我国上市商业银行衍生金融工具交易量的决定性因素研究
发布时间：2019-07-03 10:01
【摘要】：上个世纪七八十年代以来,伴随着金融自由化进度的不断的深化,越来越多的金融技术的开发和应用,西方的银行业已经慢慢从传统吸收存款和发放贷款的业务中转型成功,转而做和非利息收入相关的银行业务,特别是衍生金融工具的使用,更是掀起了业务转型的浪潮,继而成为银行利润来源的重要组成部分。 在国内,随着市场化进程的不断发展的深化,商业银行之间的竞争也变的越来越激烈,一方面,我国商业的盈利模式发生了变化,单靠存贷利息差取得的利润的传统模式受到挑战,各大银行纷纷开始拓展自己的中间业务,这其中,衍生金融工具就起到了非常重要的作用,衍生金融工具展现出了非常强势的一面,另一方面,金融衍生品因为其高杠杆,复杂程度高的因素,其潜藏这巨大的危险,而且一些监管机构对于衍生金融工具的监管有一些力不从心。因此,为了提高中国商业银行的价值,增加银行盈利模式的种类,提升银行自身的竞争力,研究衍生金融工具是非常有必要的,而且研究银行衍生金融工具交易的决定因素有着非常深远的意义。 本文一开始介绍了金融衍生品的概念,介绍了衍生金融工具的风险理论、套期保值理论和投资收益不确定理论。对我国商业银行衍生金融工具的发展现状做了详细分析,分别描述了我国商业银行发展金融衍生工具的背景,我国商业银行金融衍生工具的现状以及我国商业银行发展衍生金融工具的制约因素,我国商业银行衍生金融工具交易的风险特征及风险传导等内容。对影响我国商业银行衍生品交易的决定因素做实证分析,以我国14家上市商业银行为研究对象,采用面板数据分析方法,以衍生金融工具的交易量为被解释变量,解释变量分别从资产变量指标、盈利能力指标、流动性指标、安全性指标、发展能力指标中选取,结合运用EXCEL和EVIEWS软件做回归分析,最终得出结论。 第一章,绪论,阐述了我国国内上市商业银行应用衍生金融工具的背景；介绍了国内外研究衍生品交易量决定因素的现状。然后介绍了论文的本篇文章创新点和不足点。 第二章,详细阐述了衍生金融产品的理论知识。本章第一节先对衍生金融工具和其业务进行了理论解释,先是介绍了一下全球金融创新的背景,后对传统金融工具和金融衍生工具做了对比,然后又介绍了金融衍生业务的发展和重要性,随后对商业银行衍生金融工具进行分类,主要分以下几个部分,利率期货、期权,外汇期货、期权,黄金期货,权益类期货、期权；第二节对衍生金融工具在商业银行经营中的重要性进行分析,主要从投机、交易和套期保值理论这三个方面对衍生金融工具的重要性做一个介绍；第三节对衍生金融工具的风险理论做了详细阐述其中主要是对银行衍生金融工具面临的操作风险,市场风险和信用风险做一个比较详细的阐述：第四节对衍生金融工具的套期保值理论进行了概述,先是阐述了衍生金融工具套期保值的动机,主要从对冲汇率风险,控制成本规避现货价格风险,投机等几个进行了说明,然后对衍生金融工具的套期保值财务风险的控制策略进行了说明,分别从规范期货业务流程,建设专业的套期保值团队,加强衍生金融工具的财务信息披露等几个方面论述。第五节论述了衍生金融工具的收益不确定理论。 第三章,主要概述了我国商业银行金融衍生工具的发展现状,第一节描述了我国商业银行发展衍生金融工具的背景,一开始先是对商业银行综合经营的大趋势进行描述,然后分别阐述了金融脱媒现象和利率市场化的问题；第二节对我国商业银行衍生金融业务的现状做了分析,先是描述了国内商业银行从事衍生品交易的历史和交易量,然后又对我国商业银行从事的衍生品的种类进行了分析；第三节提出了我国商业银行金融业务存在的问题,主要包括内部管理机制的不完善,关联公司公用一个保证金账户时可能产生的问题,缺乏定价能力和产品设计能力,缺乏人才,衍生工具应用领域狭窄,各地发展不平衡,监管机构设置不当,立法不够健全,信息披露不够规范等反面进行阐述；第三节探索性的论述了我国商业银行发展衍生金融业务的机遇和空间,先是介绍了国际衍生金融工具市场发展的趋势背景,又阐述了国际国内金融监管的完善对商业银行衍生品业务的开展提供了必要条件,后说明了商业银行为了增加收益和增强竞争力加强了对衍生金融工具的应用,后又阐述了因为市场风险的加大对衍生金融工具应用的必要性,最后说明了场内衍生金融工具的出现大大增强了衍生金融业务的市场条件。 第四章,对国内上市银行衍生品交易的决定因素的实证研究。第一节是对样本种类的选择和数据的来源进说明整理分析,文章一共选取了14家上市银行作为样本,金融衍生品交易数据主要来自于各大银行年报、金融时报、中国货币网、巨潮网2007-2011年公布的年度数据；第二节是对变量的设定,本文从五个方面选取变量：资产变量指标、盈利能力指标、流动性指标、安全性指标、发展能力指标,其中资产变量指标是银行总资产,流动性指标包括资产负债率,盈利变量包括,加权平均净资产收益率,成本收入率,资产利润率,安全性指标包括,资本充足率、不良贷款率,发展能力指标包括税后利润增长率；第三节,模型的设定采用面板数据模型；第四节对数据进行面板数据分析,从分析结果中得出结论如下：国内上市银行衍生金融工具交易量主要受到1.资产变量指标：银行总资产2.安全性指标：资产负债率资本充足率3.盈利能力指标：加权平均净资产收益率4.发展能力指标：税后利润增长率的影响,其中银行资产总量、税后利润增长率、加权平均净资产收益率对衍生金融工具的交易量呈现正相关的促进作用,其他几个变量呈现负相关的促进作用。国内上市银行利率衍生金融工具交易量主要受到1.资产变量指标：银行总资产2.安全性指标：资产负债率3.发展能力指标：税后利润增长率的影响,其中资产总量,税后利润增长率对利率衍生金融工具呈现正相关促进作用,其他变量呈现负相关促进作用。 第五章,结论、建议和展望。第一节对核心思想进行总结阐述,第二节提出政策建议,第三节对银行业衍生金融工具未来的发展做出展望。 文章的创新点：1.由于中国衍生金融工具市场发展相对落后,市场数据披露不多,对于国内衍生金融工具交易的决定因素更是鲜有涉及,本文选自14家国内上市银行作为研究对象,运用截面数据分析方法,对国内衍生品交易的决定因素进行分析,在题目选择上是创新的。2.文章研究内容所涉及的因素更加合理,国外文献中关于衍生金融工具交易的研究方向比较单一,或是单对风险,或是对收益绩效,得出的结论也是比较局限的,本文分别从资产变量的影响、公司盈利能力变量的因素、公司财务杠杆变量这几方面全面寻找对衍生品交易产生影响的因素,内容比较完整。
[Abstract]:Since the seventies of the last century, with the deepening of the progress of financial liberalization and the development and application of more and more financial technology, the western banking industry has gradually transformed from the traditional business of absorbing deposits and loans, In turn, the use of financial instruments related to non-interest income, especially the use of derivative financial instruments, has set off a wave of business transformation, and then becomes an important part of the source of bank profits. In the country, with the deepening of the development of the market-oriented process, the competition between the commercial banks is becoming more and more intense. On the one hand, the profit model of the business of our country has changed, and the traditional model of the profit obtained by the difference of the deposit and loan interest alone is selected The major banks are beginning to expand their intermediate business, which has played a very important role in the derivatives of financial instruments and, on the other hand, financial derivatives because of their high leverage and high complexity It's a great danger, and some regulators don't have some leverage on the regulation of derivative financial instruments Therefore, in order to increase the value of the Chinese commercial bank, to increase the type of the bank's profit model, to improve the competitiveness of the bank itself, it is necessary to study the derivative financial instruments, and it is very far-reaching to study the determinants of the transaction of the bank-derived financial instruments. In this paper, the concept of financial derivatives is introduced, and the risk theory, hedging theory and investment income of derivative financial instruments are introduced. The paper makes a detailed analysis of the present situation of the development of the derivative financial instruments of China's commercial banks, and describes the background of the development of the financial derivatives, the present situation of the financial derivatives of the commercial banks of our country and the system of the