交易费用对股指期货功能的影响研究——来自中国台湾的启示.pdfVIP

摘 要 由于交易税及手续费较高，中国台湾在推出本土股指期货产品的初期，市场反映冷淡， 投资者多选择交易离岸市场的台湾股指期货产品。2000年，中国台湾采取包括交易税率减 半等一系列改革措施，台湾本土股指期货交易量逐步提高，各项功能显著改善，使本土金 融期货市场步入了良性发展的轨道，交易费用在其中显现的作用可见一斑。 目前，中国大陆也正在积极筹备推出本土指数期货，与当年中国台湾类似，也面临着 离岸市场股指期货的挑战。从中国金融期货交易所 2007 年 5 月 14 日起公布实施的股指期 货仿真交易业务规则（修订稿）来看，中国大陆股指期货市场的交易结算手续费将按交易 金额的 0.5‱征收，该收费水平与其他离岸市场的中国股指期货产品相比仍然较高。 为了研究交易费用对中国大陆金融期货市场可能造成的影响, 本文采用了理论研究、 比较研究和实证研究相结合的方法来进行探讨。文章挑选了中国台湾作为中国大陆市场的 比较研究对象。首先，比较了中国大陆市场和中国台湾市场的相似之处；其次，运用向量 误差修正模型及一元线性回归模型分析了台湾期货市场交易税率调整前后，台湾本土股指 期货价格发现功能与套期保值功能效率的变化。实证结果表明较高的交易费用会损害期货 市场基本功能的发挥以及投资者对该市场的认可度，该问题在存在离岸市场替代产品的情 况下尤为明显。最后，根据中国台湾市场的经验启示对大陆未来股指期货市场的建设提出 了一些针对性的政策建议。 关键词: 股指期货、交易费用、价格发现、套期保值 I ABSTRACT In the early days, when Taiwan market debuted their first local stock index futures ，most investors preferred to trade offshore markets’ Taiwan stock index futures, because of the high transaction tax and commission charge in local market. In 2000, Taiwan Market adopted series of reform steps to improve the trading environment of local market, say, cut off 50% of transaction tax rate. As a result, the trading volumes increased gradually, the functions of local futures market also improved. After that Taiwan local financial futures market went into the track of sound development. The significant role which transaction costs had been played is evident. At present, mainland China is also actively preparing to debut local stock index futures. Just as what had been happened on Taiwan market, mainland China also has to face the challenges from the offshore markets. As what had been read from “The rules of Stock Index Futures Emulator Trading （revised edition ）” which had been promulgated and implemented by China Financial Futures Exchange on May 14th 2007, the comm