论传统期货交易所公司化改造的背景

许多传统的会员制非赢利期货交易所近年来纷纷进行公司化改造,成为赢利性的股份公司。尽管对这种组织变革及其相关问题存在着一些不同认识,但要深入研究这些问题,必须首先弄清出现公司化改造浪潮的背景。研究表明,促成这类战略决策的主要因素包括三个方面：信息技术的变革与创新使传统交易方式和组织形式面临技术竞争力方面的压力;国际期货市场结构发生了重大变化,传统交易所组织形式面临竞争方面的严峻挑战,有关国家的市场监管部门为提升本国期货业的竞争实力,对交易所的组织变革提供了有力支持。     

世界流行的七种市场形式

世界流行的七种市场形式１．期货交易所：西方发达国家拥有近５０个庞大的期货交易所，在交易所交易的商品达３５种以上。它包括股票、债券、主要在业产品、主要工业产品以及原材料、能源等通过交易所进行公开交易。２．招标市场：难以定价的商品、工程项目可采用这种形式...     

期货贸易讲座

<正>三、期货交易所的建设期货交易所是期货市场运作过程的物质载体,是为期货交易服务的非营利性组织。它构成有组织的市场,为期货交易提供有效的服务和保证。我国的期货市场正处在起步阶段,交易主体的素质还不够理想,交易品种、规模、资金和人才等方面还存在着不少限制性因素。考虑到中国特色的期货市场的发展,其交易所的基本建设,应在充分研究世界主要期货交易所建设和发展的成功经验基础上,兼收各方所长,以便少走弯路。     

期货交易所财务管理体制创新研究

笔者在对期货交易所现行财务管理体制分析的基础上提出优化期货交易所财务管理体制必须处理好几个关键点:政府监管与自律管理的关系、交易所财务管理的目标、共同治理的治理结构、内部财务监控组织设置、以预算管理为轴心、对下属子公司集权与分权的选择等,而且要从动力机制、决策机制、控制机制、评价机制四个方面建立起有效的财务管理运行机制。     

会员制与公司制期货交易所治理结构比较研究

作者通过对期货交易所三种形式治理结构的比较,说明这三种形式各有其特点,分别适应于期货交易所不同的内外部环境.剖析了交易所冶理结构差异的表现,并提出中国期货交易所公司化改制的思路.     

跨区调配资源的产权界定及实现路径

跨区调配资源的产权界定是一个动态的谈判过程,它与制度环境、交易谈判和补偿机制有关.本文着重论述了资源输出方和输入方交易前制度环境的演进、交易中叫价谈判的模拟和交易后补偿机制的生成三个方面,并试图得出以下推断:我国跨区调配资源的有效产权形式由制度约束,交易合约和补偿机制三部分有机构成,其实现路径是,从资源调配前主管部门的制度供给到交易双方在既定制度约束下的交易谈判,并随着交易结束最终生成利益补偿机制.     

期货市场与投机行为

<正> 一、期货市场与期货交易期货市场的基本特点是: 1、它是一种合同的交易所。在期货市场中交易只是一纸合同,虽然合同中写明某指定数目的商品须在所规定的未来时间中交货,但期货交易成交后并没有真正转移商品的所有权。 2、期货交易必须遵循规范的交易规则。为了保证交易公开、平等、充分的竞争,交易所有一整套规则制度保证其正常进行。如交易所的会员制度、保证金制度、公开叫价制度等,使期货交易能够贯彻公平竞争的原则,真实地反映买卖双方的意向,形成一个公正、权威的价格。非交易所会员的公司和个人是无法进行期货交易的,只能委托会员进场交易,外界不得干预。 3、期货市场受价值规律制约。期货市场本身是市场经济的产物,价值规律推动着期货市场的发展,买卖公平、自由竞争是其基本特征。供求关系变化而导致的价格波动,保证了期货市场功能的实现。在期货市场中进行商品期货交易的主要是两种人:一种是套期保值者,另一种是投机者。套期保值交易和投机交易是期货市场中两种重要     

碳交易所机制的国际比较研究

全球碳交易所机制为西方发达国家所主导,主要包括美国的芝加哥气候交易所、芝加哥气候期货交易所、BlueNext气候交易所等。2008年以来,我国也陆续成立了北京环境交易所、上海环境能源交易所等,目前仍处于刚刚起步的阶段。本文将全球碳交易所机制作为研究对象,对国内外碳交易所发展现状、市场参与者及交易流程等方面进行比较研究,以期借鉴国外成熟经验,对我国碳交易所的发展起到积极作用。     

基于移动平均线构建的交易策略与其应用 ——以动力煤期货合约为例

技术分析是期货交易者进行决策投资时使用的一项重要工具,相较于基本面分析因为技术分析研究对象是图表本身,所以其获得的信息较之基本面分析更为全面、 直观与公开.本文将利用利用技术分析指标中的趋势性指中的标移动平均线与摆动指标中的平均真实波动幅度来构建交易策略,选择郑州交易所中的动力煤期货合约为研究对象,证明能够通过运用该交易策略在动力煤期货市场中获取稳定收益.     

碳交易所机制的国际比较研究

全球碳交易所机制为西方发达国家所主导,主要包括美国的芝加哥气候交易所、芝加哥气候期货交易所、BlueNext气候交易所等.2008年以来,我国也陆续成立了北京环境交易所、上海环境能源交易所等,目前仍处于刚刚起步的阶段.本文将全球碳交易所机制作为研究对象,对国内外碳交易所发展现状、市场参与者及交易流程等方面进行比较研究,以期借鉴国外成熟经验,对我国碳交易所的发展起到积极作用.     

