【作者】 周明；

【导师】 于渤；

【作者基本信息】 哈尔滨工业大学 ， 技术经济及管理， 2010， 博士

【摘要】 期权作为上世纪八十年代以来国际金融市场上最为重要的金融创新之一,它已成为世界上流动性最好的金融衍生产品,并被公认为是资本市场上最为有效的风险管理工具之一。2008年,全球期权交易量达到93.61亿张,占衍生品交易总量53%。全球主要交易所均已推出期权产品。随着我国金融基础市场的快速发展,利用衍生品管理风险已是市场发展的内在需求。目前,我国股票市场已经推出了权证产品,股指期货也在筹备之中。然而,政策制定者对在我国发展期权产品非常谨慎,主要担心其对股票市场造成的负面影响。境外学者已对期权推出对基础股票的流动性、波动性及市场信息效率等方面影响进行了广泛研究。然而,我国股票市场具有“新兴加转轨”的特点,市场发展时间短,中小投资者占市场主导地位,并且仍存在一系列基础制度和市场要素的缺失。由于制度环境的差异,境外学者主要研究结论对我国相关政策制定的指导性不强。当前,研究期权引入对我国股票市场的影响,为制定期权产品发展政策提供理论依据具有重要的现实意义。本文在总结和归纳了境内外学术界对于期权推出对股票市场影响研究的基础上,结合我国股票市场现状与特点,借鉴金融数学的相关理论与方法,将现实金融市场问题抽象化与模型化,建立了一个可以较为全面的分析期权对市场交易、投资者行为等方面影响的理论模型。通过对理论模型进行推导与分析,来证明期权引入对我国股票市场的影响,并辅以我国类似金融产品交易数据验证相关结论,以期为相关政策制定提供有说服力研究结论。首先,基于我国金融产品单一、中小投资者比例高及市场信息不对称性较强等特征,引入投资者的异质信念参数,将我国股票市场划分为三个典型阶段,即单边上升(或下跌)时期、市场转折时期与市场平稳运行时期,构建了一个两阶段、多资产的离散金融模型。其次,通过理论模型推导得出以下结论:期权引入对市场的影响与市场所处的状态相关,当市场处于单边上升(或下跌)及重大转折过程中,期权引入会助涨投机;当市场处于平稳运行状态下,期权引入有助于市场实现一个均衡的股票价格,增加股票市场稳定性,并能增加对股票和债券的交易需求。期权引入后,可以通过选择适当的期权履约价格,使得所有投资者在引进期权后的期望效用比引进期权前得到改善。引入期权后得到的均衡是稳定的,有自我回复的性质,不会因为扰动而偏离均衡。再次,通过对投资者效用函数、资产数量、股价状态等条件进行了放宽,使简化的模型更贴近真实市场环境,以增强研究结论的一般普遍性。研究结果表明,模型可以推广到一般形式的效用函数上,期权引进后,市场仍存在唯一的均衡价格,当市场资产数量和未来的市场状态增加到有限个时,模型已得出的结论仍然有效。最后,论文以我国证券市场中具有期权特性的权证产品为样本,应用事件分析法、Granger因果检验及二元GARCH模型等方法,使用权证全样本及高频数据资料,从波动性、流动性与市场效率等三方面对权证产品推出后对基础股票市场的影响进行了研究,以推测期权推出后的市场影响。研究发现,从市场波动性指标看,权证上市后,股票波动率显著下降,Beta系数呈显著上升;从市场流动性指标看,权证上市后,短期内交易金额呈显著上升,而长期内交易金额变动不明显,股票换手率上升;从信息传递效率来看,Granger因果检验与二元GARCH模型检验均显示,我国股票市场和权证市场之间具有双向因果关系,结果表明权证交易为正股提供了新信息来源,有助于提高市场定价效率。综上所述,论文从理论模型与类似产品交易数据的实证分析两个相互补充的角度证明,在我国引入期权对股票市场的影响具有提高市场流动性,降低股票波动性,增强信息传递效率,一定条件下还可以增加投资者福利。同时,研究发现,期权引入也可能带来一定的负面影响,如可能会增大股票Beta系数,期权引入时机不当可能会带来投机风险,需要引起制度设计者高度关注。基于上述研究结论,提出以下政策建议:一是尽快引入期权交易,以丰富市场产品,完善金融市场体系;二是为了减少投资对基础股票价格趋势的看法差异,防范市场炒作风险,应该选择在市场平稳期间推出期权产品;三是期权推出初期,为了减少投资者交易期权的激励,应加强投资者教育,设计合格投资者制度等。更多还原

