牛熊证机理分析以及未来引入中国市场的思考

发布时间：2018-07-17 08:13

【摘要】：中国从过去的权证试点工作开始,到目前的股指期货的平稳运行,已经在金融衍生品的发展上取得一定的成绩,未来正研究推出新的金融衍生品。牛熊证在香港市场上己推出多年,并且反响良好。本文从牛熊证的机理分析出发,研究了牛熊证的本质、特点、设计与对冲的问题,对牛熊证进行了定性方面的研究。同时又借鉴国外的研究成果,利用B-S模型下牛熊证的定价公式,对牛熊证的希腊值特性进行了分析,得出了牛熊证表现较好的原因。同时指出,香港市场交易的牛熊证品种在设计上存在了财务费用陷阱的问题,需要引起投资者和监管者的关注。本文还分析了在中国目前的市场环境下推出牛熊证的必要性和可行性分析,指出牛熊证在香港取得成功也同样适用于中国内地。最后本文研究了牛熊证的市场监管体制和交易制度安排的问题,通过国内外对比分析,指出中国未来推出牛熊证在制度监管和交易运行方面所需的改进,从监管者和投资者两方面给予了建议。本文的主要结论是牛熊证主要优点是其delta接近1,在单边牛市或熊市下表现较好,但在定价中存在了财务费用高估的问题。未来引入中国市场需要解决做市商交易制度的问题。
[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.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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