development of the derivative financial instruments of the commercial banks in our country. The Risk Characteristics and the Risk Transmission of the Transaction of the Derivative Financial Instruments of Commercial Banks in China Based on the empirical analysis of the determinants of the derivatives trading in China's commercial banks, the paper takes 14 listed commercial banks of our country as the research objects, and uses the panel data analysis method. The trading volume of the derivative financial instruments is explained as the explanatory variable, and the explanatory variables are changed from the asset to the other. The quantitative index, the profitability index, the liquidity index, the safety index and the development ability index are selected, and the regression analysis is performed in combination with the EXCEL and the EVIWS software, and the final result The first chapter, the introduction, expounds the background of the application of derivative financial instruments in China's domestic market-listed commercial banks, and introduces the determination of the trading volume of the derivatives at home and abroad. The present situation of the factors is introduced, and the article is introduced in this paper. Points and underpoints. Chapter II, elaborates on the derivative finance The first part of this chapter first introduces the background of the global financial innovation, then compares the traditional financial instruments and the financial derivatives, and then introduces the financial derivative business. The development and importance of the derivative financial instruments of commercial banks are classified mainly by the following parts: interest rate futures, options, foreign exchange futures, options, gold futures, equity futures and options; and the second section of the derivative financial instruments in the operation of commercial banks This paper analyzes the importance of derivative financial instruments, mainly from the three aspects of the theory of speculation, trading and hedging. The operating risk, market risk and credit risk of derivative financial instruments are described in detail: the fourth section provides an overview of the hedging theory of derivative financial instruments, first, the motivation of the hedging of derivative financial instruments is described, mainly from the risk of the hedging exchange rate and the control cost rules. In order to avoid the risk of spot price, speculation and so on, the control strategy of the financial risk of the hedging of derivative financial instruments is described, and the financial information disclosure of derivative financial instruments is enhanced from the standard futures business process, the construction of the professional hedging team and the strengthening of the derivative financial instruments, respectively. In section V, the paper discusses the derivative financial instruments. The third chapter mainly summarizes the development of the financial derivatives of commercial banks in China. The first section describes the background of China's commercial banks' development of derivative financial instruments. In the second section, the paper analyzes the present situation of China's commercial bank-derived financial business, first, it describes the domestic commercial banks' work on the derivatives The paper analyses the history and trading volume of the transaction, and then analyzes the types of the derivatives of the commercial bank of our country. The third part puts forward the problems of the financial business of the commercial bank of our country, mainly including the imperfect of the internal management mechanism and the public deposit account of the related company. Possible problems in households, lack of pricing power and product design capacity, lack of talent, narrow application area of derivative instruments, unbalanced development of various parts, improper arrangement of regulatory authorities, inadequate legislation and insufficient information disclosure In the third section, the paper discusses the opportunity and space of China's commercial bank's development and derivative financial business, first introduces the trend background of the development of the international derivative financial instrument market, and expounds the perfection of the international domestic financial supervision to the commercial bank's derivative business. The necessary conditions are provided, and then the application of the commercial bank to the derivative financial instruments has been strengthened in order to increase the income and enhance the competitiveness. The necessity of the application of the financial tools, and finally, the emergence of the derivative financial instruments in the field has greatly enhanced the derivation The market conditions of the financial