【作者】 李建国；

【导师】 凌丹；

【作者基本信息】 武汉理工大学 ， 国际贸易学， 2004， 硕士

【摘要】 股票指数期货是国际资本市场成熟的风险管理工具。我国资本市场经过近几年的发展，无论是证券公司、封闭式基金、开放式基金、社保基金，还是其他的机构投资者，都随着资本市场的发展而壮大，交易主体对股票指数期货产生了需求。同时，随着证券市场规模的不断扩张，机构投资者所占比重日益增加，投资者日益成熟，因此对风险防范机制的需求就越来越强，如何回避系统性风险成为广泛关注的焦点。特别是在近几年，我国沪深两市的综合指数变化频繁而且变化幅度较大，使得投资者亏损严重，因而对股指期货产生了迫切的需求。为了促进我国资本市场的健康发展，政府部门已将发展股指期货问题提升到议事日程，中国证监会也为尽快推出股指期货做了大量的工作。 本文首先阐述了股票指数期货的内涵、特点、功能以及交易原理，回顾了股指期货的相关理论研究，分析了国外股票指数期货的发展历程和现状，结合我国目前证券市场的现状，探讨了股指期货在我国经济中的重要作用，提出发展股票指数期货已成为目前我国资本市场发展必要而现实的选择。论证了我国发展股指期货交易的必要性与可行性，认为我国现在已经具备开展股票指数期货的环境条件，立足于中国国情来合理地设计股指期货合约和股指期货交易的运作机制。对股指期货的运作模式进行了合理设计，在交易地点选择、交易模式的选择、交易方式和会员结构、指数选择和合约设计方面提出了整体构想。股指期货是作为一种避险工具而推出的，但它的自身特点使其又成为一种投机的工具，蕴含着很大的风险，并会给市场带来不利的影响，为了更好地发挥股指期货的功能，就应该规范制定交易制度，严格加强监管力度，因而进一步探讨股指期货的风险管理问题。更多还原

【Abstract】 Stock index futures is an instrument for risk management in international capital market. After several years development in China’s capital market, the stock index futures is also needed by Chinese investors. The business scale of securities companies, close-ended funds, open-ended funds, social security funds and other institutional investors have expanded rapidly with an increased systemic risk of stock market. But how to hedge systemic risk in China’ s stock market is gradually being concerned by investors. Especially since June, 2001, the Shanghai and Shenzhen composite stock indices had fallen by 40 percent for successive seven months, resulting in huge losses to investors. Academics and investors have called for a launch of stock index futures trading. Officials from China Securities Regulatory Commission and Shanghai Stock Exchange also reiterated that a national unified stock index and stock index futures will be launched as soon as possible.The following dissertation sums up fundamental principles of stock index futures trading in advanced countries with a great deal of interrelated books and figures for reference. It introduces current situations of China’ s securities markets and analyzes functions of stock index futures to China’s economy. It also discusses the necessity and feasibility for developing stock index futures trading in China. A model for stock index futures trading in China is designed and risk management reassures are illustrated. It emphasizes the necessity for launching stock index futures trading in China, functions to China’s economy and the model for stock index futures and risk management.更多还原