中国股指期货保证金制度绩效评估研究

发布时间：2018-04-23 07:51

本文选题：中国 + 股指期货　；参考：《广西大学》2013年硕士论文

【摘要】：沪深300股指期货为我国资本市场带来了一场崭新的革命,将期货市场发展延伸至高级形态的金融期货阶段,但股指期货市场又有别于一般的商品期货市场,其虚拟性、多变性、传导性等特点都使得这个市场弥漫较大的流动性风险及价格波动风险。保证金制度作为最基本的股指期货风险管理制度,杠杆绩效是其最原始的市场流动性配置功能,用以评价促进市场活跃度；同时市场价格波动风险更是保证金制度设计中极需要重点考量的,保护绩效要求保证金必须要满足覆盖99%的价格波动风险,并维护市场交易在短期的连续交易日内顺利进行。本文首先介绍关于股指期货保证金制度绩效评估的相关核心理论,为绩效评估提供理论依据；其次详细介绍发达国家或地区的股指期货保证金制度绩效评估经验,从构建绩效管理评价体系与完善保证金制度设计两方面寻找启示,为建立符合我国股指期货市场发展阶段的保证金制度绩效评估体系开拓思路；重点分析保证金制度绩效评估体系设计的原则与难点,将保证金制度的绩效评估分为杠杆绩效与保护绩效,分别评估保证金在调节市场流动性与维护市场稳定度两大功能中的发挥程度,建立多指标组成的绩效评估体系,运用近三年来的交易数据进行指标值的计算与评价,分别采用比较法与GARCH-VaR法对双绩效进行实证评估,力求全面准确的对保证金制度的运行情况进行合理测评,找出制度设计中的不足与风险点,通过实证评估发现中国股指期货保证金制度在杠杆绩效上能较为充分地调动市场积极情绪,但在保护绩效方面还存在着保证金水平调整幅度随意性较大、设置水平较为保守、追加技术使用效率略低、设置收取方式笼统等缺陷；针对存在的问题,本文从以下四个方面对进一步完善保证金制度提出建设性对策及意见：其一,建立保证金水平合理调整评估体系,即包括调整前市场需求评估、调整中保证金水平估计、调整后市场反馈情绪三个阶段的不同侧重评估过程设计；其二,制定动态盘中盯市制度,即提出在早市结束时启动一次保证金结算程序检查各账户保证金结余情况,将风险尽早隔离在更早阶段的初步构想；其三,提高清算中心追加跟踪技术,即在降低交易保证金的建立下启动追加保证金技术措施对保证金制度进行风险弥补,提升清算中心与期货公司的保证金追加跟踪利用率；其四,建立以市场价格波动为基数的前后端保证金收取模式,即建议中国金融期货交易所及中国保证金监控中心开发前后端保证金电子计算程序,将保证金的计量拆分为前后台运行,提高期货公司与投资者对保证金充盈度的关注热情与参与度,优化保证金水平设置的收取模式。
[Abstract]:Shanghai and Shenzhen 300 stock index futures have brought a new revolution to the capital market of our country, which extends the futures market to the advanced form of financial futures stage, but the stock index futures market is different from the general commodity futures market, which is fictitious and variable. Conductivity and other characteristics make this market permeated with greater liquidity risk and price volatility risk. Margin system as the most basic stock index futures risk management system, leverage performance is its original market liquidity allocation function, used to evaluate the promotion of market activity; At the same time, the risk of market price fluctuation is the most important consideration in the design of margin system. To protect the performance, the margin must cover 99% of the risk of price fluctuation, and maintain the market transactions in a short period of consecutive trading days smoothly. This paper first introduces the relevant core theories on the performance evaluation of stock index futures margin system to provide the theoretical basis for performance evaluation, and then introduces the performance evaluation experience of stock index futures margin system in developed countries or regions in detail. From the two aspects of constructing the performance management evaluation system and perfecting the design of the margin system, the author tries to explore new ideas for establishing the performance evaluation system of the margin system in line with the development stage of the stock index futures market in China. The paper mainly analyzes the principles and difficulties of designing the performance evaluation system of margin system, and divides the performance evaluation of margin system into leverage performance and protection performance. The performance of margin in regulating market liquidity and maintaining market stability is evaluated, and a multi-index performance evaluation system is established. The index value is calculated and evaluated by using the transaction data in the past three years. The comparative method and GARCH-VaR method are used to evaluate the double performance in order to evaluate the operation of the margin system comprehensively and accurately, and find out the deficiency and risk point in the system design. Through empirical evaluation, it is found that China's stock index futures margin system can fully mobilize market positive emotions in terms of leverage performance, but in terms of protection performance, margin level adjustment is arbitrary and the setting level is more conservative. In view of the existing problems, this paper puts forward constructive countermeasures and suggestions to further improve the margin system from the following four aspects: first, Establish a reasonable margin level adjustment evaluation system, that is, including the assessment of market demand before adjustment, margin level estimation in the adjustment, market feedback after the adjustment of the three stages of different emphasis on evaluation process design; second, To develop a dynamic intraday market targeting system, that is, to initiate a margin settlement procedure at the end of the morning market to check the margin balances of each account, and to isolate the risk at an earlier stage as soon as possible; third, To improve the supplementary tracking technology of clearing center, that is to start the technical measures to make up the risk of margin system under the establishment of reducing the trading margin, and to improve the utilization ratio of margin supplementary tracking between clearing center and futures company; fourth, A model of margin collection based on market price fluctuation is established. It is suggested that the China Financial Futures Exchange and the China margin Monitoring Center should develop the electronic calculation program of margin before and after, and divide the measurement of margin into the front and back running. Improve the interest and participation of futures companies and investors in margin filling and optimize the collection mode of margin level setting.
【学位授予单位】：广西大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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