论衍生产品使香港地区股市走上健康发展之路--兼论对冲基金对股市的作用  

Derivatives Help HongKong Stock Market back on Health Track

作　　者：骆惠南 李作为[2] 

机构地区：[1]香港工商东亚证券有限公司客户经理 [2]香港中文大学统计学家

出　　处：《国际金融研究》2008年第1期52-61,共10页Studies of International Finance

摘　　要：本文研究对冲基金在衍生产品(主要是认股权证)提供的高效率低成本套利工具的条件下,如何使香港地区股市以往长时间累积的系统风险分散到各个时段,使股市的长期(年度)波幅变小,短期(月份)波幅变得均匀。犹如在股市这个大系统下加入一个负反馈回路,使原来只有正反馈回路、很容易进入震荡状态、失去控制的股市,变成稳定运行的系统,避免泡沫的产生,达到提高市场效率的目的。此外,我们以香港地区股市(恒生指数为主)波动为实证数据进行分析,其结果证实了上面的结论。This article studies how the hedge funds, armed with high efficiency low cost arbitrage tool of derivative products （mainly the warrants） , distribute systematic risk which accumulated over a long time along different time span, narrowing both long-term and short-term volatility. It just likes inserting a negative feedback return route into such a huge stock market system, turning a would-be positive feedback return route which is highly volatile and easily out of control, into a stable system without bubbles, and market efficiency is therefore enhanced. In the article, the author analyzed the volatility of HongKong stock markets （the Hengseng index primarily） , and verified the aforementioned conclusion.

关 键 词：对冲基金 认股权证 股市波幅 

分 类 号：F831[经济管理—金融学]