論滬深300指數期貨個人投資者風險管理----畢業(yè)論文

2008屆本科畢業(yè)論文（設計）論文題目論滬深300指數期貨個人投資者風險管理學生姓名所在學院電子商務學院專業(yè)財務管理學號指導教師成績2008年4月XXX大學本科畢業(yè)論文（設計）原創(chuàng)性及知識產權聲明本人鄭重聲明所呈交的畢業(yè)論文（設計）是本人在導師的指導下取得的成果。對本論文（設計）的研究做出重要貢獻的個人和集體，均已在文中以明確方式標明。因本畢業(yè)論文（設計）引起的法律結果完全由本人承擔。本畢業(yè)論文（設計）成果歸XXX大學所有。特此聲明。畢業(yè)論文（設計）作者簽名作者專業(yè)財務管理作者學號_年_月_日XXX大學本科學生畢業(yè)論文（設計）開題報告表A1A0A3A4A5A6A7A2A9A8300A11A10A12A13A14A15A16A17A18A19A20A21A22A1A0A3A4A5A6A24A23A26A25A1A0A3A4A5A6A28A27AA22A1A29A30A32A33A34A31A35A7A34A37A38A39A40A36A21A22A41A42A43A44A42A43A44A45A45A46A47A48A49A31A50A51A52A53A54A55A56A57A58A59A60A61A62A63A19A20A64A65A57A55A31A66A67A68A69A70A71A49A31A50A51A52A72A46A57A73A74A19A20A75A76A77A78A79A80A81A82A83A9A8A84A85A85A11A10A12A13A57A86A87A88A89A60A90A91A12A13A92A93A94A19A20A57A95A50A24A96A97A98A19A20A99A100A101A31A72A102A100A103A88A89A57A104A105A78A46A75A106A77A107A49A31A50A57A108A109A110A111A112A113A114A19A20A60A106A115A11A12A13A57A19A20A116A117A51A52A19A20A60A118A119A19A20A3A120A121A19A20A6A60A122A123A124A19A20A60A125A77A122A19A20A60A126A127A19A20A60A128A129A19A20A102A130A131A19A20A75A132A133A134A76A125A77A122A19A20A135A11A136A16A17A18A137A128A138A59A139A140A17A77A141A142A143A144A102A145A146A115A11A12A13A147A148A57A149A150A77A151A152A57A19A20A75A110A61A14A88A89A15A57A153A154A24A96A90A91A125A77A122A19A20A57A21A22A68A155A156A125A46A143A157A158A159A102A146A157A158A159A76A60A134A76A160A161A138A9A8A84A85A85A11A10A12A13A57A19A20A97A98A98A154A76A57A149A150A77A98A154A60A162A98A163A157A102A162A98A164A157A98A154A75A133A165A166A22A167A168A88A89A57A125A77A122A110A160A169A100A170A171A172A173A174A175A176A177A66A160A178A101A51A52A57A179A180A181A123A106A167A182A183A184A12A185A186A187A57A188A189A75A106A190A191A19A20A135A192A91A92A14A77A107A95A50A108A109A111A112A57A60A136A134A193A71A51A52A194A195A160A169A100A196A197A51A52A57A61A198A199A200A19A20A75A58A59A90A91A14A15A16A17A18A102A201A202A78A189A203A57A19A20A204A154A60A28A27A102A97A98A21A22A19A20A57A182A205A206A138A131A207A135A167A58A57A75A208A91A29A30A201A202A19A20A21A22A131A207A57A57A209A210A124A206A138A90A14A15A16A17A18A106A211A19A20A97A98A57A212A151A124A60A213A25A214A29A30A215A90A14A15A16A17A18A92A61A153A216A46A217A218A16A17A9A8A84A85A85A11A10A12A13A57A219A204A76A78A151A220A155A57A19A20A60A21A22A97A98A19A20A57A131A207A221A75A222