中国发展期货投资基金的重要性与相关法律问题研究

一、中国发展期货投资基金经济原因与法律条件 (一)中国发展期货投资基金的重要性与迫切性 1.为了改善期货市场投资主体结构,充分发挥期货市场功能.期货投资基金能为广大投资者提供了一个有效的投资工具,可通过购买期货基金实现投资期货的愿望,把中小散户投资转化为机构投资,从而改善了期货市场投资结构,形成稳定的市场投资主体.期货投资基余的巨额资金量一方面扩大了期货市场的规模,另一方面也有利于实现其价格发现和稳定市场的作用、为那些商品生产者和经营者实套期保值交易吸纳风险.     

我国国债期货市场重启后的市场发展状况及建议

基于国债期货市场2013年9月到2014年12月的5分钟和每日交易数据,从流动性、套利机会、价格发现功能三个维度,全面评估了国债期货市场的发展状况。当前市场存在着从期货向现货的信息传导,已具有一定的价格发现功能。但市场的流动性水平依然不高,在少数情况下会出现明显的套利机会。最后建议在利率市场化的大背景下,应有序、审慎引导商业银行等机构参与国债期货市场交易,推动国债期货市场的进一步发展。     

上海期货市场流动性研究

一般地讲,一个流动性越好的市场,配置资源的效率就越高.对于期货市场而言,流动性是交易制度设计和合约设计的重要目标之一,也是考察市场效率和功能发挥的重要指标.期货市场流动性可以表述为:期货市场参与者迅速进行大量期货合约交易,并且不会导致合约价格发生显著波动.一个具有较好流动性的期货市场,应具有较低的交易成本和较快的指令执行速度,并且能迅速平复大额交易对期货合约价格的冲击.     

大陆与台湾股指期货价格发现功能比较研究

本文利用日内15分钟交易数据,对大陆与台湾股指期货的价格发现功能进行了比较,发现沪深300股指期货和现货间存在双向价格引导关系,但在信息传导效率上,期货领先现货,对台湾市场而言,仅存在期货对现货的单向引导关系;期货市场在长期价格发现功能中占主导地位,但台指期货的主导作用要强于沪深300股指期货。文章从投资者结构、合约设计、交易制度等影响因素分析了两岸股指期货价格发现功能的差异,并提出改善大陆股指期货价格发现功能的建议。     

限制交易政策如何影响期现关系?——对股指期货价格发现功能的实证检验

本文利用2015年中国股市大幅下跌期间,对股指期货严格限制交易政策这一独特事件前后的高频数据,研究限制交易政策对股指期货与股票市场价格引导关系的影响。利用I-S模型和分位数回归方法的实证结果表明:限制交易政策实施前,股指期货对股票市场的价格影响更强,尤其表现在价格急剧下跌时期;限制交易政策显著增加了期货市场交易成本,从而降低了期货市场的信息份额,削弱了其对股票市场的价格影响,并且改变了期货价格对现货价格“助跌强于助涨”的影响模式,增强了股指期货在价格上涨时对股票市场的影响。研究结果一方面直接量化了期货交易成本变动对其价格发现功能的负面影响,另一方面也从价格引导关系的视角提供了股市危机时期股指期货限制交易政策监管效果的实证证据。     

我国期货投资基金的现状及规范发展的措施

期货基金是通过集资、委托专业机构理财的一种新型投资工具,具有风险小、收益高等特点。对期货投资基金规范发展有利于改善期货投资主体结构、活跃期货交易、形成合理的权威的指导价格,对国民经济发挥更大的指导作用。文章建议政府有关部门加强期货投资基金的管理,增加期货市场资金存量,促进期货交易的健康稳定发展。     

期货能发现价格吗

自期货交易产生以来，价格发现一直是其基本功能之一，但是，1982年首次推出股票价格指数期货后，期货市场发生了巨大改变。金融衍生品很快成为期货市场的主流，2008年已占据了全球衍生品交易总量的90％，一百多年来一直占据着期货市场主流的农产品期货退为小品种，仅占全球交易总量的5％左右。金融衍生品定价与早期的期货存在着巨大的差异，为金融衍生品探寻价格发现功能一直困扰着期货界。     

