政府发展期货市场的政策取向要求,实物交割实际上承担了远期现货的观念,是实现套期保值的形式。在现实的期货市场上,实物交割并不是总能保证期现价格在交割月的趋同和套期保值功能的有效发挥,即实物交割并不总能有效地沟通期货市场和现货市场。尤其是刚发展起来的中国商品期货市场,期现脱节表现的更为突出。因此,以实物交割研究为切入点,培育完善现货市场,适时调整期货市场相关制度,规范实物交割,从而促使期现两个市场呈现高度相关性和统一性,保证期货市场的健康发展,对于中国期货市场具有尤为重要的现实意义。根据本文的研究内容,在本论文的写作过程中主要采用了理论与实证相结合的方法。在商品期货的发展、交割制度的变迁以及我国期货交割制度部分,主要采取了理论梳理的方法,回顾了期货行业形成发展的历史,论述了有关交割的不同观点、设计交割制度应该考虑的因素以及我国现有交割制度的现状。五六章的实证部分综合运用了数据对比、因果关系检验、统计分析等计量经济学方法,对我国期货交割制度的现状及效率进行了分析。最后的政策建议则主要采取了归纳和演绎的方法,基于前一部分的理论分析,综合考虑了影响交割制度的因素,提出了对期货交割制度的几点建议。采用以上的方法,本论文主要对以下三方面的内容进行研究：第一,对期货市场交割的理论进行梳理,在梳理的基础上对期货交割的理论加以系统化。这种系统化的工作体现在三个方面,一是详细的回顾了商品期货在全球范围内的发展历程,其中包括具有代表性的美、日、英三个发达国家以及商品期货在我国的发展。同时,总结归纳了交割制度的变迁,重点剖析了三种交割的观点,即零交割观点、限制交割观点和无限制交割观点。在对三种交割观点剖析的基础上,着重说明了无限制交割的重要性以及笔者对这一交割观点的取向。二是,分析了交割制度对期货市场功能的影响。交割制度不完善,会增加期货市场的风险。交割制度对期货市场的功能影响体现在很多方面,价格发现功能、套期保值功能、减少逼仓功能和增进流动性功能等等。本文重点就前两个功能进行了详细的阐述;三是,系统分析了影响期货交割的各种因素,建立了一个期货交割影响因素的完整模型,这将是我对期货交割理论的丰富和完善的一个贡献。对期货交割理论的梳理和系统化的工作,给论文后面的制度研究、实证分析和政策建议提供了一个理论基础和价值取向。第二,对国内有代表性的期货品种的交割制度和交割情况进行了实证分析。通过实证分析,揭示出我国期货交割在特定的交割制度下的市场效率、风险产生过程等客观事实以及影响因素。实证分析的结果是：现货市场发育较好、交割制度设计较为合理的某金属期货品种运行状况最佳,且2002年以后,交割率比以往较低,定价能力上升；某农产品随着交割制度不断的改善,也日趋成熟。总的来说,各品种交割率整体上处于较为合理的水平,与我国期货市场所处的发展阶段相符合,但是交割制度存在诸多缺陷也是显而易见的。期现脱节、基差、套利和挤仓是导致我国期货市场实物交割率过高和剧烈波动的重要因素。第三,论文对完善我国期货交割制度,提高我国期货市场交易的效率以充分发挥期货市场的功能,提出了一系列建议。论文的实证分析,为论文提出交割制度合理化的主张提供了依据。我国商品期货市场虽然实物交割的基础工作做得比较扎实,但是由于认识错误,曾经在交割制度设计上追求低交割,采用有限制交割,这一误区导致期货市场交割风险迭生。因此,无限制交割是我国期货市场交割制度改革的方向,并且我国三大商品期货交易所已经放开对交割的限制。本论文的创新之处在于以下三个方面：第一,理论视角的创新,立足于期货交割,分析期货功能的实现,将对期货市场的发展和期货市场功能的有效发挥具有重要的意义；第二,研究方法的创新,本文结合运用计量经济分析方法与统计分析的方法,分析期货交割对期货的定价功能的影响,以及期货交割对期货市场运行效率的影响,使期货交割对期货市场平稳运行的贡献有了定量的衡量,为期货市场交割制度的进一步完善提供理论指导；第三,观点的创新,文章对改善我国期货市场的交割制度提出实事求是的建议,将有助于期货市场的平稳健康发展。更多还原

【Abstract】 Since the reform of China, Chinese futures markets have experienced three stages, which are initial development, chean-up effort and standardized process. In the gradually standardized process, practical delivery as the last step in futures has everything to do with risk. practical delivery has drawn more and more attention.How to improve practical delivery so as to better carry out functions of futures markets is a important problem which needs prompt solution.Practical deliveries in futures markets, which connect futures markets and spot markets, are system guarantee for the two basic functions in futures markets-----price discovery and hedge.Practical delivery is the precondition for price discovery. Thanks for the existence of practical deliveries in the futures market, that arbitrage between futures price and spot price can come true. At the same time, the practical delivery is the precondition for hedge in futures markets.Besides the two basic functions, the practical delivery is also able to prevent market manipulation and control market corner. At the same time, a sound practical delivery system also can enhance the market’s liquidity. For the Chinese market, the research on practical delivery system is also of special significance.However, in the real futures market, practical delivery cannot always guarantee convergence between spot price and the futures price in delivery month. That is to say, the practical delivery cannot always connect futures markets and spot markets efficiently. The disconnection of two markets can be easily observed, especially in the Chinese newborn commodity futures markets. As a result, based on the research in practical deliveries, it makes sense to develop spot markets, to adjust related system in futures markets, and to standardize practical deliveries, for the purpose of making the two markets relative and uniform, and ensuring the healthy development in futures markets. For Chinese futures markets, these actions are especially important in reality.According to research contents of this article, in the process of writing I mainly adopts a combination of theory and empirical methods. I mainly use a theoretical method, in recalling the history of formation and development of the futures industry, discussing the different views about the delivery, designing delivery system as well as