我国股指期货创新的风险问题研究

【作者】 石慧；

【导师】 潘青木；

【作者基本信息】 西南财经大学 ， 金融学， 2003， 硕士

【摘要】 我国证券市场发展到今天，已经取得了举世瞩目的成果。但迅猛发展的同时，股票市场中的系统性风险也逐步显现，并成为市场主要风险形式。在经历了2001年下半年以来逾三成市值的大跌之后，股指期货对于中国股市来说，已经不只是一种致命的诱惑，更是一种必不可少的内在需要。同时随着开放式基金的发展、保险基金的入市、社会保障基金的扩大，如果不相应发展股指期货市场，基金入市造成的价格风险将给社会安定带来严重后果。所有这一切都要求我国进行股指期货制度创新，以实现证券市场的功能性拓展，推动证券市场的进一步发展。而我国加入WTO后资本市场迟早将对外开放，也加大了中国推出股指期货的外在压力。但我国现在是否具备股指期货创新的条件？回顾我国期货市场10多年的发展，试行的结果是除了极少数期货品种发挥了积极作用以外，更多的是违规交易不断出现、违规事件不断发生，交易所监管的不规范将市场本来存在的风险进一步放大。这些教训使得对股指期货创新条件的考虑不得不十分慎重。 目前，对于我国是否具备了推出股指期货的条件，学术界可谓各执一词，但从潜在风险的角度进行系统论述的著作尚不多见。关于股指期货的风险，自87股灾、巴林银行倒闭等一系列的风险事件发生后，国外已有了一系列的研究报告。但是各国证券市场的产生背景、发展历程和现状都有巨大差异，对于国外股指期货设立和风险控制的经验我们不能完全照搬。“逾淮为枳”的现象在二十世纪九十年代中期的中国证券市场已经发生过，若股指期货处理不好，再次出现此类现象亦不足为怪。因此，国外的研究成果只能是指导性的理论，在我国是否具备股指期货创新的条件及我国进行股指期货创新将存在哪些风险这些问题的探讨中，必须结合我国证券市场的具体情况具体分析。这正是本文选题的原因所在。本文写作过程中借鉴了制度经济学中关于制度与制度创新的内<WP=3>涵和一些基本原理，从制度创新的角度论述了股指期货对我国证券市场功能拓展的重要作用及我国股指期货创新的条件，得出了我国股指期货创新能否实现取决于能否有效规避和控制股指期货创新的风险，使得创新的预期收益高于预期成本的结论。要控制风险首先要认识风险，在对股指期货创新风险的分析中本文采用了马克思主义的基本分析方法，遵循“是什么”“为什么”“怎么办”的内在逻辑思维体系，并将规范分析与实证研究相结合。首先界定了股指期货创新风险的定义，回答了“是什么”的问题。接着在研究我国股指期货创新风险“为什么”存在以及存在风险将“怎么样”时，本文将视角分成两块，分别从股指期货市场和股票市场的角度研究了股指期货创新将会带来的风险以及这些风险是否可以控制。分析的结果印证了弗里德曼那句名言——天下哪有免费的午餐？股指期货制度创新在带来巨大收益的同时也带来巨大的风险成本。其中有的风险是可以控制的，如股指期货市场上的种种风险，除了不可抗力等系统性风险原因导致股票市场巨大波动而带来的价格风险以外，其他的风险包括操作风险、设计风险、信用风险等都是能够采取相应措施控制的。但有的风险是难以控制的，显然现有的股指期货风险控制措施就难以解决我国股票市场上政策市与投机市、企业造假与虚假信息风险所带来的市场风险。在面临中国特色的股市风险时，由于风险预期经常会表现出一致性，股指期货市场将会出现由投机力量主导的动态风险管理局面，从而极可能产生市场失衡风险。所以在现有的股市环境下推出股指期货将面临着走向巨大风险的可能性。但我们也不可能等待条件绝对成熟后才开办股指期货交易，比如就借空机制而言，借空机制的缺乏隐含着导致股市不稳定的内在惯性，但各国推出股指期货初期也都没有借空机制。到一定时候，就总是要进行该阶段创新的预期收益和预期成本的权衡，也就是证券市场发展和风险控制两者之间的权衡。而风险控制体系的有效与否，直接影响着权衡的结果。如果预期指数期货将成为一柄悬于发梢的达摩克利斯剑，或是半启半闭的潘多拉之盒，股指期货创新的预期成本是怎<WP=4>么也不会降低的。在总结了这些分析结果之后，本文借鉴国外先进市场的经验提出了我国股指期货风险控制体系设计的思路和内容，以达到现实指导的意义。全文共分为四章，主要内容如下：第一章作为全文的挈领，首先界定了制度、制度变迁和制度创新三者的内涵，从股指期货的内容、特点及经济功能的角度说明股指期货本身就是一种制度和制度创新。然后按照制度创新必须具备的条件逐条分析了股指期货创新的条件，并以股指期货的产生和发展过程作为印证、以我国海南失败的股指期货试点作为例证。最后讨论了股指期货创新对我国股票市场的功能拓展以及我国股指期货创新的条件。第二章和第三章是全文的核心部分，在界定了股指期货风险的内涵后，分别站在股指期货市场角度和股票市场角度对我国股指期货创新的风险进行了系统分析。从股指期货市场角度来看，股指期货风险具有客观存在性，第二章在分析了这种客观存在性的原因后，分析了股指期货风险的联动性、放大性及复杂性等特点，然后着重探讨了信用风险、操作风险更多还原

