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  本文選題：股指期貨　切入點(diǎn)：融資融券　出處：《浙江工商大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：長期以來我國股票市場只能做多,不能做空的單向交易機(jī)制嚴(yán)重制約了基金公司的風(fēng)險管理,也阻礙了基金公司的創(chuàng)新和發(fā)展。經(jīng)中國證監(jiān)會批準(zhǔn),2010年3月31日融資融券正式交易試點(diǎn),同年4月16日,滬深300期貨合約在中金所上市交易,這兩項業(yè)務(wù)的推出標(biāo)志著我國股票市場做空機(jī)制的形成。股指期貨和融資融券都屬于市場做空機(jī)制,對我國股票市場具有里程碑式的意義。對我國基金公司而言,做空機(jī)制的推出既是機(jī)遇又是挑戰(zhàn)。利用股指期貨和融資融券,基金公司可以派生出更加多樣化的投資策略,帶來有效的風(fēng)險管理和流動性管理手段,并引發(fā)國內(nèi)資產(chǎn)管理業(yè)整體格局的重大轉(zhuǎn)變。 本文在系統(tǒng)回顧做空機(jī)制對股票市場以及對基金行業(yè)影響的相關(guān)研究文獻(xiàn)基礎(chǔ)上,分別討論了股指期貨和融資融券對主動型股票基金和被動型指數(shù)基金這兩種投資風(fēng)格股票型基金的影響及程度,并結(jié)合我國股票市場的實(shí)際狀況對這兩種類型基金參與股指期貨和融資融券的狀況進(jìn)行了總結(jié)。在此基礎(chǔ)上,本文通過數(shù)據(jù)包絡(luò)分析(DEA)模型對這兩類基金在做空機(jī)制推出前后的績效進(jìn)行了研究對比,并結(jié)合Malmquist指數(shù)對做空機(jī)制推出后這兩類基金績效變化情況的原因進(jìn)行了探析。 文章發(fā)現(xiàn),在做空機(jī)制推出之后,被動型指數(shù)基金績效表現(xiàn)有了一定的提高,其中交易型指數(shù)基金(ETF)的績效狀況更是有了明顯的改善。產(chǎn)生這種變化的主要原因在于,做空機(jī)制推出后其規(guī)避市場下跌系統(tǒng)性風(fēng)險能力的提升以及風(fēng)險收益率的提高。相比之下,主動型股票基金在做空機(jī)制引入后的績效表現(xiàn)以及風(fēng)險管理能力方面的變化程度不高。由此可見,在我國股票市場做空機(jī)制推出初期,監(jiān)管層對參與做空有著比較嚴(yán)格的限制背景下,參與程度較低的主動型股票基金尚未有效利用新的雙邊交易機(jī)制,參與程度較高的被動型指數(shù)基金尤其是交易型指數(shù)基金(ETF)的績效以及風(fēng)險管理能力在做空機(jī)制推出后有了明顯提升。
[Abstract]:For a long time, the one-way trading mechanism of our stock market, which can only be long and not short, has seriously restricted the risk management of fund companies. It also hindered the innovation and development of fund companies. With the approval of the China Securities Regulatory Commission (CSRC), the formal trading of margin and short securities was carried out in March 31st 2010. In April 16th of the same year, the CSI 300 futures contract was listed and traded in CICC. The introduction of these two businesses marks the formation of the short-selling mechanism in China's stock market. Both stock index futures and margin trading belong to the short-selling mechanism of the market, which is of landmark significance to the stock market of our country. The introduction of short selling mechanism is both an opportunity and a challenge. By using stock index futures and margin financing, fund companies can derive more diversified investment strategies, resulting in effective risk management and liquidity management. And triggered a major change in the overall pattern of domestic asset management industry. Based on a systematic review of the effects of shorting mechanism on the stock market and the fund industry, This paper discusses the influence and degree of stock index futures and margin financing on the active stock fund and the passive index fund respectively. Combined with the actual situation of China's stock market, the paper summarizes the participation of these two types of funds in stock index futures and margin financing. Based on the data Envelopment Analysis (DEAA) model, this paper studies and compares the performance of these two types of funds before and after the short selling mechanism is launched, and analyzes the causes of the changes in the performance of these two types of funds after the introduction of the short selling mechanism in combination with the Malmquist index. It is found that the performance of passive index funds has been improved after the short selling mechanism was introduced, and the performance of the transaction index fund ETF has been improved obviously. The main reason for this change is that, After the introduction of the short selling mechanism, its ability to avoid the market falling systemic risk and the rate of return on risk are improved. The performance performance and risk management ability of the active stock funds after the introduction of the short-selling mechanism are not high. It can be seen that in the initial stage of the short selling mechanism in our stock market, Against the background of more stringent restrictions on participation in short selling, active equity funds with lower participation levels have not yet made effective use of the new bilateral trading mechanism. The performance and risk management ability of passive index funds with higher participation, especially the transaction index fund ETF, have been significantly improved after the short selling mechanism was launched.
【學(xué)位授予單位】：浙江工商大學(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：1626518