指数产品创新研究(2001年8月).pdfVIP

上证联合研究计划第二期课题报告 指数产品创新研究 中信证券－上海财大联合课题组 课题主持：徐国祥 徐刚 课题组研究与协调人：上海证券交易所研究中心 傅浩 课题研究员：徐国祥 徐刚 檀向球 吴泽智 程伟庆 罗林 目 录 1 前 言 ·····························1 1.1 研究背景 ··························1 1.2 已有研究研究成果 ······················1 1.3 研究内容、方法 ·······················2 2 国际证券市场指数产品的发展 ···················4 2.1 指数产品的机理和类别 ····················4 2.1.1 指数产品的基本机理 ··················· 4 2.1.2 指数产品的基本类别 ··················· 5 2.2 国际证券市场若干指数产品的一般分析 ·············6 2.2.1 指数期货 ························ 6 2.2.2 指数期权 ························ 9 2.2.3 指数权证 ························10 2.2.4 指数存托凭证 ······················12 2.2.5 指数债券 ························15 2.2.6 指数存款 ························17 2.3 国际证券市场指数产品的结构特征和创新经验 ········· 17 2.3.1 指数产品的结构特征 ···················17 2.3.2 指数产品的创新经验 ···················18 3 上交所进行指数产品创新的可行性分析 ·············· 20 3.1 政策环境分析 ······················· 20 3.2 法律环境分析 ······················· 22 1 3.3 技术环境分析 ······················· 23 3.4 市场环境分析 ······················· 24 4 上海证券交易所指数产品创新策略 ················ 27 4.1 品种选择和时间顺序 ···················· 27 4.2 交易场所的选择 ······················ 28 4.2.1 指数期货和指数期权交易场所的选择 ············29 4.2.2 指数存托凭证交易场所的选择 ···············30 4.3 运作环节的具体建议 ···················· 30 4.3.1 成立指数服务公司 ····················30 4.3.2 指数期货的具体运作环节 ·················31 4.3.3 指数期权的具体运作环节 ·················46 4.3.4 指数存托凭证的具体运作环节 ···············48 参考文献 ···············································································