A77A107A49A31A50A57A19A20A223A115A224A11A10A12A13A57A19A20A220A155A60A225A194A111A156A226A227A76A228A193A71A57A9A8A84A85A85A11A10A12A13A57A19A20A229A230A102A19A20A97A98A98A154A60A231A106A222A14A15A16A17A18A57A153A154A232A233A222A16A17A18A234A22A60A51A52A88A89A235A236A60A17A77A21A22A60A237A238A239A240A241A242A243A244A245A246A247A248A249A250A251A252A253A254A255A248A236A242A0A1A237A238A2A3A4A5A6A7A8A9A10A244A53A11A1A12A13A71A14A15A16A17A15A16A241A242A18A19A20A6A111A21A18A22A244A7A8A23A24A1A245A246A25A26A26A27A244A28A29A251A4A5A202A248A236A30A31A251A82A32A7A8A84A33A34A7A8A244A35A36A37A38A39A251A6A86A40A80A41A41A21A42A18A22A43A44A45A46A47A245A246A247A248A244A248A236A242A0A1A237A238A9A10A76A48A12A13A1A49A50A71A46A51A52A54A55A147A56A57A39A58A59A60A61A62A156A244A18A22A202A61A46A63A64A65A66A67A251A37A47A68A100A30A31A244A69A70A251A58A72A195A100A73A111A74A21A42A18A22A7A8A244A75A77A1A78A187A251A4A5A79A43A18A22A81A83A244A100A73A82A32A7A8A1A41A85A87A172A88A189A253A89A244A68A100A30A31A49A50A1A90A91A241A71A92A96A236A69A93A147A94A46A51A52A54A1A95A97A69A70A98A99A251A222A89A101A94A82A32A7A8A39A102A10A1A33A103A251A104A164A105A106A129A107A41A85A87A87A108A172A88A189A253A111A74A21A42A7A8A251A19A20A35A36A1A37A38A33A34A244A7A8A1A109A33A244A246A110A112A113A114A105A252A253A115A116A117A118A33A119A244A237A238A2A3A1A248A236A53A11A71A120A121A122A123A124A125A126A127A128A130A131A121A122A124A125A126A127A131A132A132A133A41A41A134A87A135A133A136A80A135A137A241A92A96A69A70A138A187A139A140A61A141A239A244A142A48A251A90A91A143A133A41A41A85A87A80A136A144A137A145A241A92A96A140A61A141A239A244A146A148A141A239A133A41A41A85A87A80A136A135A80A137A145A241A92A96A140A61A236A69A149A150A133A41A41A85A87A151A136A133A41A137A145A241A236A69A152A153A139A141A239A96A107A143A21A154A66A155A157A158A241A137A18A241A236A69A139A141A239A143A159A160A241AA248A236A30A31A161BA162A163A30A31A161CA165A166A141A239A241A161摘要股指期貨作為當前國際金融市場最具活力的衍生產品之一，因其具有價格發(fā)現、規(guī)避風險和資產配置等功能，被譽為二十世紀”最激動人G5527的金融G2031G7044“。在世G11040衍生品市場G15040G2199發(fā)G4649的G2528G7114，一G13007G2027風險G1119G1226的發(fā)生G1075G1817G2010G7304G19718出衍生品市場G4396在的G5052大風險。