【作者】 唐沙利；

【导师】 井百祥；

【作者基本信息】 湘潭大学 ， 世界经济学， 2007， 硕士

【摘要】 20世纪70年代以来,随着金融市场全球化、金融自由化、金融资产证券化,大量的、复杂的金融工具被创造出来,国债期货是其中最具有代表性的一种。国债期货交易既有利于回避利率变动等因素带来的价格风险,也可以为国债现货的正确定价提供参考。我国在20世纪90年代初曾进行过国债期货交易的试点,但由于多方面因素导致市场投机和价格操纵现象异常严重,导致国债期货交易经过两年多试点后被政府有关部门暂停。12年来我国经济金融环境发生了较大变化,我国恢复国债期货交易的必要性和可行性逐渐成熟,探讨相关问题具有重要的理论意义和现实意义。而合约设计是恢复和发展国债期货交易的重要内容之一,对其研究有着重要的意义。国债期货合约设计主要包括对标的资产、保证金水平、每日价格涨跌幅限制、持仓控制等条款的设计。这些条款内容共同构成了国债期货合约的合约特征。合约设计需要综合考虑三方面因素:对套期保值者的吸引、对投机者的吸引以及防止价格操纵。目前,国债期货在世界金融衍生品市场中仍占有举足轻重的地位。许多国家的交易所开展的国债期货交易都很成功,如CBOT的美国中长期国债期货合约、EUREX的中长期德国国债期货、EURONEXT?LIFFE的英国金边债券期货合约、SGX的中期新加坡国债期货等。这些期货合约可以成为国债期货合约设计研究的范本,通过对其研究分析将给我国的国债期货合约设计提供宝贵的国际经验。通过分析中国国债期货交易试点中曾使用的期货合约,借鉴国际上成功的国债期货合约设计经验,并结合中国目前金融市场情况,更能设计出符合中国国情的国债期货合约。但需要说明的是本文给出的国债期货合约只是一个指导性的框架。随着中国证券市场的发展,本文结论应该在合约设计理论指导下,结合中国证券市场的具体情况作出一定的修正。更多还原

【Abstract】 Since the 1970s, corresponding to the globalization of financial market, financial liberalization, and financial assets securitization, a large number of complicated financial instruments are created out; the treasury bonds futures are exactly the most representative one among them. It is not only better for avoiding price risk because of variety of interest rate, but also better for finding price to launching government bond futures.At the beginning of 1990s, China has carried on the pilot project of treasury bond futures. But because of many aspects, the market speculation and the price manipulation were unusually serious, and the treasury bond futures was suspended by government’s relevant responsible institutions after the pilot project more than two years. Greater changes have taken place in the economy and finance environment of our country over the past 12 years. It is becoming necessary and feasible to relaunch and develop treasury bong futures in China. Now it’s important to discuss relevant problems. Futures contract design is key part of launching government bond futures, and the study of contract design of treasury bond futures is especially important. The design of treasury bond futures contracts mainly includes the design of underlying assets, margins, daily price limits and position limits, etc. These clauses construct the contract characteristics of the treasury bond futures contract together. The design of the characteristics of the contract needs to consider three aspects synthetically: attracting the hedgers, attracting the speculators and preventing price manipulation.At present, treasury bonds futures still occupy very important status of the finance derive products market in the world. The government bond futures launched in the exchanges of many countries is all very successful, such as the T-bond futures and T-note futures in CBOT, the Germen government bond futures in EUREX ,the Long Gilt futures in EURONEXT?LIFFE and the Singapore medium-term government bond futures etc. These futures contract can become the model for the study of the treasury bond futures contract design. It is a kind of valuable experience to analyze these futures contract.On the other hand, analyzing the futures contract specifications of China’s pilot treasury bond futures, consulting the contracts successful in international market, and looking at present China’s finance market, can design the futures contract suitable to China. It must be pointes that the treasury bond futures contract this paper provides is only a guiding frame. With the development of China security market, the conclusions of this paper should be revised according to the theory and China’s securities market’s practice.更多还原