【作者】 林祥友；

【导师】 彭韶兵；

【作者基本信息】 西南财经大学 ， 财务管理， 2009， 博士

【摘要】 我国证券市场即将实施融资融券交易,这将改变长期以来我国证券市场的单边市场格局;我国资本市场上即将推出股指期货交易,这将有利于完善资本市场结构和发挥资本市场功能。不管证券市场的融资融券交易和股指期货的推出时间孰先孰后,有一点是可以肯定的,那就是在不久的将来,证券市场的融资融券交易和股指期货交易将共存于我国资本市场,我国的资本市场由此将发生深刻的变化。那么,在我国特有的证券现货融资融券交易情况下,股指期货的市场功能包括套期保值功能、套期图利功能、价格发现功能等将呈现出怎样的状况呢?证券投资者和期货交易者等市场参与者应该做出怎样的决策呢?文章将针对这一问题,进行在融资融券交易情况下股指期货的套期保值功能、套期图利功能、价格发现功能的理论模型的数理推演和利用沪深300股指期货仿真交易和证券现货交易的数据进行相应的实证检验,以揭示融资融券交易情况下股指期货的主要市场功能的真实表现和市场参与者的正确策略。通过本文的研究,以为我国金融市场包括基础金融工具市场的完善和衍生金融工具市场的发展指明方向和路径,为我国资本市场管理层对融资融券交易和股指期货的适时推出及有效监管提供有价值的决策依据,为股指期货市场的交易者和证券市场的投资者特别是机构投资者的套期保值、期现套利、资产配置提供操作参考,为股指期货的套期保值、期现套利、价格发现功能在特定的融资融券交易条件下的具体表现的相关研究提供有价值的文献补充。本文对融资融券交易下的股指期货市场功能的研究主要包括套期保值功能、套期图利功能、价格发现功能的研究,以为证券投资者和期货交易者在此条件下的交易决策提供有用的参考。具体而言:论文在第一章引入研究背景和研究主题,阐明研究思路和构建论文框架。特别强调本文的研究是在我国特有的证券现货融资融券交易情况下的关于股指期货市场功能的具体表现形式的研究,证券现货的融资融券交易和股指期货仿真交易是其特定的研究背景。在融资融券交易的前提下,关于股指期货市场功能的研究包括套期保值功能、套期图利功能、价格发现功能进行横向铺开,而对各类市场功能的研究又从其理论模型的推演和经验数据的检验两方面进行,最后总结出各部分有价值的研究结论。在第二章中,对与本论文相关的一些基本范畴和概念进行明确的界定。包括论文中的股指期货交易的运行机理,文中实证部分用到的沪深300股指期货仿真交易数据的基本情况,股指期货的主要市场功能包括套期保值功能、套期图利功能、价格发现功能的含义,我国准备推行的证券现货融资融券交易的基本情况,融资融券交易与纯粹的买空卖空的区别与联系,最为关键的是对在现货融资融券交易下,股指期货的市场功能可能受到哪些方面的影响进行预先的理论分析,以为后文的继续展开作理论铺垫。接下来,对融资融券交易下的股指期货的主要市场功能进行横向铺开研究:第三章,融资融券交易下的股指期货的套期保值功能方面。利用数理模型的推演,分析融资融券交易情况下,股指期货套期保值方向、套期保值成本以及最优套期比率(数量)自然也会跟着变化。在套期保值策略的构建时,充分参考套期保值比率确定的JSE(Johnson-Stein-Ederington)方法和HKM(Herbst-Kare-Marshall)方法,并跟踪当今国内外的研究前沿,包括在充分考虑现货价格与期货价格的异方差性和协整关系基础上构建的Kroner and Sultan的ECM-GARCH模型,本文在考虑融资融券交易中的杠杆交易因素对套期保值成本影响的基础上,扩展应用经典的资本资产定价模型CAPM,构建基于融资融券交易的股指期货的交叉套期保值模型、基于证券市场时变贝塔的动态套期保值模型、基于证券组合与股指期货双向互动的复合套期保值模型,确定了三种套期保值模型在融资融券交易下的套期保值比率和套期保值数量,完成了融资融券交易情况下股指期货套期保值模型的系统构建,并利用沪深300股指期货仿真交易的数据对模型的套期保值效果进行了实证检验,以说明文章构建套期保值模型的优越性。第四章,融资融券交易下的股指期货的套期图利方面。由于我国即将推出的股指期货是以沪深300指数为标的指数的股指期货,股指期货套期图利的现实表现主要包括期现套利和跨期套利两种情况。融资融券交易会对股指期货的期现套利的无套利区间的上限和下限特别是下限产生重要影响,进而影响期现套利的套利机会和套利程度。全面刻画融资融券交易下期现套利中的现金流,利用正向套利原理确定无套利区间的上限,利用反向套利原理确定无套利区间的下限,用定价偏差率反映股指期货实际价格偏离无套利区间的程度,准确刻画股指期货期现套利的机会和程度。在此基础上,解决股指现货的复制技术选择和追踪组合的最优化问题,采用基于遗传算法的指数优化复制方法,来确定股指现货复制中的证券组合的结构和比例,完整地实现股指期货与证券组合间的期现套利。最后,将股指期货的期现套利原理向跨期套利延伸,并将期现套利和跨期套利结合起来,构建了股指期货期现与跨期复合套利决策模型,以及股指期货复合跨期套利决策模型,形成一个融资融券交易下股指期货套期图利的完整的决策体系。第五章,融资融券交易下的股指期货的价格发现功能方面。一般而言,价格发现主要包括两方面:不同的市场对新信息的不同反应速度;新信息融入不同市场价格中的比率。一般情况下,股指期货与证券现货市场存在着影响价格发现功能的先天差异,股指期货交易整体市场,而证券现货市场交易个股,这使得股指期货市场具有较快地反映总体市场信息的优势,而证券现货市场的价格不免掺杂来自个股噪声交易的信息成分。如果知情交易者选择某个特定的交易市场而揭示其私有信息,那么这个市场的价格将引导其他同类产品市场。知情者交易偏好不同微观结构市场的原因主要存在四种假设:杠杆假设、交易成本假设、上点规则假设、市场系统性信息假设。这些都决定了股指期货市场有优于证券现货市场的价格发现功能,但证券现货融资融券交易的引入,使证券交易具有杠杆交易和交易成本低的特征,将使上述四大假设发生变化,股指期货在价格发现方面的相对优势会减弱,价格发现功能中股指期货与证券现货之间的先行——滞后关系也可能因此发生变化。本文在这一部分将基于传统的价格发现功能的假设,分析证券现货市场的融资融券交易使得证券交易也具有了杠杆交易和低成本交易的特点,在此情况下,对股指期货与证券现货的先行——滞后关系进行理论揭示,在进行了理论分析之后,并用沪深300股指期货的仿真交易的数据进行了初步实证检验。本文的主要创新之处及研究展望:创新之处:1.系统研究了在我国特定的融资融券交易情况下,股指期货的主要市场功能包括套期保值功能、套期图利功能、价格发现功能的变化及具体表现形式,以及证券投资者和期货交易者在此条件下正确的应对策略。2.在股指期货套期保值功能的研究中,考虑了融资融券交易的杠杆交易特征对交叉套期保值、动态套期保值、复合套期保值的套期保值方向、最优套期保值比率和套期保值数量的影响,确定了在融资融券交易条件下的三类最优套期保值策略;3.在股指期货的套期图利的研究中,构建了证券现货融资融券交易情况下股指期货期现套利的无套利区间的上下限,并引入遗传算法对现货指数进行优化复制,确定了期现套利策略中的证券组合的结构和比例。并推广构建了股指期货的期现和跨期复合套利决策模型,以及复合跨期套利决策模型。4.在股指期货的价格发现功能的研究中,考虑证券现货融资融券交易的杠杆交易和低成本交易特征,对股指期货在此条件下的上行区间和下行区间的价格发现功能进行理论分析和实证检验,得出了一些创新的结论,有利于指导证券市场和股指期货市场相关参与主体的决策。研究展望:1.由于我国的融资融券交易和股指期货都还尚未正式推出,所以,文章侧重于进行理论模型的数理推演和相关策略的方法论构建。对于实证研究方面,主要利用沪深300股指期货的仿真交易数据来进行,由于受到仿真交易数据本身的有效性的限制,实证结论存在一定特殊性。相关后续研究可以利用融资融券交易下股指期货的正式交易数据来进行,以改进实证研究结论。2.由于数据来源方面的限制,文中关于股指期货市场功能的检验采用的是日间数据,但股指期货的市场功能特别是期现套利功能和价格发现功能的实证检验通常需要采用日内高频数据更为有效,因此,后续的实证检验可以采取日内高频数据来进行,或许能够发现更有操作参考价值的相关研究结论。更多还原