China’s current status of the existing delivery systems. Chapter 5 and 6 as part of the empirical test employs many econometric methods, such as data comparison, causality test, and statistical analysis.Based on the theoretic analysis, The paper focuses mostly on the following three aspects:In the first place, the paper analyses the theories on the delivery in futures markets. Based on the analysis, it systematizes theories on the delivery in futures markets. The effort in systematization lies in three aspects. First, it defines the important role delivery plays in the futures market, focusing mostly on explaining viewpoints about delivery, which is zero-delivery viewpoint, limited-delivery viewpoint, and free-delivery viewpoint. Based on the analysis, the paper emphasizes the importance of free-delivery and the writer’opinion on free-delivery; Second, the paper analyses the influence delivery system exerts on deliveries and delivery risk; third, the paper systematically analyses all factors which affect futures deliveries, building a integrated model to explain the factors affecting futures deliveries. This model is an important contribution for the richness and an improvement of futures delivery theories. The efforts to summarize and systematize futures delivery theories provide a theoretic basis and value judgment for following system research, empirical analysis, and policy advice.Secondly, the paper performs an empirical analysis on delivery systems of important kinds of futures, both domestic and abroad, especially domestic. This empirical analysis exploits objective facts and influencing factors, such as market efficiency, risk generating process of futures deliveries under certain Chinese delivery system. The results of empirical analysis are as follows:The copper futures which has nice spot markets, and sound delivery system, runs the best; The farm product futures is becoming better in the process of improving delivery system. As a whole, all kinds of futures delivery rate are rational, which match the developing stage of Chinese futures markets. However, many weak points in delivery system are obvious. Disconnection between futures and spot markets, improper basis, arbitrage, and futures corner events are the important causes of excessive delivery rate and high volatility in Chinese futures markets. In the third place, the paper provides a series of advices on how to improve Chinese futures delivery system, how to increase efficiency of Chinese futures transaction, and how to sufficiently bring the function of futures markets into play. The empirical analysis provides evidences for the proposition on rationalizing delivery system. There is a sound base on practical delivery, but as a result of misunderstanding, the excess pursuit for low delivery rate in system device, and the adoption of limited delivery, futures markets accumulate more and more risk. So, the free delivery is the orientation of delivery system reform. Now, releasing limitation of deliveries is coming into use in Chinese top three exchanges.The paper’s innovation lies in following three aspects:first, the innovation in theoretic perspectives. based on the analysis on futures deliveries, it analyzes realization of futures function, so it will play a important role in development in futures markets and effective implement of futures markets’functions; Second, the innovation in research methods. The paper employs both econometric and statistic methods, analyzing the influence futures delivery performs on the futures pricing function, and the influence on the efficiency of futures markets. As a result, the paper provides a quantificational measurement on how much contribution the futures delivery has on the smooth running of futures markets, and also provide theoretic guidance on further perfecting delivery system; Third, the innovation of viewpoints. The paper makes practical suggestions on how to improve Chinese delivery system in futures markets. This will help the futures markets to develop smoothly and healthily.更多还原