衍生品市场的法律框架：国际比较与趋势

各国和地区的衍生品市场法律法规的形成和发展，受到历史条件和现实环境因素的影响。随着衍生品市场的蓬勃发展，全球各衍生品市场也在修订其法律法规，最明显的特征为：很多国家将衍生品同其他金融产品（现货产品）置于同一监管机构的管辖范围内；市场需求是推动衍生品监管立法的最主要动力；证券与其他衍生品（包括商品衍生品、金融衍生品）的法律适用范围得到明确界定。本文综合比较了各主要衍生品市场的法律构架，期望有所借鉴。     

期货和衍生品市场反操纵条款研究

《期货和衍生品法》的颁布与施行，为操纵市场行为提供了新的规制依据。《期货和衍生品法》反操纵条款借鉴了《证券法》修订的相关内容，最终采用了“影响或意图影响价量”的双重判断标准，但在“交易量”的采用与认定依据方面存在局限性。基于法律与经济学的分析，兼以挖掘反垄断法、民法与证券法等横向部门法的法律价值，本文认为：应当从市场力量与欺诈两种视角审视市场操纵行为，并在保留价格操纵条款的基础上，从主观要件、结果要件、因果关系判断层面构建适宜我国期货和衍生品市场的反欺诈条款。     

场外衍生品市场改革的国际框架、进展及展望

<正>截至2009年底,全球场外衍生品名义价值高达625万亿美元,巨额场外衍生品市场给国际金融体系造成系统性风险,包括交易对手信用风险、传染性风险和流动性风险,引起国际社会广泛关注。目前,场外衍生品监管改革的国际框架不断推进落实,本文分析研究监管改革的整体框架、主要国家当前的最新进展以及落实中存在的问题,以期对我国参与有关国际规则的制定以及国内市场发展完善提供参考和借鉴。     

欧盟对市场操纵的监管及启示

反市场操纵是证券市场监管的重要环节之一.2003年以来,欧盟专门制定了一系列针对市场失当行为(内幕交易和市场操纵)的法律规范,对市场失当行为搭建了较为全面的监管框架.本文从市场操纵认定标准、行政执法体制和市场操纵的预防措施等方面,对我国和欧盟的市场操纵监管进行比较,并借鉴欧盟的相关经验,对我国市场操纵监管提出建议.     

关于市场操纵调查和起诉的国际比较

对市场操纵的监管是维护投资者利益的重要一环.近年来,随着新产品和新技术的发展,新投资者的不断加入,以及全球和跨市场交易的增加,跨边界和跨市场操纵的风险不断增加,操纵的手段不断花样翻新,所涉及的范围不断扩大,给各国监管者带来了严峻的挑战.本文对海外关于市场操纵调查和起诉的相关问题进行初步研究和分析,对市场操纵管制的规律和特征进行了总结.     

金融衍生品市场为什么会失败?——基于印度市场的经验分析

孟买证券交易所的金融衍生品市场为什么会完败于国家证券交易所?研究发现,在国家证券交易所共享孟买证券交易所已上市资源的制度安排下,孟买证券交易所基础市场流动性迅速恶化、金融衍生品市场先发优势丧失、技术储备不足以及市场推广不力导致孟买证券交易所金融衍生品市场的失败。孟买证券交易所"撒钱式"的流动性刺激计划虽然提升了金融衍生品市场的短期成交活跃度,但未能改善基础流动性,无法扭转金融衍生品市场失败的局面。建议借鉴印度市场经验:将股票、股指与ETF等股权类期货、期权产品纳入《证券法》监管范畴;加快金融衍生品市场的发展速度,扩大期权的试点范围;避免金融衍生品市场失败的关键在于夯实现货基础、做好技术储备、加强市场推广。     

中国金融衍生品的发展与监管

1992年12月28日，上海证券交易所向证券商自营推出国债期货交易，自此中国开始踏上金融衍生品的求索之路。然而，由于现货市场条件尚未成熟、监管水平和风险控制能力滞后干市场发展的步伐等一系列原因，国债期货交易不久就因风波不断被叫停。中国的机构、企业要到国际市场上去做衍生品交易需要报国务院批准。中航油和国储铜事件之后，金融衍生品又被视为“洪水猛兽”。然而，金融衍生品是中国不可回避的问题，必须要做而且必须要做好。     

近观印度国家证券交易所衍生品市场

近年来，新兴市场经济金融衍生品市场发展迅猛，印度市场更是异军突起。为了学习与借鉴印度发展衍生品市场的经验，为我国股权类衍生品市场的发展提供思路，我们四人在印度国家证券交易所接受了为期两周的考察学习，重点了解衍生品市场建设与发展的经验、市场的组织与运营等具体业务。     

国际金融衍生品市场的发展现状及其影响分析

近几年国际金融衍生品市场的发展突飞猛进，各国为了争夺国际金融中心地位，积极发展衍生品市场和完善资本市场。本阐述了国际金融衍生品市场发展的现状及其原因，并分析了其对经济的正、负面影响，以期为加强我国金融衍生品市场的建设提供借鉴。     

股票指数期货:市场风险评估与监管措施

我国股票指数期货交易实施两年多来,对股票现货市场产生了积极的作用.于此同时,股票指数期货市场自身也存在着各种风险,文章对我国股票指数期货的市场风险进行评估,并且基于市场交易风险、市场操纵风险和政策风险等对我国股票指数期货市场监管思路提出具体的政策建议.     