G19555G11540G8830G9157300指G6980期貨G2375G4570在中金所G8503式G6524出G4466G11436交G7143，G19512G1114G7438G7512G2454G994G3818，個人G6249資者對G2045G11422的G17873G8726G1075是G2454G994交G7143的G16837因，G1306是個人G6249資者G7092論G1186資金G4466力，專業(yè)能力，G1461G5699G2684G16822G7481G16840G18129G994G7438G7512有G5058G17329，個人G6249資者G11468對G1122G7438G7512在G14270G17535G7477G1226，交G7143G11458的，交G7143G6175法G993G2528的G5785G1929下所G19766G1032的風險G12255G5242G1075G993G11468G2528。G1186國際成G10099市場G11487，個人G6249資者G2454G994股指期貨G17902G5132以G6249G7438G5627交G7143為G1039。交G7143風險管理成為個人G6249資者生G4396和G994市場G2350G5340的G5529要G7477G1226。本文G19428G17860G1114個人G6249資者G6249G7438交G7143G17819G12255中G5132G1262G19766G1032的一G1135具體風險，以G2462發(fā)生風險G5785G1929的G20056G19462和風險G6523G2058G12586G11065。本文G16760為對交G7143G2058G5242的G9157G1849理G16311是風險G6523G2058的G3534G11796，G2528G7114G1186個人G6249資者的交G7143G1076G5827特G9869出發(fā)G6564出G2058G4462交G7143計G2022和G2419G2029，以G2462G17155G12371交G7143全G12255的資金管理。特G2047G1186個人G6249資者能力G16792G1284G16294G5242G1525導G14403G3921G5527G5589和G6249資G2758學。關鍵詞G8830G9157300指G6980期貨個人G6249資者交G7143風險風險G6523G2058ABSTRACTANUMBEROFRISKYINCIDENTSOCCURREDWHILETHEGLOBALDERIVATIVEMARKETSAREFASTGROWING,WHICHHASEXPOSEDTHEENORMOUSRISKSINTHEDERIVATIVEMARKETSWHETHERINDIVIDUALINVESTORSFROMTHEFINANCIALSTRENGTHANDPROFESSIONALABILITY,INFORMATIONCONSULTATIONWITHTHEAGENCIES,THEREISAGAPBETWEENINDIVIDUALINVESTORSINRELATIONTOTHEIROWNCONDITIONS,THEPURPOSEOFTRANSACTIONS,TRADINGPRACTICESUNDERDIFFERENTCIRCUMSTANCESFACINGTHESAMELEVELOFRISKFROMTHEINTERNATIONALMATUREMARKETS,INDIVIDUALINVESTORSTOPARTICIPATEINTHESTOCKINDEXFUTURESUSUALLYCONSISTINGMAINLYOFSPECULATIVETRANSACTIONSRISKMANAGEMENTOFINDIVIDUALINVESTORSISANECESSARYCONDITIONFORSURVIVALINTHEMARKETINTHISPAPERSPECULATIVETRADINGBYINDIVIDUALINVESTORSFACESTHESPECIFICRISKSTHISPAPERARGUESTHATINDEPTHUNDERSTANDINGOFTHETRADINGSYSTEMISTHEBASISOFRISKCONTROL,ANDFROMINDIVIDUALINVESTORSTRADINGHABITSDEVELOPEDBYTHECHARACTERISTICSOFTHETRADINGSCHEMESANDPRINCIPLESASWELLASTHROUGHOUTTHEWHOLETRANSACTIONOFFUNDSMANAGEMENTPARTICULARLYFROMTHEPERSPECTIVEOFINDIVIDUALINVESTORSTOASSESSTHEABILITYPROMOTEGOODMENTALITYANDINVESTMENTPHILOSOPHYKEYWORDSRISKINDIVIDUALINVESTORSSTOCKINDEXFUTURERISKMANAGEMENT目錄A167A168A169A2076A170A168A171A173300A174A175A176A177A178A1796A180A167A181A168A182A183A174A175A176A177A184A185A186A188A190A1916A180A170A181A168A171A173300A174A175A176A1778A192A193A194A196A197A198A199A200A201A203A204A205A206A199A208A209A210A21110A212A213A214A193A197A198A199A200A201A203A204A215A21