金属铜期货产品价格发现功能的实证研究

现代期货市场是市场经济的重要组成部分,一个成熟的期货市场会对国内乃至国际商品市场产生重要影响。价格发现是期货市场的基本功能之一,通过研究期货市场和现货市场价格的长期均衡关系,可以验证期货市场价格发现功能的实现情况。铜是较常用的期货品种,我国1991年推出铜期货合约,目前已发展为交易最规范、发展最稳定、最具生命力的期货品种之一。本文采用ADF检验、协整检验、Granger因果检验、GS模型对上海期货交易所金属铜的价格发现功能进行了实证分析。研究结果显示铜的期货价格和现货价格之间存在双向引导的关系且现货价格引导能力更强。     

中国期货市场流动性分析:以棉花为例

本文选取交易量、持仓量、期现比率和价格波动性作为衡量指标,对中国棉花期货市场流动性进行实证分析。实证结果表明:2004年至今,棉花期货的月度成交量、月度持仓量、月度期现比率都呈现先升后降趋势,价格波动的范围也较大。无论是成交量、持仓量、期现比率,还是价格波动性,我国棉花期货市场流动性要比国内和国际上较成熟的期货产品低。为了改善市场环境,提高市场流动性,中国棉花期货市场应该积极改革交易制度,合理设计期货合约;同时,还应加大对投资者的教育力度,大力培育套期保值者,促进期货合约的成功交易。     

我国黄金期货与现货市场的价格变动和价格发现机制

本文通过实证方法,研究了我国黄金期货与现货市场的价格发现机制,研究结果表明,目前我国黄金期货市场的价格发现功能尚未有效实现,主要原因在于我国黄金期货市场的投资者组成结构不合理以及期货市场和现货市场存在一定程度分割.因此,可以考虑适当放宽黄金期货市场准入,鼓励机构投资者进入黄金期货市场,整合现货市场和期货市场的交易规则,改进黄金期货的价格发现和套期保值功能,提高我国黄金期货市场的运行效率.     

期货新品种上市机制研究

期货新品种开发机制的扭曲与不到位目前已成为制约期货业发展的"瓶颈",理顺期货新品种上市程序,建立合理、高效的市场导向上市制度,必将大大推进我国期货市场的改革,迎来期货业的大发展.在市场价值取向已经确定的情况下,将核准制和注册制作为期货新品种上市机制改革的长远目标是适宜的.但鉴于我国期货市场的发展阶段以及经济体制转型现状,改良审批制应是目前的最佳选择.     

Investor Trading Behavior and Sentiment in Futures Markets

This study investigates the effects of investor trading behavior and investor sentiment on futures market return. We find that the spot investor trading behavior, futures investor trading behavior, spot market sentiment, and futures market sentiment all have positive effects on daily futures returns in Chinese financial market. More importantly, we show that the effect of (spot) futures investor trading behavior has better explanatory power than (spot) futures market sentiment on futures returns. Further supporting our results, high investor trading behavior and high investor sentiment strengthen the positive relation between sentiment-returns and behavior-returns.     

The Impact of Universal Stock Futures on Feedback Trading and Volatility Dynamics

Abstract:  This paper investigates the impact of the introduction of Universal Stock Futures (USFs) on underlying market dynamics (volatility and the level of feedback trading). Analysis of USFs provides a number of advantages compared to investigation of index futures, leading to reliable and wider ranging insights into the impact of derivatives. Specifically: (i) any impact of derivatives is more likely to be evident in the behaviour of individual stocks; (ii) with USFs it is possible to directly trade the underlying; (iii) USFs have multiple introduction dates within a given market; (iv) differential country/industry effects can be identified; and (v) the endogeneity issue can be addressed using control stocks. Findings suggest limited feedback trading in USF stocks, but listing has reduced this further. While news has less impact and persistence and asymmetry effects are more evident post-futures, control stock results suggest these changes are not futures induced. Differences are evident across industries. The need for analysis of an appropriate (industry based) control sample is highlighted if reliable policy conclusions are to be reached.     

