我国股指期货产品设计研究

【作者】 李逸凡；

【导师】 陈永生；

【作者基本信息】 西南财经大学 ， 金融学， 2006， 硕士

【摘要】 任何一种金融衍生品的产生都有其特定的时代背景和经济背景。股指期货的产生也不例外。衍生金融工具市场的建立、发展和完善,是资本市场不断发展与深化的具体体现。目前,我国资本市场的机构投资者比重越来越大,而且投资者也日渐成熟,因此对风险防范机制的需求也就越来越强烈。但是中国资本市场单一的投资交易机制使投资者很难进行有效的风险管理,特别是对系统风险的管理很难做到准确的把握。在这种情况下,要求适时推出股指期货的呼声很大。可以预见在不久的将来,随着股权分置改革的顺利完成,股指期货将有序的推出,因为这符合国家建设多层次资本市场的需要。股指期货自从上个世纪八十年代诞生以来,经过二十几年的发展,已经成为国际上一种非常成功的金融衍生工具。中国对股指期货的关注起源于1999年,且在2001年和2002年达到一个前所未有的高度。在2001年6月份至2002年1月份的短短半年时间里,上证与深证指数跌幅达40%,投资者损失惨重,市场对股指期货的呼声不断。但是,由于各种原因,到目前为止,股指期货的推出还是没有一个明确的时间表。2004年9月9日大盘首次跌破1300点后,市场上悲壮的气氛弥漫,中国资本市场已经到了不得不进行更深层次改革的时候了。2005年4月8日推出的沪深300指数,使理论界和投资者看到了一丝曙光。在这种情况下,笔者利用沪深300指数为标的指数,进行了我国股指期货合约的设计。本文的研究目的在于结合我国证券市场的实际情况与具体国情,试图通过研究国外的经典期货合约条款及其推出的具体时代背景、经济背景等相关情况,设计出符合我国市场要求的股指期货合约。希望通过本文的研究,能为股指期货合约的尽快推出起到抛砖引玉的作用。我国股指期货的推出,不更多还原

【Abstract】 Any financial derivative coming into being has it’s specific time and economic background, stock index future also was not an exception. The establishment and development of financial derivatives market are the embodiment of the capital market’s continuously mature and deep. At present, the institutional investors have a large proportion in Chinese capital market, and most of the investors have become very professional. Because of that, there has a strong demand for the anti-risk mechanisms to control the risks of investment. Under the specific circumstance of Chinese capital market, the investors have no effective way to manage the investment risks, especially have great difficulties to control the system risk. The stock index future is a very efficient instrument to deal with it. We could foresee that the stock index futures would be introduced orderly after the reformatory of the share owner-ship separation of the state-control joint-stock companies on the stock market, because it helps the development of Chinese capital market.Since being introduced in 1980’s, stock index future has become one of the most successful financial derivatives after twenty years’development. Starting from 1999, China has paid a lot of attention to it, especially in 2001 and 2002. Less than half a year, the index of stock market decreased by 40 percent, investors had to undertake great losses. Because of that, the market has appeared strong voice of stock index future. Due to many reasons, the introduction of stock index future still has no clear time schedule so far. On Sep 9, 2004, the stock index broke down 1300 points, it’s the time for China’s capital market to take further reform.The introduction of 300 Index in Shanghai and Shenzhen stock markets made investors see a gleam of daylight. Under this condition, this更多还原