An empirical investigation of large trader market manipulation in derivatives markets

Using account-level transaction data in options and futures markets, we investigate the existence of market manipulation, which is the ability of large traders to trade strategically, impacting prices and making abnormal profits. First, large trader’s option positions have a quantity impact on the underlying asset’s price. Second, large traders generate significantly positive alphas from trading options and futures. Among the different investor types, proprietary dealers generate the largest positive alphas. Third, these abnormal returns are consistent with strategic trading and cross-market manipulation. The evidence supports market manipulation across the options and futures markets, but not within the futures market itself.     

Empirical Analysis of Business Cycle Synchronization and Shock Similarity Between Romania and the Eurozone

This study investigates benefits from a trading strategy based on the spillovers from international stock markets to the Polish emerging stock market. The analysis is conducted within the framework of factor and predictive generalized autoregressive conditional heteroskedasticity (GARCH) models of the Warsaw Stock Exchange main index, WIG. We apply an approach in which the mean equation of the GARCH model includes a deterministic part incorporating cross-markets linkages. Both in-sample and out-of-sample forecasts from the estimated models are calculated. The trading strategy is based on signals from the out-of-sample predictions. The models' performance and benefits from adopting such a strategy are evaluated using direction quality measures. Our results suggest that predictive models using cross-market linkages can produce superior out-of-sample forecasts compared to benchmarks.     

证券期货市场人工智能交易的刑法规制

证券期货市场人工智能交易具有强大的预测分析能力、投资策略制定能力以及敏锐的市场反应能力。与之相适应,刑法对证券期货犯罪的规制重点也应当从交易的行为方式向交易技术转移。鉴于利用人工智能交易可以实施滥用技术优势型市场操纵犯罪行为,刑法有必要对人工智能交易予以规制,并且这种规制利大于弊。规制应当明确区分人工智能交易的正当使用和滥用,并进一步完善操纵证券、期货市场罪的规定。     

Internal Market Efficiency,Market Co-movement,and Cross-Market Efficiency: The Case of Hong Kong and Shanghai Stock Markets

We examine the effects of the 2008 financial crisis on the cross-market efficiency of the Hong Kong and Shanghai stock markets. Our results show a sharp decline in the cross-market efficiency during the financial crisis. We investigate whether this is due to lower internal market efficiency or higher market co-movement. The results show no evidence that the internal market efficiency dropped in Hong Kong or Shanghai during the crisis. In contrast, we document a strong increase in the market co-movement during the crisis. These results suggest that the decline in cross-market efficiency during the financial crisis is due to increased market co-movement and not a decline in internal market efficiency.     

Product market competition and earnings management: Evidence from discretionary accruals and real activity manipulation

We examine the association between product market competition and earnings management activities. We use the Herfindahl-Hirschman Index (HHI), a widely used measure for market concentration, as a proxy for product market competition. We examine two forms of earnings management: accrual-based and real activity-based. Our results are mixed, but generally suggest that both income-increasing accrual manipulation and real activity-based manipulation are more prevalent among firms in low competition industries than those in high competition industries. Our findings are robust to various measures of earnings management, alternative measures of product market competitions, and different subsamples. We further explore the reasons why firms in low competition industries are more inclined to manage earnings and find that the market consequences of missing important earnings targets are more severe among firms in low competition industries than those in high competition industries.     

股票、股指期货跨市场信息监管的国际比较及借鉴

股指期货推出后,股票市场和股指期货市场跨市场信息监管成为金融监管机构亟待解决的问题。本文以金融市场微观结构理论和信息经济学为基础,结合股指期货和股票市场的风险关联特性,研究信息在股指期货市场和股票市场传导的一般规律,并分析了跨市场信息监管在信息传导过程中的作用;以此为基础,分析比较了海外证券市场跨市场信息监管具体运作体系,并结合我国证券市场特殊性提出我国股票市场和股指期货市场跨市场信息监管框架、流程和以跨市场信息监管为核心的监管手段。     

Measurement of market integration and arbitrage

We develop a measurement theory of market integration, basedon two notions of 'integrated markets'. First, two markets cannotbe perfectly integrated in any sense if one can construct twoportfolios, one from each market, that have identical payoffsbut different prices. In that case, the law of one price isviolated across the markets. Second, they cannot be integratedin a stronger sense if there are cross-market arbitrage opportunities.Two measures of market integration are developed, respectivelyreflecting these notions. The smaller the measures, the moreclosely integrated (in the respective senses) the markets. Amongother things, they are interpreted as measuring pricing discrepancybetween markets.     

市场操纵司法界定、惩治比较及其启示

市场操纵与证券市场形影不离，并在很大程度上影响证券市场健康规范发展，因此，几乎所有国家和地区都先后通过立法对市场操纵行为进行了具体的界定，并制定了惩治市场操纵的法律规定。本文对中国和海外成熟证券市场有关市场操纵的司法界定、惩治法律措施进行了比较分析，并认为惩治市场操纵仅靠法律、法规是不够的，还应在此基础上采取一系列与之相适应的措施。