股指期权对相关市场投资者结构的影响分析  

How do index options affect investor structure? The case of KOSPI200 index options

作　　者：熊熊[1] 张宇[1] 张维[1,2] 张永杰[1] 

机构地区：[1]天津大学管理学院,天津300072 [2]天津财经大学,天津300222

出　　处：《证券市场导报》2009年第12期36-39,53,共5页Securities Market Herald

基　　金：教育部新世纪优秀人才支持计划项目(编号:NCET-07-0605);国家自然科学基金项目(编号:70971096;70801043);中国期货行业协会联合研究计划(编号:GT200702);天津社会科学基金(编号:TJ05-TJ003)

摘　　要：本文以韩国KOSPI200指数和KOSPI200指数期货为研究对象,使用正反馈模型对韩国KOSPI200股指期权推出后KOSPI200指数和KOSPI200指数期货的投资者结构的变动进行了研究。研究结果表明,引入股指期权增大了现货市场摩擦和非同步交易,也增加了现货市场中的正反馈交易者比重,但没有显著地削弱他们在股票价格形成过程中的影响,对于股指期货市场来说,股指期权推出以后正反馈交易行为并不明显。我国可能推出股指期权等金融衍生产品,本文的结论对于我国优化投资者结构和股指期权推出以后风险的防范提供了重要参考。How the introduction of stock index options will affect the securities market is much concerned by market participants. In this paper we choose Korean derivatives market as an example, analysis the impact of the launch of KOSPI200 index options. We applied the positive feedback model to analyze the changes of the investor structure and found that market frictions and non-synchronous trading in the spot market has become more and more significant because of information asymmetry and market failure, the proportion of positive feedback traders increase as well and their influence on the stock price formation is not considerably weakened. However, in futures market, the positive feedback effect is not significant. China will introduce financial derivatives such as stock index options soon. The findings in this paper would be important to the optimization of investors＇ structure and the risk prevention after the introduction of stock index options.

关 键 词：股指期权 投资者结构 投资者行为 

分 类 号：F832.51[经济管理—金融学] F830.9