股指期货风险管理研究

【作者】 罗思远；

【导师】 刘红忠；

【作者基本信息】 复旦大学 ， 金融学， 2009， 博士

【摘要】 股指期货自上世纪80年代推出以来,目前已经是世界上交易量最大、流动性最好的金融衍生产品之一,还被认为是股市上最有效的规避系统性风险工具,作为一项金融创新产品相当成功。金融创新必然带来新的金融风险,股指期货的风险规模大、涉及面广,具有放大性、复杂性等特征。股指期货的风险成因主要有股指频繁波动、保证金交易产生的杠杆效应、非理性投机以及市场机制不健全等。而股指期货的风险,更直接导致世界金融史上影响极大、后果极严重的几件金融机构丑闻:如1994年英国巴林银行破产案和2008年法国兴业银行巨亏事件。在金融体制不断完善的大背景下,2006年10月30日,中国金融期货交易所正式推出沪深300指数期货仿真交易,迄今已超过两年,实盘交易的股指期货推出也为期不远。本论文试图从中国特定的国情出发,研究股指期货风险的成因、特性以及风险控制的方法,从理论分析到实证检验,参考和借鉴国外发达国家以及中国香港、台湾相对丰富的股指期货风险管理方法,进行系统性梳理和总结,以期为我国未来股指期货市场的健康发展做出一定的贡献。本论文试图用理论和实证分析回答以下几个问题:第一、股指期货市场存在哪些风险,或者基于中国国情,存在哪些特殊的风险?第二、如何识别这些风险,这些风险各自的成因是什么?第三、如何度量股指期货的风险,目前中国仿真交易的保证金水平确定是否适当?第四、如何从政府、交易所、期货公司和投资者的角度来控制这些风险,如何通过合理的监管和信息交换防范和应对这些风险?第五、考虑到股指期货这一金融衍生品的特性,结合中国股指期货和股票现货市场的风险关联现状,如何给出针对性的跨市场风险防范和控制的建议?带着上述问题,本文参考了国内外诸多股指期货风险管理理论和实证研究结果,以及国外股指期货风险管理案例和经验,得出以下结论:第一,股指期货风险相对其他金融创新产品是较大的,特别在中国,关键宏观经济信息泄密、红利分配过少、政策市、国际股指期货创新竞争等都会导致股指期货风险的增大。第二,股指期货风险成因是复杂的,微观成因有股票指数价格波动、杠杆效应、市场操纵等,宏观成因有金融市场全球化、金融主体的机构化、金融发展自由化等等。第三,根据沪深300指数的真实数据,论文利用极值理论计算了沪深300指数的VaR和ES,推算出中国股指期货保证金水平应该在7.3686-8.7920之间。当然本论文认为国内目前保证金水平确定考虑的因素还相对少,具体实践还应该从市场流动性、现货市场状况、未来可能变化、其他交易所设定保证金比率水平角度多方面考虑。第四,本论文从宏观、中观、微观的角度提出了股指期货风险控制方法,并且指出中观角度-期货交易所出发的风险控制最为关键。第五,本论文还利用copula函数就股指期货跨市场操纵进行了实证分析,研究认为中国股指期货市场发生日常跨市场操纵的可能性并不大。但是在股灾和股指期货到期日时应该加强市场监察,并且通过完善股指期货最后结算价的确定规则、加强股票市场和股指期货市场的跨市场信息分享、建立跨市场大盘断路器、建立风险预警机制和跨市场危机处理紧急预案等措施来防范跨市场操纵的发生。更多还原

【Abstract】 Being the most successful financial innovation in the international financial market in1980s, stock index future has been one of the financial derivatives of best transaction and Liquidity and considered as the best tool to hedge systematic risk in stock market.Financial innovation results in new financial risks inevitably. The risk of stock index future market is characteristic of large scale, broad scope, magnification and complication. The reasons for risk mentioned above include the frequent fluctuation, the leverage of margin trade, irrational speculation and the unhealthy market mechanism. And the risk of stock index future directly result in the scandal of some financial institutions bankruptcy and huge losses with great influence and worst outcome in the financial history, such as the bankruptcy of Barings Bank in 1994 and the huge losses of SG in 2008.Under the background of continuous perfection of financial institution, it is over 2 years since the CFFE put forth the Simulated exchange of shanghai and Shenzhen 300 stock index in October 30 2006, and the actual transaction is not far away from. This paper attempts to study the reasons of stock index future, its character and the methods of relevant risk control upon the special Chinese Circumstance through theoretical and empirical analysis ,with reference to stock index future risk management in developed countries and regions such as Hongkong and Taiwan. Then this paper will systematize and summarize the research above so as to contribute to the healthy development of stock index future market.This paper attempt to answer the following questions through theoretical and empirical analysis: firstly, what kind of risks are there in stock index future market or, in the special Chinese market ? secondly, how to indentify these risks and the reasons for those risks? Thirdly, how to measure those risks and is it proper for the margin in the simulated exchange? fourthly, how to control these risks from the angle of government ,exchange, future companies and the investors and how to deal with these risks by way of reasonable supervision and information exchange? Last, this paper will suggest on the trans-market risk prevention and management in consideration of the feature of stock index future as a financial derivative and the connection of risk between stock index future and stock market.For the purpose of questions mentioned, this paper concludes the followings with reference to many theoretical and empirical researches on stock index future risk management as well as the cases and experience of stock index future risk management abroad:Firstly, stock index future risk is greater than other financial derivatives especially in China, where many factors influence the risk of stock index future significant macro-economic information leakage, low bonus, policy-oriented market and the competition from international stock index future innovation.Secondly, the reason for stock index future is complicated, of which micro reason consists of stock price fluctuation, leverage, and the macro reason consist of globalization of financial market, financial institutions monopolization and the freedom of financial development.Thirdly, in accordance with the shanghai and shenzhen 300 index, this paper calculates the VaR and ES with Extreme Value Theory and concludes the margin should between 7.3686-8.7920. Definitely, this paper thinks that this margin is merely for reference and the practice shall take more factors into consideration such as the fluidity of market, future changes, Spot market, margins rate of other exchanges.Fourthly, this paper set forth the methods of risk control on stock index future from the macro, meso and micro perspective, then points out that it is most significant to control the risk of future exchange arising from future exchange through meso-analysis.Lastly, this paper concludes though empirical analysis it is unlikely that the trans-market manipulation will take place in stock future in China with the aids of copula function. However, it is necessary to reinforce the market supervision in stock disaster and at the date stock index future mature. Moreover, it is necessary to prevent the trans-market manipulation through these measures such as the perfection of final settlement price rules of stock index future, adequate trans-market information sharing between stock market and stock index future market, the set up of trans-market exchange breaker, risk alert mechanism and emergent action plan for trans-market crisis.更多还原