【Abstract】 Margin financing and securities lending transactions will be implemented in the stock market of China, which will change the unilateral market pattern of stock market.On the other hand, the stock index futures market will soon be established in China, which will improve the capital market structures and the capital market functions. No matter whether the margin financing and securities lending transactions or the stock index futures will come firstly, we can consider that in the near future, the margin financing and securities lending transactions and the stock index futures will coexist in our capital market.Then, based on the margin financing and securities lending transactions, what will be like the stock index futures market functions including the hedge, the arbitrage, and the price discovery and so on? The paper aims at these questions, and carries out the mathematical deduce and the empirical study with the data of Shanghai and Shenzhen 300 stock index futures simulation transactions. Through these researches, it indicates the development directions and ways of the securities and derivatives in China, it provides the valuable policy-making basis for the effective supervisions, it helps the investors of stock markets and futures markets to make discisions correctly to invest, to hedge and to arbitrage, and at last, it riches the valuable related literatures for the functions of stock index futures based on the margin financing and securities lending transactions.The paper mainly studies the functions of stock index futures including the hedge, the arbitrage, and the price discovery functions under the background of margin financing and securities lending transactions.In the first chapter of the paper, the research background, the research significance, the research subjects, and the research frameworks are introduced. The paper especially emphasizes the research backgrounds. That is to say, the margin financing and securities lending transactions and the stock index futures simulation transactions is its unique research backgrounds. In the second chapter of the paper, some related basic categories and concepts are carried out their explicit means, including the margin financing and securities lending transactions, the stock index futures, the Shanghai and Shenzhen 300 stock index futures simulation transactions, the stock index futures’functions including hedge, arbitrage, and the price discovery functions, and how the margin financing and securities lending transactions influence on the stock index futures’functions.And the third chapter studies the hedge function of the stock index futures under the margin financing and securities lending transactions. Using mathematical model’s deducing, it is found that margin financing and securities lending transactions affect the hedge direction, the hedge cost as well as the optimal hedge ratios (quantities) of the stock index futures. When constructing the hedge strategies, referring to the JSE (Johnson-Stein-Ederington) approach, the HKM (Herbst-Kare-Marshall) approach, and the Kroner and Sultan ECM-GARCH model, this paper constructs the cross hedge model, the dynamic hedge model and the compound hedge model based on the margin financing and securities lending transactions. The paper has also carried out the empirical examinations with the data from the the Shanghai and Shenzhen 300 stock index futures’simulation transactions.The fourth chapter studies the arbitrage function of the stock index futures under the margin financing and securities lending transactions. Because the stock index futures is only the Shanghai and Shenzhen 300 index futures in China futures market, arbitrage and spread opportunity can be found. The margin financing and securities lending transactions influences the upper and lower bounderies of the non-arbitrage intervals, and it influences the arbitrage opportunity and arbitrage degree. By using the forward arbitrage principle to determine the upper boundery, using the reverse arbitrage principle to determine the lower boundery, and using the MPR to reflect the