【作者】 袁锦湘；

【导师】 张强；

【作者基本信息】 湖南大学 ， 金融学， 2008， 硕士

【摘要】 衍生金融市场自诞生以来,发展历程虽然只经历短短三十多年,但无论从产品种类、市场规模、增长速度来说,都相当惊人。股指期货,衍生金融产品的一种,在证券市场上,是一种能有效对冲系统性风险所不可或缺的重要工具,各国交易所也竞相开设股指期货交易,更有甚者,不少交易所开发出以别国(或地区)股指为标的的期货产品,这就是本文所述的股指期货异地上市。2006年9月5日,新加坡交易所推出的新华富时A50指数期货,是以我国A股指数为标的开发出的,使我国也面临着股指期货异地上市的问题。很多学者研究过股指期货对现货市场的影响,也证实这种影响是显著的,然而对“定价权”这一带有主权色彩的问题却较少地发表看法,多数这方面的研究集中在商品市场及商品期货市场,部分原因在于商品市场的定价权缺失造成的贸易损失很明显。基于这些情况,本文借助异地上市的日经225指数期货,通过实证分析其对现货价格发现的贡献度,即它在“定价权”问题上所占的权重,来研究异地上市的股指期货对“定价权”的影响,在阐述了定价权重要性的前提下,分析异地的这些“影响”会给本土市场造成哪些冲击?尤其是在“定价权”方面的冲击?我国是否同样面临这种状况?管理层应该如何应对?本文正是拟解决这些问题。股指期货异地上市是指以一国(或地区)的股票价格指数作为交易标的的期货合约在另一国(或地区)上市交易。这里,把该股价指数所在国(或地区)的证券市场称为本土市场,把推出该异地上市股指期货合约的国家(或地区)的证券市场称为异地市场。论文第一章,介绍选题背景、研究意义和文献综述等;第二章,阐述股指期货和定价权概念及相关理论;第三章,定性和定量分析股指期货异地上市对本土市场定价方面影响;第四章,分析我国可能面临“定价权”之争的问题;第五章,分析我国现状,提出政策建议。更多还原

【Abstract】 Since the creation of derivative financial markets, it experiences tremendousdevelopment in last three decades, judging by products, market scale or growth speed.Stock index futures are one kind of derivative financial products, which is anindispensable tool to counteract system risk. And many countries establish their stockindex futures exchange, some even develop products based on futures of othercountries, which are the overseas listing futures referred to in thisdissertation .Singapore created a product, called XinHuafu A50 in sep 5th 2006, whichtargets onAstock of our country, bringing us the issue of oversea listing stock index.Many scholars have done the research on the effect on spot market from stockindex futures, proving the existence of prominent effect. However, few express theirviewpoint on“pricing right”, which is hot topic in merchandise market andmerchandise futures market. This is partly because of serious consequences onshortage of pricing right of merchandise market. Under such circumstances, we willuse data of overseas Nikkei 225 index futures and employ experiential approach toanalyze the contribution degree on price of spot market. Based on the importance ofpricing right, we will discuss what kind of impact it will pose on local market,especially on pricing right. Whether does our country face similar situation? Whatmeasures should we take to deal with it? This dissertation will present answers.The first chapter introduces relative background, meaning of the research andsummery of reference articles. The second chapter describes the definition of stockindex futures and pricing right and related theories. The third chapter analyzesquantitatively and qualitatively the effect on local market pricing right from overseaslisting. The forth chapter discusses the issue of pricing right our country is facing. Thefifth chapter further analyzes the current situation of our country and proposes somesuggestion.更多还原