【Abstract】 Chinese securities market has made great progress over the past twelve years, but great systemic risks have gradually emerged and become the dominant risk. After the incredible slumping, the stock index future is an indispensable internal need more than a deadly temptation. At the same time, CSRC (China Securities Regulation Commission) has progressed to develop the institution investors. Institution investors like insurance fund, different from common investors, have lots of capital to invest. So if they want to buy or sell a kind of stocks, the price of the stock may change a lot, leading to the crash of securities market. The increase of institution investors also presents the problem of how to avoid market risk. Moreover, because Chinese stock market is burgeoning, there must exist considerable speculating activities, which affects the normal function of security market such as resources distribution. All of these are eager to the birth of stock index future to realize the functional expansion and the further development of securities market. After China’s entry into WTO, the securities market is destined to open up, which will strengthen the emergency of Stock index future innovation.However, is it possible for China to put forwards stock index future under the exiting economic conditions? Nowadays, the economic academic field has different answers to the above question. But there are few works elaborating on the question from potential risks. After a series of risk incidents broke out, such as the stock calamity in 1987 and the bankrupt of Bahrain Bank, there has been a large amount of research works focusing on the stock index future in the developed countries. But since there are enormous differences in establishment background, developing course and current situation of securities market of various countries, we can’t totally imitate the experience in the risk control of stock index future of foreign countries.<WP=7>So, the foreign research results can only be the guiding theories. When making a concrete analysis on whether it is possible to put forwards stock index future in China and what risks stock index future will bring with, it is vital to consider the concrete conditions of the Chinese securities market. Therefore, the paper wants to plug the gap.Utilizing the concepts and some basic principles of institution and institution innovation in the institutional economics, the paper probes into the question adopting the Marxist basic analytical method, namely the internal logic system of "What", "Why", and "How", and combining the normative analysis with positive research.The paper breaks into four chapters.The first chapter, firstly explains the institution, institution transition and institution innovation and points out that stock index future is kind of institution and institution innovation from its content、characteristics and economic functions. Secondly, it illustrates the basic requirements of stock index future innovation and presents a typical example of Hai nan’s stock index future test. Thirdly, it discusses the detailed conditions on the basis of Chinese actuality. The second chapter and the third one are the core and elite of the paper. The paper systematically analyzes the risks of stock index future from the angle of stock index future market and stock market. The second chapter reviews the basic theories of stock index future’s risks. Basing on stock index future market, the second chapter firstly points out that the risks of stock index future exit objectively (The stock index future market centralizes the risks, which are shifted from the stock market but not eliminated.) and analyzes these risks’ characteristics. Secondly, the chapter focuses on the origin causes of risks such as credit risk, operating risk and designing risk etc. Then, as far as our country is concerned, the chapter discusses the possible risks when we put forward stock index future. <WP=8>With eyes on stock market, the third chapter analyzes possible fund flow effect and price effe更多还原