中国发展股指期货研究

©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(,100871):,,;,,,:;;:F121126:A:100025919(2003)0620046214:2003209215:(1945),,(),:(:7993006),,,,QFII,,,,,,,,,,,,,(indexfuture),,,,,(),,,;,,,,406200311()JournalofPekingUniversity(PhilosophyandSocialSciences)Vol.40,No.6Nov.2003©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.[1],,,11994-2001A1994199519961997199819992000200185%59%53%37%38%42%44%39%:,-,P92(%)261834152010231940:,19971021,,,(),,,;,,,,,,,,,,,,,,,31,,,,,(,),,41,,,,,,,,,,746:©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(),,11,,2002,1224,38329113,47736146,12484156,15550183,2002102398,GDP40%,,GDP48%,351172%,36%,,,,21,,,,,,,,,,,,54,19,1200,1000,4000,,6000,50%,,,31199010,,,,,,,,,84()2003©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(),:11,,,QFII,,,,,,,,,[2],,,21,,,,,,,,,,,,,[3],,,31,,,,180,,,,,,,,94,,6:©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.:3ValueLine198212124DAX1990111123S&P500198214121IPSA1990112AllOrdinaries198312116IBEX35199211114FT-SE10019841513ATX19921817TSE300198411116OBX19921914BOVESPA198612114BEL20199311012919861516MIB301994111128(SIMEX)Nikkei22519861913BSI199513131()SOE5019871619Maof251995110127()Nikkei22519881913KLCI1995112115()Topix19881913KOSPI200019961313BarclayShare198711PSI-20199617120OMX19871413RTS199713FOX19881512IBC19971915AEX1988110124WIG20199811116CAC40198811119199817121KFX198911217199917121ALLShare199014130FTSEPASE-20199918127SMI199011119:TheJournalofFuturesMarket,Vol.201No.7,P663,,,,,(),,,,,,,,,,,,,,(NYSE)(AMEX),,(NASDAQ),199105()2003©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(KCBT),,,197710,KCBT(CFTC)1979420,KCBTCFTC(ValueLineCompositeIndex,VLCI)1982224,KCBT,1982421,(CME)500;198256,(NYFE);1984723,(CBOT)1997106,,,1984,20%,90[4],(),,,,,,,,1980-1988,71154%58171%,,13199%16129%,2177%7105%,4192%5170%,2165%5194%,,,,,,,,()[5]:,80,(KSE)1989,(KOSPI,KoreaCompositeStockPriceIndex)1000,,KSE,,,,,,,,,,,,156:©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(),[4](HKFE)2070,,,,1986,HKFE,,,,,,198710198710,,,,,1198710204,,1026,40,26,3313%,20,6,,,,HKFE,:(1),,,,,,(2),,,:,(ReserveFund)(CompensationFund),,25()2003©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(3),1997912,HKFE(),,HKFE,,,HKFE1993,HKFE,CFTC19946HKFE(5717%),,(35%)78%,1315%,815%2002540,4018%(),,,,,,,SECCFTC,CFTC,,CFTC,CFTC,,199539,:SECCFTC;();,(),,,,:11,,,:,356:©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.[5]500(S&P500),2080,(CME)S&P500,;,(CBOT)90,:,S&P500500,30,,;,S&P500,,,,;,,10,;,1998,CMES&P500,S&P500,50Index,012512150,10Index,110100,,30,:,;;,30:;,;;A50%,[1],200271180,3018030180180,18050%,,,180,,,180,180,30,,180180,,,18045(SEC):;;()2003©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.:,1003716%4011%,;,10061%,43%,01187,0111365%10028,A3810;,,,100,;,,100,100,100,,180,,,100200300,,300,,A,300100200,,100200300,,10020030020%30%,100200300[1],,,,,,,,,,,,,,21,,,,,,,,,[6]31[7],55(SPI),,,6:©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(),,,,,,,,19965KOSPI200,,,,,8014%,12%,3%,1997,,2001,50%,60%,[8],,1P5,,50%,,,,()(FIA)1999,145,128,17;85%,,,,,,,,,,,,37,66,,,,65()2003©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.[9],,,,,,,,,,(),,,,2030,1986,,,(LIFFE)(SIB),SIB,(CFTC)1978,CFTC,1982,CFTC,(SEC),,75,,,,,,,,6:©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(),,,,,,,,,,,[10],,,,,,,,,,,199612,,,,,,,,,,,,,85,,43,()12,28%;16,37%;15,35%319966,;19983,;2000,,2002,2003,()2003©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.[][1].[M].:,20031[2].[M].:,19981[3].[M].:,19981[4].-[M].:,20031[5].[J].,2002,(7).[6].[M].:,20011[7].[M].:,20021[8].[M].:,20001[9]QUENTINC.CHUWEN2LIANGGIDONHSIEH,YIUMANTSE,PriceDiscoveryontheS&PIndexMarket:anAnalysisofSpotIndex,IndexFutures,andSpdrs[J].InternationalReviewofFinancialAnalysis8:1(1999)21-341[10]KEDRETHC.HOGAN,JRKENNETHF.KronerJahangirSultan,Programtrading,Nonprogramtrading,andMarketvolatility[J].TheJournalofFuturesMarketsVol.17,NO.7,733-758(1997).ResearchonIndexFutureMarketDevelopmentinChinaCAOFeng2qi,JIANGHua2dong(GuanghuaSchoolofManagement,PekingUniversity,Beijing100871,China)Abstract:ThecapitalmarketofChinaisdevelopingatarapidspeed,andon