business. Chapter four, the exchange of derivatives of domestic listed banks The first part is the analysis of the choice of the sample kind and the source of the data. The paper selects 14 listed banks as the sample, and the data of the financial derivatives mainly comes from the annual report of the major banks, the financial times, the Chinese currency network and the giant tide network 2007-2. The first section is the annual data published in 011. The second section is the setting of the variable. The variable is selected from five aspects: the asset variable index, the profitability index, the liquidity index, the safety index and the development ability index, in which the asset variable index is the total assets, the flow of the bank, The mobility index includes the asset-liability ratio, the profit variable includes, the weighted average net assets yield, the cost income rate, the asset profit rate, the security index including, the capital adequacy ratio, the non-performing loan rate, the development ability index including the after-tax profit growth rate, the third section, the model, The panel data model is adopted for setting the data, and the data is analyzed by panel data analysis in the fourth section, and the result of the analysis is as follows: the domestic market-listed bank-derived gold The trading volume of the melting tool is mainly affected by 1. Assets Variable index: total assets of bank 2. Safety index: Asset-liability ratio capital adequacy ratio 3. Profitability index: Weighted average net assets yield 4. Development capacity index: the effect of the rate of after-tax profit growth, in which the total amount of the bank assets, the rate of after-tax profit growth, the weighted average net assets yield have a positive effect on the trading volume of the derivative financial instruments, and the other several changes The promotion of negative correlation between domestic market-listed bank interest rate and domestic market-listed bank interest rate The trading volume of the melting tool is mainly affected by 1. Assets Variable index: total assets of the bank: 2.an Total sex index: debt-liability ratio 3. Development capacity index: the effect of after-tax profit growth rate, in which total assets and after-tax profit growth rate have positive correlation to interest rate derivative financial instruments, and others There was a negative correlation between the two variables. Chapter 5, conclusions, suggestions and prospects. The first section summarizes the core ideas, section II puts forward the policy suggestions, and the third section is derived from the banking industry. The Future Development of Financial Instruments The innovation point of the article is:1. Since the development of China's derivative financial instruments is relatively backward, the market data is not much disclosed, and the decision factors for the domestic derivative financial instruments transaction are very few, and this paper is selected from 14 domestic listed banks The study object, using the method of cross-section data analysis, carries on the decision factors of the domestic derivative trade In this paper, the author makes an analysis on the selection of the subject.2. The factors involved in the study are more reasonable, the research direction of the foreign literature on the transaction of derivative financial instruments is single, or the risk, or the performance of the income, the conclusion is also the comparison bureau. At the same time, the paper, from the influence of the asset variables, the factors of the company's profitability, and the financial leverage of the company, is to find the derivatives in a comprehensive way.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33;F832.5
本文编号：2509296
[Abstract]:Since the seventies of the last century, with the deepening of the progress of financial liberalization and the development and application of more and more financial technology, the western banking industry has gradually transformed from the traditional business of absorbing deposits and loans, In turn, the use of financial instruments related to non-interest income, especially the use of derivative financial instruments, has set off a wave of business transformation, and then becomes an important part of the source of bank profits. In the country, with the deepening of the development of the market-oriented process, the competition between the commercial banks is becoming more and more intense. On the one hand, the profit model of the business of our country has changed, and the traditional model of the profit obtained by the difference of the deposit and loan interest alone is selected The major banks are beginning to expand their intermediate business, which has played a very important role in the derivatives of financial instruments and, on the other hand, financial