大陸香港兩地股指期貨價格發(fā)現(xiàn)功能的比較研究——試論對推出滬深300股指期貨的政策建議.pdf

1、復旦大學碩士學位論文大陸香港兩地股指期貨價格發(fā)現(xiàn)功能的比較研究試論對推出滬深300股指期貨的政策建議姓名：馬弋崴申請學位級別：碩士專業(yè)：金融學指導教師：姜波克20090331大陸香港兩地股指期貨價格發(fā)現(xiàn)功能的比較研究AbstractStockindexfuturesareonesofthemostimportantpartsofthefinancialproductssysteminamaturecapitalmarketTheyact

2、asthepricingcenterofacapitalmarketfortheirrapidresponseofthemacroeconomictrends，marketinformationandinvestors’sentimentLowcosts，highliquiditytransparentinformationdisclosure，aswellastheirpermissionofshortselling，favormos

3、tinvestorsFurthermore，asweleamfromthetextbookStockindexfuturesplaythreeimportantrolesofpricediscoveryhedgingandspeculationInChina，itwasestablishedtheChinaFinancialFuturesExchangeinSeptember2006Itsfirstproduct，ShanghaiShe

4、nzhen300Index(csi300)futures，startedmocktrading2monthsafterthatHowdotheCSl300futuresworkandhowwelltheCSl300futuresworkduringtheirmocktradingHowfararetheCSl300futuresfromthematureHangSengIndex(HSI)futuresTheregulatoryauth

5、oritiesandbillionsofinvestorspaycloseattentiontothesequestionsThispapertriestoanswerthequestionsabovebydiscussingthedifferencebetweentheCSl300futuresmarketandtheHSIfuturesmarketinmarketcharacteristics，futuresandspotprice

6、relationship，andstructureofmarketparticipantsByanalyzingandmining5minutedatafromMarchtoNovember2008intheframeworkofVARmodel，itreachesthefinalconclusionsasfollows：(1)TheHSIfuturesplaythecoreroleofpricediscoveryinHongKongc

7、apitalmarket，whichdeservesitstitleoftheintemationalfinancecenter(2)Althoughlackingofarbitragemechanism，theCSl300futures(mocktrading)stillleadtheindexspotduringtheperiodoftimeunderstudy(3)Theregulatoryauthoritiesshouldimp

8、rovethepricediscoveryfunctionoftheCSl300futuresbystrengtheninginformationdisclosure，increasingstocksupplyperfectingarbitragemechanism，reinforcingriskmanagement，andupgradingqualityofinvestorsKeyWords：Stockindexfutures，Pri