【Abstract】 Option is one of the most major innovations in the 1980s and it turned out to be the most liquid financial derivatives and effective risk management tools in recent years. The trading volume last year reached 9.36 billion contracts in total, which is 53% in proportion of all derivative products. Nearly all exchange centers worldwide are trading options now.In China, it is necessary to use derivatives as a tool to manage financial risk along with the rapid development of China’s capital markets. Although stock warrant market has been running normally for years, and stock index futures are also well prepared, some are still arguing that stock options will make some negative effect.Lots of literatures abroad have studied the impacts of options on the efficiency, liquidity and volatility of the stock market. However, due to the specific characteristics of China’s market-short history, small and media investors as the major player, deficient market structure, etc.—those conclusions abroad might not be applicable in China. Now, research options, the impact of the introduction on China’s stock market, for the formulation of policy options and provide a theoretical basis for product development, has important practical significance.This paper has established a theoretical model to analysis the impact of option on the behavior of the market trader and investor on the base of studying the impact of introducing option on stock market and also considered the condition and features of our capital market. This paper’s studying method is by using the relative theory of financial mathematics to abstract the features of financial market and conclude a theoretical model. We will interpret the impact of introducing option on our stock market through the process of deducing and analyzing the theoretical model along with the conclusion reached by the statistics of our country’s financial products trading in order to provide some persuasive conclusions for making the relative politics.Firstly our country’s financial product has only a few types and individual and medium-sized investors who are in asymmetric information status take a higher proportion. We divide China stock market into three typical period, unilateral rising(or declining), turning point and stable trading. Thus will introduce the parameter of investor discrepancy expectation to establish a two-phase with multi-assets discrete financial model.Secondly we will conclude that the impact of introducing option is in relation to the status of the market. When the market is in a status that there is arising(or declining) in one direction or turning point, the option will help to encourage speculation; when the market is in a stable status, the option will help the market to reach a equilibrium stock price consequently strengthening the stability of the market and also will expand the demand for trading the stocks and bonds. After introducing option we can improve the expectative effectiveness of investors by appropriate system design such as appropriate option deliver price. The equilibrium will be stable after introducing option and will not be broken by disturbance with the feature of self retrieval.Thirdly we will relieve the parameters of the model such as effectiveness function, assets amount and stock price etc. to make the simplified model more close to the real market environment to make the conclusion has adaptation. The conclusion has expressed that the model can be implement by the normal form effectiveness function. After introducing options the market still has only one equilibrium price and when the amount of assets and status of the market increase within definite scale the conclusion still works.Finally we use stock warrant as a sample due to its characters close to option to study the impact on stock market from the aspects of liquidity, volatility and market efficiency to forecast the impaction after introducing option. We use event analyzing, Granger test and two-binary GARCH method as our tools based on stock warrant collectivity and frequently used data. Our results show that volatility of the stock market will decline due to the introduction of warrants and trading risk of stocks (measured by its beta) will increase. Liquidity of the stock market increased significantly in short term after the launch of warrants and so for stocks turnover rate (which is also a measure of liquidity), but not apparently for the stock trading volume in the long term. As for information delivering efficiency, Granger test and two-binary GARCH all show there is an apparently interactive relationship between warrants and their underlying stocks. This facts imply option trading will provide new information for investors to pricing the stock so improving the stock trading efficiency.In sum, this dissertation from two complementary research point, the theoretical model and similar products empirical test, shows that in China the introduction of options will increase market liquidity, reduce stock volatility; improve market efficiency and the welfare of investors. Meanwhile, the study found that the introduction of options may also bring some negative effects, such as the Beta coefficient may increase the stock, options to introduce the right time may pose the risk of speculation, the system designers need to attract attention.Based on the above findings, the following policy recommendations: First, the introduction of options trading as soon as possible to enrich the market products, improve the financial market system; Second, timing of introduction of options should also be considered to avoid strongly different views of investors on stock prices and prevent the risk of market speculation, thus we suggest launching options in a stable market; Third, option initially, in order to reduce incentives for investors to trade options, it is recommended to enhance investor education, design qualified investors system.更多还原