derivatives because of their high leverage and high complexity It's a great danger, and some regulators don't have some leverage on the regulation of derivative financial instruments Therefore, in order to increase the value of the Chinese commercial bank, to increase the type of the bank's profit model, to improve the competitiveness of the bank itself, it is necessary to study the derivative financial instruments, and it is very far-reaching to study the determinants of the transaction of the bank-derived financial instruments. In this paper, the concept of financial derivatives is introduced, and the risk theory, hedging theory and investment income of derivative financial instruments are introduced. The paper makes a detailed analysis of the present situation of the development of the derivative financial instruments of China's commercial banks, and describes the background of the development of the financial derivatives, the present situation of the financial derivatives of the commercial banks of our country and the system of the development of the derivative financial instruments of the commercial banks in our country. The Risk Characteristics and the Risk Transmission of the Transaction of the Derivative Financial Instruments of Commercial Banks in China Based on the empirical analysis of the determinants of the derivatives trading in China's commercial banks, the paper takes 14 listed commercial banks of our country as the research objects, and uses the panel data analysis method. The trading volume of the derivative financial instruments is explained as the explanatory variable, and the explanatory variables are changed from the asset to the other. The quantitative index, the profitability index, the liquidity index, the safety index and the development ability index are selected, and the regression analysis is performed in combination with the EXCEL and the EVIWS software, and the final result The first chapter, the introduction, expounds the background of the application of derivative financial instruments in China's domestic market-listed commercial banks, and introduces the determination of the trading volume of the derivatives at home and abroad. The present situation of the factors is introduced, and the article is introduced in this paper. Points and underpoints. Chapter II, elaborates on the derivative finance The first part of this chapter first introduces the background of the global financial innovation, then compares the traditional financial instruments and the financial derivatives, and then introduces the financial derivative business. The development and importance of the derivative financial instruments of commercial banks are classified mainly by the following parts: interest rate futures, options, foreign exchange futures, options, gold futures, equity futures and options; and the second section of the derivative financial instruments in the operation of commercial banks This paper analyzes the importance of derivative financial instruments, mainly from the three aspects of the theory of speculation, trading and hedging. The operating risk, market risk and credit risk of derivative financial instruments are described in detail: the fourth section provides an overview of the hedging theory of derivative financial instruments, first, the motivation of the hedging of derivative financial instruments is described, mainly from the risk of the hedging exchange rate and the control cost rules. In order to avoid the risk of spot price, speculation and so on, the control strategy of the financial risk of the hedging of derivative financial instruments is described, and the financial information disclosure of derivative financial instruments is enhanced from the standard futures business process, the construction of the professional hedging team and the strengthening of the derivative financial instruments, respectively. In section V, the paper discusses the derivative financial instruments. The third chapter mainly summarizes the development of the financial derivatives of commercial banks in China. The first section describes the background of China's commercial banks' development of derivative financial instruments. In the second section, the paper analyzes the present situation of China's commercial bank-derived financial business, first, it describes the domestic commercial banks' work on the derivatives The paper analyses the history and trading volume of the transaction, and then analyzes the types of the derivatives of the commercial bank of our country. The third part puts forward the problems of the financial business of the commercial bank of our country, mainly including the imperfect of the internal management mechanism and the public deposit account of the related company. Possible problems in households, lack of pricing power and product design