国债期货推出对我国期货市场发展的影响

2013年我国国债期货市场在暂停了近20年后重新开启,将国债期货重新推到了受到瞩目的地位,给我国期货市场发展注入了新的变化与机遇。文章主要立足国债期货流动性、套利机会,对国债期货发展状况进行全面评估,分析国债期货推出后带给我国期货市场发展的影响,并提出完善国债期货功能、推动我国期货市场发展的对策。     

327国债期货事件对推出股指期货的启示

327国债期货事件导致了国债期货试点的失败,327国债期货事件的经验教训对股指期货的推出有着重要的借鉴和启示作用,在推出股指期货前,必须要建立完善的现货市场基础、建立完善的法律法规体系、完善交易机制,加强风险的控制和完善监管体系.     

国债期货上市首日平淡开场

9月6日,阔别18年之久的国债期货正式重启。与轰动一时的327国债事件相比,国债期货首日行情显得平淡无奇。中国金融期货交易所(以下简称"中金所")高层曾打过一个比喻,原本为大机构烧了一大桌菜,结果这些机构还无法上桌,先只能让散户吃。业内人士认为,缺乏银行、保险等大机构参与的国债期货一展雄风仍需时日,但后劲不可小觑——从更高角度看,     

我国国债期货涨跌板制度研究

国债期货是近阶段我国期货市场将要大力发展的重要品种之一，涨跌停板制度是未来我国国债期货市场顺利运行的重要保证。本文运用极值理论对国债期货的涨跌板进行了实证研究，确认了我国国债期货模拟价格分布的厚尾分布特征，计算了波动的阚值，估计了Pareto分布的参数，设定了符合我国现阶段实际情况的涨跌停板。并得出了相应的结论。     

建立和发展我国金融期货市场的思考

建立和发展我国金融期货市场的思考宋浩平近几年，期货交易在我国迅速兴起，期货交易机制已被引入我国的商品市场。但作为期货交易的一个重要组成部分，金融期货却发展甚慢，目前，除国债期货外，我国金融市场还未正式开展其他金融期货业务。因此，研究金融期货的发展、内...     

国债期货倒计时3.27事件成往事

2月13日国债期货开始在部分金融机构进行仿真交易,这表明国债期货的研究已经就绪,正式进入到上市前的测试和完善工作。国债期货恢复上市后将成为中国第二个金融期货品种,在推进中国利率市场化改革和利率风险管理方面将发挥积极作用。     

国债期货与国债ETF期现套利探索

文中介绍了5年期国债期货和国债ETF,并就两者之间的期现套利进行探索,发现这两者进行期现套利存在诸多问题,建议国债期货与国债ETF最好做基差套利.     

国债期货与我国利率市场化推进——兼评国债期货仿真合约的功能发挥

随着我国金融体制改革进程的不断深入,利率市场化成为当前亟待解决的重难点问题。当前,国债期货重新推出条件成熟,国债期货的推出不仅有助于发现基准利率,更有助于规避利率风险,对我国利率市场化改革多有裨益。通过对国债期货仿真交易时期合约功能发挥的实证研究,发现国债期货与现货价格存在均衡关系,且初步表现出一定的风险规避功能。     

试论发展期货贸易的经济条件

试论发展期货贸易的经济条件仵志忠期货贸易发展至今，已有１２０多年的历史，但期货贸易的真正快速发展，则是近２０年来的事。从７０年代到９０年代初，美国的期货贸易规模增长了１８倍，年均递增１６％。同时，期货贸易的品种也不断增加，期货及金融期权交易，即是在这...     

金融期货上市：吃一堑应长一智

股指期货上市并不仅仅是上市一个期货品种的问题,而是国家从改革的总体形势出发做出的决策,这意味着我国金融体制改革实质性的开端。在我国金融期货市场建设中,必须吸取1990年代我国国债期货失败的教训。     

The empirical study on price discovery of cornstarch futures market in China

This article aims at exploring the performance of the price discovery function of cornstarch futures market in China. In order to test the stationarity of the cash and futures prices of cornstarch, the augmented Dickey–Fuller test is applied. Both prices are integrated of order one. Then, the Johansen cointegration test is conducted to test the cointegrating relationship between those two prices. Finally, the Granger causality test is performed to observe the direction of causality. The evidence shows that there is a long-run relationship between cash and futures prices and the futures price Granger causes cash price. As a whole, price discovery of cornstarch market in China is present although it is a newly emerged market.     