610A212A217A214A193A194A196A197A198A201A203A218A219A199A200A220A221A223A22411A212A192A214A193A205A206A199A208A209A199A200A201A203A225A204A210A211A22611A227A193A205A206A199A208A209A204A210A211A228A229A230A23116A212A213A214A193A232A233A204A234A235A237A23816A212A217A214A193A239A240A204A233A243A244A24516A212A192A214A193A229A247A204A248A249A230A23117A212A227A214A193A250A252A204A208A253A228A22918A212A254A214A193A255A164A204A201A203A0A8419A254A193A240A120A85A222A1A3A4300A196A11A197A198A205A206A199A208A209A210A211A228A229A5A9A6A18722A213A7A5A932A87A834一、引G16340G142701848年G13666國G14449G2164G2745G2842品交G7143所G5326G12447以G7481，世G11040衍生品市場發(fā)G4649G17817G17907，在G17819G2447的20年里全球期貨成交量的年均增長率達到G111421。金融衍生產品的發(fā)G4649是20世紀90年代以G7481國際金融領域里的G7044旋律。因具有價格發(fā)現、規(guī)避風險和資產配置等功能，股指期貨成為當前國際金融市場最具活力的衍生產品之一。近二十年G7481，出G1122完善市場結G7512和促進金融G2031G7044的考慮，世G11040各國紛紛G6524出股指期貨，股指期貨成為金融市場中的一個增長亮G9869。G1186國內市場G11487，雖然股指期貨由G1122對可能帶G7481的風險的顧慮而遲遲沒有啟動，市場各方G18129已經準備就緒。我國已經G1122中金所開始G1114一段G7114間的G8830G9157300指G6980期貨仿真交G7143。今后的G4466際市場上，個人G6249資者G2454G994股指期貨G17902G5132以G6249G7438G5627交G7143為G1039。交G7143風險管理就成為個人G6249資者生G4396和G994市場G2350G5340的G5529要G7477G1226。那么個人G6249資者G4570G19766G1032哪G1135特有的風險以G2462如何管理風險的問題成為一個可以研究討論的細G2010領域。二、G8830G9157300指G6980期貨概G17860（一）、股票指G6980期貨G4462義G2462其特征股票指G6980期貨是指在交G7143所進行的以某一股票價格指G6980作為標的物，由交G7143雙方訂G12447的，約G4462在未G7481某一特G4462G7114間以約G4462價格進行股價指G6980交割結算的標準化合約的交G7143。股指期貨具有以下G3534本特征第一，股指期貨的交割方式采用現金結算，而G993是G4466物（股票）交割。這是股指期貨G994其他種類期貨合約的最大區(qū)G2047。股價指G6980是一種抽象化的資產，本G17535并沒有G994之對應的具體G4466物。一般G2842品期貨和其他金融期貨的交G7143對象G18129有G994其合約規(guī)G4462所對應的G4466物，合約到期G7114，G5529須以該指G4462物品完成交割。G1306由G1122股票價格指G6980沒有具體的G4466物形式，合約到期G7114，以股票市場收市G7114的股價指G6980作為結算的標準，合約持有人只須交付或收取按購買合約G7114的股價指G6980的G9869G6980G994到期的G4466際指G6980的G9869G6980所計算出的G9869G6980G5058折合成的現金G6980，G2375可完成交收G6175續(xù)。第二，股票價格指G6980期貨合約的價格是人G1039觀賦予的。股票價格指G6980是若干股票價格變動的綜合反映。一般是用指G6980化的G9869G6980G7481計量，它本G17535并沒有價格，G993能直接進行買賣。所以，進行股指期貨交G7143，首先要采取某種方法規(guī)G4462指G6980期貨合約的價值。G11468應地，合約的價值由G1122規(guī)G4462和計算方法的G993G2528而G993G2528。一般地，指G6980期貨合約的價值采用指G6980乘以作為交G7143單位的一G4462的貨幣金額G7481表示。例如，標準普爾500種股票指G6980期貨合約的交G7143單位為500G13666元，其價值為指G6980乘以500G13666元；G5670生指G6980合約的交G7143單位為50G9219幣，其價值為指G6980乘以50G9219幣。這G7691股票指G6980G8611日的G9869G6980G8886動就表現為價格G8886動，對這個G15406G6323的G2842品G6177可以進行期貨交G7143。