【作者】 杨一辰；

【导师】 吴冲锋；

【作者基本信息】 上海交通大学 ， 工商管理， 2008， 硕士

【摘要】 国内目前交易的封闭式证券投资基金曾经均以较大幅度折价交易(尤其是大盘基金在30%以上)。就国际经验来看,封闭式基金虽有折价,但幅度一般在5-10%之间。这种现象的产生既有国内资本市场不成熟,投资者普遍以短线操作为主,对基金缺乏长期投资的理念这个主要因素,另外一个重要原因是基金管理制度的缺陷和管理人的道德缺失。而由此导致的高折价交易使投资者投资热情不高,对我国基金行业今后的发展极为不利。随着中国资本市场不断发展,金融创新活动与产品层出不穷。2005年8月,宝钢股份股改权证上市,标志着一个新的衍生产品登陆国内资本市场。此后,权证投机交易盛行。2005年11月,上海证券交易所为平抑股改权证过度投机,施行了创新类券商创设权证的办法,在很大程度上起到了抑制投机的作用。随着股改进程步入尾声,以股改承诺形式的权证逐渐减少。在不久的将来股改权证将退出历史舞台,取而代之的均是以配股融资为目的的股本权证,而股本权证涉及上市公司股本变化根据目前交易所制度而无法进行创设。目前股改权证仍以较高溢价在市场中交易,投机氛围相当严重。基于上述两个情况并结合自身实际工作,我觉得中国资本市场应该尽快引进国际常用的期权、权证交易制度。管理层应该制订相关规则,允许部分合格券商用实物和部分现金作为抵押品,发行以封闭式基金为标的物的备兑权证。这样既可增加权证的市场流通量来抑制投机炒作,又可消除封闭式基金的高折价现象。另外,国内第一只股指期货渐行渐近,如果把封闭式基金备兑权证引入,将增加机构投资者的投资范围,有利于大资金规避投资风险,使其成为金融投资中一个重要的投资组合工具,也可为今后推出其他股票、指数等备兑权证积累宝贵经验。本文将通过分析衍生产品风险识别和产生原因,从管理层和发行人两个角度研究制订相应的风险防范和风险管理措施。更多还原

【Abstract】 Presently,close-end funds which listed in Shanghai & Shenzhen stock exchanges have exchanged under 70% discount. According to the data of oversea markets,there are usualy only 90-95% discount. The one main reason of the difference is immature investment environment of internal capital market. Another reason is the limitation of fund system and absence of moral in fund managers. These factors result in investment reducing that is harmful to the development of fund industry.Along with rapidly developing in China’s capital market, finance innovation and creative products are emerged in endlessly. The warrant,issued by Shanghai Baoshan Iron & Steel Co.,Ltd,is listed in Shanghai Stock Exchange in August 2005. Subsequently,warrant transaction is involved in crazy speculation. Shanghai Stock Exchange issued the rule of creating warrants for enforcement to restrain speculation. All acts doesn’t gain its ends.Based on that two facts above,I prefer to make a plan to solve the two problems both discount and speculation. The administrator should permit securities broker corporations issuing warrants by using funds or cash as mortagage.The warrant is a finance investment tool. It can be used as a part of an investing combination,such as hedging with stock index futures. It will also help to acquire the experience of issuing other warrants.The article is made to keeping away and managing the risk for both the administrator and the brokers by analyzing the ingredient and generant reason of warrants.更多还原