capacity, lack of talent, narrow application area of derivative instruments, unbalanced development of various parts, improper arrangement of regulatory authorities, inadequate legislation and insufficient information disclosure In the third section, the paper discusses the opportunity and space of China's commercial bank's development and derivative financial business, first introduces the trend background of the development of the international derivative financial instrument market, and expounds the perfection of the international domestic financial supervision to the commercial bank's derivative business. The necessary conditions are provided, and then the application of the commercial bank to the derivative financial instruments has been strengthened in order to increase the income and enhance the competitiveness. The necessity of the application of the financial tools, and finally, the emergence of the derivative financial instruments in the field has greatly enhanced the derivation The market conditions of the financial business. Chapter four, the exchange of derivatives of domestic listed banks The first part is the analysis of the choice of the sample kind and the source of the data. The paper selects 14 listed banks as the sample, and the data of the financial derivatives mainly comes from the annual report of the major banks, the financial times, the Chinese currency network and the giant tide network 2007-2. The first section is the annual data published in 011. The second section is the setting of the variable. The variable is selected from five aspects: the asset variable index, the profitability index, the liquidity index, the safety index and the development ability index, in which the asset variable index is the total assets, the flow of the bank, The mobility index includes the asset-liability ratio, the profit variable includes, the weighted average net assets yield, the cost income rate, the asset profit rate, the security index including, the capital adequacy ratio, the non-performing loan rate, the development ability index including the after-tax profit growth rate, the third section, the model, The panel data model is adopted for setting the data, and the data is analyzed by panel data analysis in the fourth section, and the result of the analysis is as follows: the domestic market-listed bank-derived gold The trading volume of the melting tool is mainly affected by 1. Assets Variable index: total assets of bank 2. Safety index: Asset-liability ratio capital adequacy ratio 3. Profitability index: Weighted average net assets yield 4. Development capacity index: the effect of the rate of after-tax profit growth, in which the total amount of the bank assets, the rate of after-tax profit growth, the weighted average net assets yield have a positive effect on the trading volume of the derivative financial instruments, and the other several changes The promotion of negative correlation between domestic market-listed bank interest rate and domestic market-listed bank interest rate The trading volume of the melting tool is mainly affected by 1. Assets Variable index: total assets of the bank: 2.an Total sex index: debt-liability ratio 3. Development capacity index: the effect of after-tax profit growth rate, in which total assets and after-tax profit growth rate have positive correlation to interest rate derivative financial instruments, and others There was a negative correlation between the two variables. Chapter 5, conclusions, suggestions and prospects. The first section summarizes the core ideas, section II puts forward the policy suggestions, and the third section is derived from the banking industry. The Future Development of Financial Instruments The innovation point of the article is:1. Since the development of China's derivative financial instruments is relatively backward, the market data is not much disclosed, and the decision factors for the domestic derivative financial instruments transaction are very few, and this paper is selected from 14 domestic listed banks The study object, using the method of cross-section data analysis, carries on the decision factors of the domestic derivative trade In this paper, the author makes an analysis on the selection of the subject.2. The factors involved in the study are more reasonable, the research direction of the foreign literature on the transaction of derivative financial instruments is single, or the risk, or the performance of the income, the conclusion is also the comparison bureau. At the same time, the paper, from the influence of the asset variables, the factors of the company's profitability, and the financial leverage of the company, is to find the derivatives in a comprehensive way.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33;F832.5
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