第G989，雙重G15406G6323G5627。股指期貨交G7143是以股票價格指G6980這一G15406G6323資產作為標的物，G1363股指期貨市場完全G14085G12175G4466物資本G17828動而G7092G19492G6205G5364，G17840G17840G17241G17819現貨市場規(guī)G8181價值，G1186而具有雙重G15406G6323G5627。第G3247，G7094有G2045G1122G19462G14551G13007G13491G5627風險，G2460有G2045G1122G19462G14551G19762G13007G13491G5627風險。由G1122股票價格指G6980以一G13464經G17819G17885G6333的股票代表G1114G6984個股市的G17220G2533，所以，股指期貨本G17535就是一種G13464合G6249資，可以用G7481G19462G14551G19762G13007G13491G5627風險。G993G1177如此，G2045用股指期貨進行G3883期G1457值，G6249資者G17836可以對G1926股票市場上的G13007G13491G5627風險，它G7094是一G13435市場上股票承G19156G2842的避險G5049具，G2460能為二G13435市場上G5203大G6249資者G17728G12239風險，帶G7481收G11422。（二）、G8830G9157300指G6980期貨1、G8830G9157300G3534本G1461G5699指G6980名G12228G8830G9157300指G6980（SHANGHAISHENZHEN300INDEX），指G6980代G11733上G9035代G11733,000300G9157G3335代G11733,399300G3534日和G3534G9869以2004年12月31日為G3534日，G3534G9869為1000G9869。成G2010股G6980量300只指G6980G13546G2058G1856G2508中G16789指G6980有G19492G1856G25082、G8830G9157300指G6980期貨合約3、G8830G9157300指G6980期貨交G7143G2528類G2454考標的G11861982年第一G1233股指期貨合約G16818生起，股指期貨經G2394G111420G3822年的發(fā)G4649G2394G12255，期間形成G1114G993G4581對市場有G17751大G5445G2721力的股指期貨品種。G8616如G20333G9219G5670生指G6980期貨（HIS），S在風險發(fā)生以后，G19489G1314風險損G3845的G1017重G5627。第G3247、股指期貨風險管理效果G16792價，指交G7143G1039體在G4466行一G13007G2027的股指期貨風險管理措施之后，對風險G6523G2058措施所能達到的G20056期效果進行的G2010析、G7828G7609、G16792G1284。管理效果的G16792價包括風險G6523G2058措施的G4466用G5627G2462可行G5627G2010析、G6523G2058成本的G2010析、G6523G2058收G11422的計算等內G4493。結論就股指期貨的風險成因G3534本的觀G9869G18129是價格G8886動，杠桿效應，G19762理G5627G6249G7438，市場G7438G2058G993G1593全，個G2047學者G4570G6249資者G14270G17535的因G13044G13447G1849風險成因。這里的G6249資者應該區(qū)G2047G7438G7512和散戶G7481對待，個人G6249資者G7092論G1186資金G4466力，專業(yè)能力，G1461G5699G2684G16822G7481G16840G18129G994G7438G7512有G5058G17329，所以個人G6249資者的風險G11468對G1122G7438G7512在G14270G17535G7477G1226，交G7143G11458的，交G7143G6175法的G993G2528的G5785G1929下G14270然G1075G993G1262G18129一G7691。對G1122風險G16794G2047和G8991量，普遍G16760G2528一G1135G3534本的風險G2010類，而這G1135風險有其具體的生成因G13044和G7477G1226，并G1000對G1122個人G6249資者和G7438G7512所要G19766對的風險是G993G2528的。應當就具體的風險歸類G1122G6249資者作為G2454G994G6249資的交G7143人所G19766對的內部風險和股指期貨G17908成的G3818部風險。G1119G6937G7653G2010析方法對股指期貨的風險進行G16794G2047可以G8616G17751清晰的G2258G2214出G1186結果到G2419因G17935G17765G2010析G1119G6937發(fā)生的有G2533G17819G12255，G17993G1186G17935G17765學的演繹G2010析G2419G2029。