【作者】 王丹；

【导师】 雷海章；

【作者基本信息】 华中农业大学 ， 农业经济管理， 2005， 硕士

【摘要】 期货市场是一个高风险的领域,其风险的易发性和严重性远较其他市场风险为甚,投资主体及其结构是一个重要的风险触发源。稳定、理性、结构合理的投资主体是一个成熟期货市场的基础和内在稳定因素,尤其对处于发展中的中国期货市场而言,投资主体的培育和建设对期货市场的平稳运行、经济功能的顺利发挥进而对流动性、风险控制有着尤其深远的意义。我国自对期货市场进行整顿以来,市场的投资主体发生了相当大的变化,对于期货市场投资主体发展中出现的新情况,发现的新问题,有必要从现实中分析,从理论上研究。 期货市场的投资主体按不同的标准有不同的划分方法,目前,我国期货市场上最为流行的分类方法为按投资者身份划分和按风险偏好划分。本文从对整个期货市场的风险稳定的贡献作用这一全新角度来看投资主体,尝试性地将套期保值者和套期图利者划为稳定主体——稳定套作者,将投机者划为波动主体,并以此为基础展开对期货市场投资主体的研究。 全文共分为5章。第一章重点介绍了本文的选题背景、研究意义和基本思路。第二章对我国期货市场的投资主体从整体上进行了结构分析和实证分析,并提出新的划分方法。第三章针对期货市场的稳定主体——稳定套作者,分别论述了套期保值理论、基差理论和套期图利理论,并通过对稳定套作主体的再识别,初步构建了稳定套作理论。第四章针对期货市场的波动主体——投机者,从投机者在期货市场上产生的必然性和对期货市场的作用入手,定性、定量分析了期货市场上的适度投机。第五章为全文的结论部分,在对前面我国期货市场投资主体的理论和实证分析的基础上,进一步分析了目前我国期货市场投资主体的缺陷和成因,并提出其规范发展的建议。 研究中可能的创新点有: 1、论文从对整个期货市场风险稳定的贡献作用来看投资主体,尝试性地将投资主体分为两类:稳定主体——稳定套作者与波动主体——投机者,并以此为基础展开对期货市场投资主体的研究。 2、根据对套期保值者和套期图利者的详尽论述,尝试性地提出期货市场的稳定主体——稳定套作者的概念,并初步构建了稳定套作理论。 3、对适度投机从市场内部机制和外部环境做出了定性分析,并选取了四个指标定量衡量了适度投机。 由于期货市场本身极强的专业性和复杂性,加之目前我国期货市场理论与实践的脱节,给课题的研究带来了特殊的困难。尽管笔者尽了最大努力,论文仍有许多有待进一步研究之处。尤其是以极大的勇气所构建的稳定套作理论也只是一个初步的探索,希望能起到抛砖引玉的作用。更多还原

【Abstract】 Futures market is a field filled with high risk, which is far more hair-trigger and severer than other markets, and one important risk-fountain is its investors and their structure. Stable, rational and structurally reasonable investors are the foundation and intrinsic factor of a stable and mature futures market. Especially to developing China futures market, investors’ fostering and constructing mean great to its balanced running, economic function’s exerting, and further to market liquidity and risk controlling. Investors have changed quite a lot since China futures market has been neatened and reformed, so it’s necessary to analyze practically and research theoretically aiming at new circs and new problems that occurred in the investors’ development.Investors in futures market have different way to classify according to different criterion. Nowadays in China futures market there are two popular ways, one is according to investors’ status, and the other is according to their risk favoritism. This dissertation views investors from a fire-new perspective and classes the hedger and the spreader into stable investor, the speculator into fluctuant investor according to their contribution to market stability. It is the basic that the dissertation develops research on investors in futures market on.The dissertation comprises five chapters. Chapter one is the prolegomenon, which introduces the background of selecting the theme, the meaning and the whole mastering of this research. Chapter two structurally and demonstratively analyses investors in China futures market and puts forward the new way to class them, chapter three, aiming at the stable investor, discusses the hedge theory, basis theory and spread theory, re- identifies the stable investor, and builds pilot study of stable investor theory. Chapter four, aiming at the fluctuant investor, start from the speculators’ necessity and function, qualitatively and quantitatively analyses the moderate speculating. Chapter five is the conclusion part of this dissertation, analyses China futures market investors’ disfigurement and its cause, and finally puts forward some suggestions.There are some possible innovative points as follows:1. The dissertation views investors from a fire-new perspective and creatively classes the hedger and the spreader into stable investor, the speculator into fluctuant investoraccording to their contribution to market stability. It is the basic that the dissertation develops research on investors in futures market on.2. According to the elaborate discussion of hedgers and spreaders, the dissertation tentatively puts forward the conception of stable investor, and build pilot study of stable investor theory.3. The dissertation qualitatively analyzes the moderate speculation from the inner-market mechanism and outer environment, and quantitatively weighs it with 4 selected indexes.Because of the strong specialization and complexity of futures market, also because of the unbalance and disjointing between theory and practice of China futures market, there are some special difficulties in this dissertation. Although author has made every effort, the dissertation still has many points need to further research, especially the stable investor theory built with much courage, which is just a pilot work and exploratory work. Author sincerely hopes this dissertation can arouse numerous experts and scholars to do further research on it.更多还原