商品期货投资收益问题研究

按照持有期货合约的部位，将商品期货交易者细分为：标的商品生产商、加工商和投机者。在满足终期效用最大化的条件下，通过联立商品期货、现货和证券市场，推导出一个商品期货投资收益模型，证明了商品期货投资收益由期货市场的系统性风险溢价和非系统性风险溢价两部分组成，并解释了“持有期成本套利”、“现货一期货溢价”和“资本资产定价”三种理论适用于确定商品期货投资收益的前提条件。根据国内商品期货市场与证券市场之间存在负相关性的实证结论，说明发展商品基金、减少证券一商品期货市场跨市场投资的交易成本等措施有利于我国资本市场的发展和完善。     

期货市场的发展与上海国际金融中心建设

国际金融中心都有发达的期货市场，期货市场在国际金融中心变迁中发挥着重要作用，成为现阶段国际金融中心建设的突破口。上海期货市场已具备了加快发展的条件和基础，当前所面临的瓶颈问题是期货品种需要进一步完善，需要采取做深做精现有期货品种、探索开展期货保税交割业务等具体措施进一步发展上海期货市场，从而助力于上海国际金融中心的建设。     

期货最优套期保值比率研究评述

套期保值、价格发现、资产配置是期货市场的三大基本职能。而在这三种职能中，最为重要的是套期保值，它是期货市场得以生存和发展的关键动因。在国内外套期保值研究中，最优套期保值比率的估计是套期保值研究最为核心的问题。而运用期货套期保值理论进行实践更是随着套期保值比率估计模型的不断优化、完善而向前发展的，本文通过对国内外套期保值研究相关文献进行分类，整理，综述，梳理出最优套期保值比率估计的研究思路和相关实证技术路线，概括出国内外最优套保比率的研究框架，以此来向国内相关研究学者指出未来的进一步研究方向，同时对国内期货交易主体进行套期保值操作提供了估计模型的选择建议。     

Futures Commitments and Commodity Price Jumps

We examine the relationship between the commitments of three of the largest groups of futures traders and the abnormal price movements in five agricultural commodities. The general evidence suggests that the commitments of futures traders have been increasing over time, whereas the frequency of price jumps have not. Regression results indicate a negative relationship between price jumps and the commitments of speculators and small traders. There is also evidence of a negative relationship between the number of speculators and cash market volatility, consistent with a host of speculation-based theories.     

An Equilibrium Model of Catastrophe Insurance Futures and Spreads

This article presents a valuation model of futures contracts and derivatives on such contracts, when the underlying delivery value is an insurance index, which follows a stochastic process containing jumps of random claim sizes at random time points of accident occurrence. Applications are made on insurance futures and spreads, a relatively new class of instruments for risk management launched by the Chicago Board of Trade in 1993, anticipated to start in Europe and perhaps also in other parts of the world in the future. The article treats the problem of pricing catastrophe risk, which is priced in the model and not treated as unsystematic risk. Several closed pricing formulas are derived, both for futures contracts and for futures derivatives, such as caps, call options, and spreads. The framework is that of partial equilibrium theory under uncertainty.     

Futures prices as risk-adjusted forecasts of monetary policy

Many researchers have used federal funds futures rates as measures of financial markets’ expectations of future monetary policy. However, to the extent that federal funds futures reflect risk premia, these measures require some adjustment. In this paper, we document that excess returns on federal funds futures have been positive on average and strongly countercyclical. In particular, excess returns are surprisingly well predicted by macroeconomic indicators such as employment growth and financial business-cycle indicators such as Treasury yield spreads and corporate bond spreads. Excess returns on eurodollar futures display similar patterns. We document that simply ignoring these risk premia significantly biases forecasts of the future path of monetary policy. We also show that risk premia matter for some futures-based measures of monetary policy shocks used in the literature.     

Degree of Integration Between Brent Oil Spot and Futures Markets: Intraday Evidence

We investigate the integration of oil spot and futures markets using matched, intraday data to avoid nonsynchronous trading issues. Our evidence indicates highly integrated spot and futures markets. Economic shocks that arise in spot markets are quickly transmitted to the futures markets approximately one-for-one. Most of the reaction occurs within minutes. Similarly, economic shocks arriving in futures markets are transmitted to spot markets one-for-one, once again, within minutes consistent with market efficiency. In general, our findings indicate well-functioning, well-integrated spot and futures oil markets that are informationally efficient and that perform the functions of both price discovery and risk transfer. To the best of our knowledge, this is the first article to work with precisely matched customized data in futures markets, specifically oil futures markets.