風險G8991量G1039要有G4462G5627G16792G1284和G4462量G16792G1284，G4462G5627就是之前所G17828用的G1119G1226G7653G2010析圖，G4462量計量一般G18129G16760為最G7044的金融風險G8991量G8181G3423VAR是G8616G17751G3921的G17885G6333。這一部G2010理論G5627G8616G17751強，由G1122中國G6524出的G8830G9157300指G6980期貨有其特G8542G5627，中國金融市場G1075有其特G8542G5627，所以需要在G4570G7481G8503式G6524出市場G7114G6177可以有效G7828驗和論G16789。風險G6523G2058和管理G18129G8616G17751強G16855要結合國內G4466際G5785G1929，G1039要G1186G2058G5242，市場環(huán)G3671以G2462風險涉G2462的各個G1039體的層G19766G7481G4649開。具體就某一G20045風險管理G17993G5502一個G1186G16794G2047，G16792G1284到G6523G2058，效果G16792價的G17819G12255。國G3818的成G10099市場G3278然G3822以G7438G7512G6249資者為G1039體。然而，G3534G1122中國股市和期市的G6249資者結G7512現狀，G20056計我國股指期貨上市G2033期的G2454G994G1039體G1075許G993完全是G3534金G1856G2508或G2060G2842，私G2227G3534金和具有一G4462資金G4466力的散戶G6249資者交G7143量合計很可能G2356市場G5647量的60G10990G14279更G3822。因為G8830G9157300指G6980期貨是G7044的品種所以G3822G6980研究者G18129是以國G3818股指期貨為研究對象，結合一G1135國內金融市場現狀G7481研究。綜合上G17860的研究結果，結合對G8830G9157300指G6980期貨這一已經完成設計并G1000處在G8181G6323交G7143G19466段的具體現G4466，G2528G7114中國金融市場的G5326設G1075處在快G17907發(fā)G4649當中，而個人G6249資者這一G13688體的G13044質G1075有所G6564G20652。G2454照G11458前的G5785G1929，G19036對準備G2454G994G8830G9157300指G6980期貨的個人G6249資者，研究一G3883G1186G2058G5242理G16311，G3818部因G13044G2040G7041，G14270G17535G6249資G13044質這幾個方G19766為G3534G9869的風險管理G12586G11065。參考文獻1G21656G19608G14407G457我國股指期貨風險管理研究G458，20032G7458G5621G457股指期貨的風險對G1926G994風險管理研究G458，20073G2028G3897G2347G457股指期貨散戶風險管理研究G458，G457期貨日G6265G458，20074G19484思G457股票指G6980期貨的G3883G2045G2462其風險的規(guī)避G458，20075G7472G13430G9071，2007G457股票指G6980期貨風險管理思路探析G458，G457財經G11040G458，2007第5期6G2506G14817，2007G457我國股票指G6980期貨市場的風險規(guī)避G12586G11065G2010析G458，G457金融G994經濟G458，2007年第7期7G7484G1037G457股指期貨G6249資G458，G7292G2347大學出G10268G12050，20048中國期貨業(yè)G2339G1262G457G3883期G1457值G994G3883G2045交G7143G458，中國財經經濟出G10268G12050，20069G5364學G1008G457股價指G6980期貨理論G994G4466G17353研究G458，中國G12050G1262G12197學出G10268G12050，200510G2506G8716G2030G457股票價格指G6980期貨G458，G8506G8733大學出G10268G12050，200411G12468G7219，G16897顯G14647G457股指期貨G4466務G458，G9258G2283G12197學G6228術出G10268G12050，200612G5441G1438G15925G457我國股票指G6980期貨市場G17828作G8181式研究G458，復旦大學出G10268G12050，200313G19484G19754，2006G457G19462G14551股指期貨風險的幾個G1863鍵問題研究G458，G4