Construction and Evaluation of Trading Systems: Warsaw Index Futures

This paper presents and compares 15 trading systems constructed for the Warsaw Stock Exchange futures contracts. These trading systems are constructed applying technical analysis and artificial neural networks (ANN). The efficiency of constructed trading systems is measured by the profit, which could be gained on the analyzed market when an investor uses various methods of buy and sell signals generating. Investigation is conducted for daily observations of stock index WIG20 futures from December 1, 1999 to November 28, 2003. The conclusion is that the combination of the technical analysis and artificial intelligence in order to gain profit from trading on the Polish futures market can bring much better investment results than trade in the traditional way (JEL G10, C45).     

Determinants of futures contract success: Empirical examinations for the Asian futures markets

This study examines key factors that influence the success of exchange-traded futures contracts of Asian futures markets. The results show that successful futures contracts benefit from a large and volatile spot market. In addition, a smaller contract size has a positive effect on the futures trading volume, which in turn contributes to the success of the futures contract. For specific institutional factors, the choice of the trading platform and the relative size of exchanges are both important to the success of futures contracts.     

Expiration-day effects: Does settlement price matter?

We compare the expiration-day effects of two index futures contracts, TAIEX futures and SGX TW futures, which have the same underlying spot market, but different settlement mechanisms. By taking into account other factors such as open interests and institutional traders' activities, we find that the settlement mechanism and traders' structure affect expiration-day effects. In terms of minimizing expiration-day effects, the average price is better than the opening price, which in turn is better than the closing price settlement. Moreover, the results also demonstrate that foreign institutional traders' trading activities increase expiration-day effects.     

Shall One Sit “Longer” for a Free Lunch? Impact of Trading Durations on the Realized Variances and Volatility Spillovers

This study examines the effect of trading durations on the realized variance of rupee futures traded in national stock exchange (NSE), India and Dubai Gold & Commodities Exchange (DGCX), Dubai as there exists a difference in the trading durations at these exchanges, where DGCX has longer trading duration. The empirical results suggest that longer trading duration has significantly higher realized variance, and also non-trading durations at NSE account for higher overall realized variance of Rupee Futures. We model the impact of trading durations on intraday and overnight realized variance for rupee futures and estimate a reduced realized volatility of 40–70 bps due to shorter trading duration. We find that non-trading durations at National Stock Exchange account for 60–70% of the overall realized variance of rupee futures. Using MGARCH model with BEKK parameterization, we find evidence of bidirectional volatility spillover from Offshore to Onshore Rupee markets.

     

TRADER TYPE EFFECTS ON THE VOLATILITY‐VOLUME RELATIONSHIP EVIDENCE FROM THE KOSPI 200 INDEX FUTURES MARKET

We investigate whether the trading activity generated by investors with different access to information and trading motives has positive or negative impact on index futures volatility. Surprises in non‐member institutional, individual and foreign investors' trading volume are positively associated with volatility in most of the cases. For member institutional investors, unexpected trading volume is positively related to volatility. Long‐run changes in the trading activity also affect volatility differently across trader types. Finally, allowing for time‐to‐maturity effects, surprises in open interest are associated with more volatility towards contract expiration, contrary to the negative effect we find during normal times.     

Exploiting volatility movements in the Sydney futures exchange's bank bill contract

An appropriate stochastic model was fitted to one year of data on the implied volatility of options on 90 day bank accepted bill futures contracts traded in the Sydney Futures Exchange. The model used was ARIMA augmented with day of the week variables, an option time to maturity variable, and recent values of historic volatility. The high ex-post predictive accuracy of the model was then employed as the central element of a strategy of buy low/sell high volatility.We employed two trading schemes with suitably constructed Delta neutral portfolios comprising bill futures and call and put options on those futures over a period of six months, to test whether speculative trading profit could be earned. The existence of trading profits before transaction costs validated the potential of the buy low/sell high volatility strategies to generate speculative profits. The absence of any such trading profits after transaction costs however, showed that the market pricing of these securities is such that the dependencies within implied volatility cannot be profitably exploited.This result may be interpreted as evidence supporting an hypothesis of a semi-strong form of market efficiency.     

Relationship between the trading behavior of three institutional investors and Taiwan Stock Index futures returns

The relations between institutional investors' behavior and futures returns are examined in this study. Evidence suggests that net trading volume by foreign investors and investment trust have forecasting power for futures returns. In addition, the study applies a time-varying parameter vector autoregressive (TVP-VAR) approach to estimate the relative effects of trading behavior by institutional investors on futures returns over time. The impact of open interest by three institutional investors is decreasing over the recent years. This implies that the value for open interest information from three major institutional investors is gradually declining in Taiwan.     

Testing commodity futures market efficiency under time-varying risk premiums and heteroscedastic prices

We propose a novel test to measure market efficiency while estimating the time-varying risk premiums of commodity futures, given that the prices are heteroscedastic. The risk premium is estimated using a state-space model with a Kalman filter modified for heteroscedasticity. Using 79 commodity futures traded on 16 exchanges during the period 2000–2014 and a Monte Carlo simulation, we demonstrate that the proposal produces robust results compared with conventional approaches. The global financial crisis has improved the efficiency and affected the trading volumes of commodity futures, but it has had no effect on the average or the volatility of risk premiums.