我国期货市场亟需期货投资基金

我国期货行业自进入21世纪以来取得了飞速发展,无论品种规模还是成交量都已位居世界前列,然而,在国外已经成为期货市场主力的期货投资基金在我国却难觅其踪。期货投资基金可以优化和改善投资组合,规避股市系统性风险,实现专家理财保护中小投资者利益。实际上,从市场规模、运作现状、风险控制、资金充裕度以及证券投资基金在我国发展的成功经验来看,我国已基本具备设立期货投资基金的基础。但期货投资基金毕竟是一个高风险的投资工具,国内对它的研究还比较薄弱,法律体系和监管机制仍待完善,产品的种类和活跃程度仍待加强,在基金公司的设立方式上仍需谨慎选择,对于期货投资基金亟需的高端综合型人才的培养都是我国急需解决的问题。     

国内外铜期货市场的价格联系

The purpose of this paper is to investigate the time varying relationships between the Chinese copper futures market and its London counterparts. Rolling correlation and rolling Granger causality test show that with the development of the Shanghai copper futures markets, it has stronger connections with its London counterpart and it plays more and more important role in the price discovery process. There is a long run relationship between the Shanghai futures exchanges (SHFE) and London Metals exchanges (LME) copper futures prices. The influence of LME on SHFE is greater than that of SHFE on LME. The research will shed light on the openness of the Chinese copper commodity markets and on the nature of cross-market information transmission.      

中国豆油期货市场功能的实证分析

运用协整检验、误差修正模型检验、脉冲响应函数检验和方差分解检验等方法,并通过基差分析、期货合约流动性分析,对中国豆油期货市场的价格发现功能和回避风险功能的发挥情况进行了实证分析。结果显示：在长期过程中,中国豆油期货市场的价格发现功能基本得到发挥;回避风险功能在期货市场自身运行机制的作用下逐渐得到改善,并开始发挥作用。     

Environmental rights on the futures markets an application to the dutch manure market

A study was carried out to analyze futures markets for tradable rights after a cash market was initiated. Furthermore, some indication was given on the size of such a futures market to provide insight into its viability. Futures markets can play a role in solving environmental problems, by making the market for pollution rights (i.e. P₂O₅ rights) and agro rights (milk rights, sugar rights and P₂O₅ rights) more effective and transparent. Moreover, the market for tradable rights would be able to meet the users' need for hedging. This paper investigated the possibility of introducing a futures markets for tradable P₂O₅ rights and the commodity manure. Because there is already a cash market for manure, although not well developed yet, and there will be a cash market for P₂O₅ rights, a futures market is a logical sequel. The futures market can play a role in implementing agricultural policy efficiently and with respect to manure and P₂O₅ rights can be an economically efficient solution to environmental problems.We acknowledge the financial support of the ATA (Agricultural Futures Market Amsterdam).     

Index arbitrage and dynamics between REIT index futures and spot prices

This article contributes to the real estate literature by investigating the pricing relationship between REIT index futures and spot. Based on the cost-of-carry model, we first show that there exist three arbitrage regimes in Australia’s REIT spot-futures price dynamics. Further analysis indicates that the two thresholds, which separate the regimes, are largely consistent with the level dictated by transaction costs. We then estimate a threshold vector error correction model (TVECM). The results show that mean reversion of the mispricing error only takes place in the two outer regimes. Furthermore, we find evidence that REIT spot market is more informationally efficient than the futures market. Given its short history, it will take time for REIT index futures market to mature. Finally, we find that we can enhance hedging performance by accommodating the feature of threshold cointegration displayed by the data. As the futures-spot relationship differs across regimes, we can develop a hedging strategy by adjusting the hedge ratio based on arbitrage regimes. It leads to a greater variance reduction for the hedged portfolio than some conventional methods examined in the existing real estate literature.     

建立石油期货市场的对策研究

石油价格波动给我国经济和企业发展带来了巨大的冲击和风险.在我国推出石油期货势在必行.本文结合实际,分析了当前我国建立石油期货市场所面临的突出问题,提出了若干对策.     

Testing the efficiency of the futures market for crude oil in the presence of a structural break

The efficiency of the futures market for crude oil has been the subject of significant study, with the basis regression representing a popular methodology. However, the parameters of this model are subject to a structural break, casting doubt on any conclusion regarding the efficiency of the futures market. To address this problem, this article employs a simple generalization which is capable of testing the efficiency of a futures market in the presence of a structural break. Using this approach, strong evidence of inefficiency is found in the one month futures contract for West Texas Intermediate for the period between 1985 and 2013, which is otherwise not detected.     

Contract settlement specification and price discovery: Empirical evidence in Australia individual share futures market

This study applies Geweke [J. Am. Stat. Assoc. 76 (1982) 304] measures of information flow and dependence between Australian individual share futures (ISF) contract and its underlying stock market to investigate whether the price discovery function of futures price has been enhanced after the switch of futures contracts from cash settlement to physical delivery. It is found that the spot market leads the futures market as the futures trading volume is rather small. Further tests suggest that the switch from cash settlement to physical delivery in the ISF contracts has reinforced the information flow from the spot market to the futures market.