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  本文關(guān)鍵詞：論我國國債期貨的合約設(shè)計框架　出處：《西南財經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 國債期貨 合約設(shè)計 套利 投機(jī)

【摘要】：20世紀(jì)70年代以來,國際金融市場發(fā)生了重大變革,金融市場全球化、金融自由化、金融資產(chǎn)證券化成為這一時期的主要特點(diǎn)。與此相對應(yīng),大量復(fù)雜的金融工具被創(chuàng)造出來,國債期貨正是其中最具代表性的一種,并獲得了空前的成功,成為當(dāng)時世界上交易量最大的一個金融合約。 我國在20世紀(jì)90年代初曾進(jìn)行過國債期貨交易的試點(diǎn),但由于多方面因素,導(dǎo)致交易進(jìn)行僅兩年半就被暫停。17年來我國經(jīng)濟(jì)金融環(huán)境發(fā)生了較大變化,我國已經(jīng)具備恢復(fù)國債期貨交易的必要性和可行性,探討相關(guān)問題具有重要的理論意義和現(xiàn)實(shí)意義。而合約設(shè)計是恢復(fù)和發(fā)展國債期貨交易的重要內(nèi)容之一,對其研究有著重要的意義。 本文先分析我國曾經(jīng)國債期貨交易試點(diǎn)失敗的原因,其中合約設(shè)計不合理是我國國債期貨交易試點(diǎn)失敗的重要原因,具體而言,主要是標(biāo)的資產(chǎn)單一且發(fā)行量太小、保證金水平設(shè)置不合理且執(zhí)行不嚴(yán)格、漲跌幅制度不完善以及持倉控制制度形同虛設(shè)等幾個方面,然后分析國債期貨合約在標(biāo)的資產(chǎn)、保證金制度、漲跌幅制度及持倉控制制度設(shè)置的經(jīng)濟(jì)原因,再借鑒發(fā)達(dá)市場的成功合約設(shè)計經(jīng)驗(yàn),總結(jié)國內(nèi)國債期貨試點(diǎn)失敗的教訓(xùn),提出我國國債期貨合約設(shè)計方案。最后,我們發(fā)現(xiàn),中國金融期貨研究所正在進(jìn)行的國債期貨仿真交易的合約設(shè)計與我們的方案具有一致性。此外,我們討論了目前通行的轉(zhuǎn)換因子系統(tǒng)(CFS)的合理性,認(rèn)為采用真正名義債券系統(tǒng)(TNBS)可能更有利于防止市場操控,促進(jìn)市場的發(fā)展。
[Abstract]:Since 1970s, great changes have taken place in the international financial market. Globalization of financial market, financial liberalization and securitization of financial assets have become the main characteristics of this period. A large number of complex financial instruments have been created, and Treasury futures is one of the most representative of them, and has achieved unprecedented success, becoming the largest financial contract in the world at that time. In 1990s, our country carried out the experiment of treasury bond futures trading, but due to many factors. The transaction has been suspended for only two and a half years. In the past 17 years, the economic and financial environment of our country has changed greatly, and our country already has the necessity and feasibility of restoring the treasury bond futures trading. It is of great theoretical and practical significance to discuss the related problems, and the contract design is one of the important contents in the recovery and development of treasury bond futures trading, and the research on it is of great significance. This paper first analyzes the reasons for the failure of the national debt futures trading pilot in China, in which the unreasonable contract design is an important reason for the failure of the national debt futures trading pilot, specifically speaking. It is mainly that the underlying assets are single and the circulation is too small, the setting of margin level is unreasonable and the execution is not strict, the system of fluctuation and decline is not perfect, and the control system of holding positions is empty and so on. Then it analyzes the economic reasons of the setting of treasury bond futures contract in the underlying assets, margin system, fluctuation system and position control system, and then draws lessons from the successful contract design experience of developed markets. This paper summarizes the lessons of the failure of the domestic treasury bond futures pilot, and puts forward the design scheme of our country's treasury bond futures contract. Finally, we find out. The contract design of treasury bond futures simulation trading in China Financial Futures Research Institute is consistent with our scheme. In addition, we discuss the rationality of the commonly used conversion factor system (CFS). It is suggested that the use of the real nominal bond system (TNBS) may be more conducive to preventing market manipulation and promoting the development of the market.
【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

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本文編號：1415920