degree of the stock index price deviates from the non-arbitrage intervals, the paper then presents the arbitrage opportunity and the degree. Finally, the paper extends the principle from the arbitrage to spread and provids the strategy of the arbitrage and spread, and constructs the compound spread model of stock index futures.The fifth chapter studies the price discovery function of the stock index futures under the margin financing and securities lending transactions. Generally speaking, the price discovery mainly includes two aspects: Different reactions rate of different market to recent information; the ratio of recent information integrates into different market prices. In the ordinary circumstances, the stock index futures market and the stock markets have different price discovery functions. The insider traders’choosing the different microscopic structure market to exchange mainly have four kinds of reasons: Release lever, transaction cost, uptick rule, market systematic information, which determins that the price discovery function of the stock index futures market surpass that of the stock market.But when taking consideration of the margin financing and securities lending transactions, something will be changed. Margin financing and securities lending transactions have the release lever transaction and the low transaction cost characteristic, which changes the four hypothesises, and change the price discovery functions.The paper studies the lead-lag relations between the stock index futures and the stock market under the margin financing and securities lending transactions.In this paper, the innovations and contributions are as follows:1. The paper has systemly studied the functions (including hedge, arbitrage and price discovery) of the stock index futures based on margin financing and securities lending transactions in China.2. In the research of stock index futures’hedge function, it has considered the influence of margin financing and securities lending transactions on the stock index futures.it has constructed the cross hedge,the dynamic hedge,and the compound hedge model of the stock index futures based on the margin financing and securities lending transactions.3. In the research of stock index futures’arbitrage function, it has constructed the bounderies of the non-arbitrage intervals of the stock index futures based on margin financing and securities lending transactions,and has also promoted the compound arbitrage decision model, as well as compound spread decision model.4. In the research of stock index futures’price discovery function, it has considered that the release lever transaction and the low cost transaction of stock will change the lead-lag relation between the stock index futures and the stock.Some problems in the paper haven’t been solved, including:1. Because the margin financing and securities lending transactions and the stock index futures have not been existed in China, the paper has stressed in carrying out the theoretical deduce and providing the related strategy methodology. Regarding the empirical study, it has mainly carried out the Shanghai and Shenzhen 300 stock index futures’simulation transaction data.As a result of the simulation transaction data’s limit, some results may be different when use the real transactions data to carry out the empirical studies.2. As a result of data origin aspect limit, the data used in the empirical studies of the paper are interday data, the stock index futures market functions especially the arbitrage function and the price discovery function are affected. The empirical examination of functions usually needs to use the high frequency intraday data, some conclusions may be different when substitute the interday data to intraday data to carry out empirical studies.更多还原