【摘要】：中國從過去的權(quán)證試點工作開始,到目前的股指期貨的平穩(wěn)運行,已經(jīng)在金融衍生品的發(fā)展上取得一定的成績,未來正研究推出新的金融衍生品。牛熊證在香港市場上己推出多年,并且反響良好。本文從牛熊證的機理分析出發(fā),研究了牛熊證的本質(zhì)、特點、設(shè)計與對沖的問題,對牛熊證進行了定性方面的研究。同時又借鑒國外的研究成果,利用B-S模型下牛熊證的定價公式,對牛熊證的希臘值特性進行了分析,得出了牛熊證表現(xiàn)較好的原因。同時指出,香港市場交易的牛熊證品種在設(shè)計上存在了財務(wù)費用陷阱的問題,需要引起投資者和監(jiān)管者的關(guān)注。 本文還分析了在中國目前的市場環(huán)境下推出牛熊證的必要性和可行性分析,指出牛熊證在香港取得成功也同樣適用于中國內(nèi)地。最后本文研究了牛熊證的市場監(jiān)管體制和交易制度安排的問題,通過國內(nèi)外對比分析,指出中國未來推出牛熊證在制度監(jiān)管和交易運行方面所需的改進,從監(jiān)管者和投資者兩方面給予了建議。 本文的主要結(jié)論是牛熊證主要優(yōu)點是其delta接近1,在單邊牛市或熊市下表現(xiàn)較好,但在定價中存在了財務(wù)費用高估的問題。未來引入中國市場需要解決做市商交易制度的問題。
[Abstract]:From the pilot work of warrant in the past to the smooth operation of stock index futures at present China has made certain achievements in the development of financial derivatives and is studying and introducing new financial derivatives in the future. Bull bear card in the Hong Kong market has been launched for many years, and the response is good. In this paper, the nature, characteristics, design and hedging of bull and bear syndrome are studied based on the analysis of its mechanism. At the same time, by using B-S model as the pricing formula, the paper analyzes the characteristics of the Greek value of the bull bear card, and obtains the reasons for the better performance of the bull bear card. At the same time, it is pointed out that there is a financial cost trap in the design of the Bull and Bear products traded on the Hong Kong market, which needs to attract the attention of investors and regulators. This paper also analyzes the necessity and feasibility of introducing Bull Bear Card in the current market environment in China, and points out that the success of Bull Bear Card in Hong Kong is also applicable to the mainland of China. Finally, this paper studies the market supervision system and trading system arrangement of bull bear card, and points out the improvement of system supervision and transaction operation in the future, through the comparative analysis at home and abroad. Suggestions were made from both regulators and investors. The main conclusion of this paper is that the main advantage of bull bear syndrome is that its delta is close to 1, and it performs well in unilateral bull market or bear market, but there exists the problem of overstatement of financial cost in pricing. The future introduction of Chinese market needs to solve the problem of market maker trading system.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51

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本文編號：2129752