论沪深300指数期货个人投资者风险管理----毕业论文

2008届本科毕业论文（设计）论文题目论沪深300指数期货个人投资者风险管理学生姓名所在学院电子商务学院专业财务管理学号指导教师成绩2008年4月XXX大学本科毕业论文（设计）原创性及知识产权声明本人郑重声明所呈交的毕业论文（设计）是本人在导师的指导下取得的成果。对本论文（设计）的研究做出重要贡献的个人和集体，均已在文中以明确方式标明。因本毕业论文（设计）引起的法律结果完全由本人承担。本毕业论文（设计）成果归XXX大学所有。特此声明。毕业论文（设计）作者签名作者专业财务管理作者学号_年_月_日XXX大学本科学生毕业论文（设计）开题报告表A1A0A3A4A5A6A7A2A9A8300A11A10A12A13A14A15A16A17A18A19A20A21A22A1A0A3A4A5A6A24A23A26A25A1A0A3A4A5A6A28A27AA22A1A29A30A32A33A34A31A35A7A34A37A38A39A40A36A21A22A41A42A43A44A42A43A44A45A45A46A47A48A49A31A50A51A52A53A54A55A56A57A58A59A60A61A62A63A19A20A64A65A57A55A31A66A67A68A69A70A71A49A31A50A51A52A72A46A57A73A74A19A20A75A76A77A78A79A80A81A82A83A9A8A84A85A85A11A10A12A13A57A86A87A88A89A60A90A91A12A13A92A93A94A19A20A57A95A50A24A96A97A98A19A20A99A100A101A31A72A102A100A103A88A89A57A104A105A78A46A75A106A77A107A49A31A50A57A108A109A110A111A112A113A114A19A20A60A106A115A11A12A13A57A19A20A116A117A51A52A19A20A60A118A119A19A20A3A120A121A19A20A6A60A122A123A124A19A20A60A125A77A122A19A20A60A126A127A19A20A60A128A129A19A20A102A130A131A19A20A75A132A133A134A76A125A77A122A19A20A135A11A136A16A17A18A137A128A138A59A139A140A17A77A141A142A143A144A102A145A146A115A11A12A13A147A148A57A149A150A77A151A152A57A19A20A75A110A61A14A88A89A15A57A153A154A24A96A90A91A125A77A122A19A20A57A21A22A68A155A156A125A46A143A157A158A159A102A146A157A158A159A76A60A134A76A160A161A138A9A8A84A85A85A11A10A12A13A57A19A20A97A98A98A154A76A57A149A150A77A98A154A60A162A98A163A157A102A162A98A164A157A98A154A75A133A165A166A22A167A168A88A89A57A125A77A122A110A160A169A100A170A171A172A173A174A175A176A177A66A160A178A101A51A52A57A179A180A181A123A106A167A182A183A184A12A185A186A187A57A188A189A75A106A190A191A19A20A135A192A91A92A14A77A107A95A50A108A109A111A112A57A60A136A134A193A71A51A52A194A195A160A169A100A196A197A51A52A57A61A198A199A200A19A20A75A58A59A90A91A14A15A16A17A18A102A201A202A78A189A203A57A19A20A204A154A60A28A27A102A97A98A21A22A19A20A57A182A205A206A138A131A207A135A167A58A57A75A208A91A29A30A201A202A19A20A21A22A131A207A57A57A209A210A124A206A138A90A14A15A16A17A18A106A211A19A20A97A98A57A212A151A124A60A213A25A214A29A30A215A90A14A15A16A17A18A92A61A153A216A46A217A218A16A17A9A8A84A85A85A11A10A12A13A57A219A204A76A78A151A220A155A57A19A20A60A21A22A97A98A19A20A57A131A207A221A75A222A77A107A49A31A50A57A19A20A223A115A224A11A10A12A13A57A19A20A220A155A60A225A194A111A156A226A227A76A228A193A71A57A9A8A84A85A85A11A10A12A13A57A19A20A229A230A102A19A20A97A98A98A154A60A231A106A222A14A15A16A17A18A57A153A154A232A233A222A16A17A18A234A22A60A51A52A88A89A235A236A60A17A77A21A22A60A237A238A239A240A241A242A243A244A245A246A247A248A249A250A251A252A253A254A255A248A236A242A0A1A237A238A2A3A4A5A6A7A8A9A10A244A53A11A1A12A13A71A14A15A16A17A15A16A241A242A18A19A20A6A111A21A18A22A244A7A8A23A24A1A245A246A25A26A26A27A244A28A29A251A4A5A202A248A236A30A31A251A82A32A7A8A84A33A34A7A8A244A35A36A37A38A39A251A6A86A40A80A41A41A21A42A18A22A43A44A45A46A47A245A246A247A248A244A248A236A242A0A1A237A238A9A10A76A48A12A13A1A49A50A71A46A51A52A54A55A147A56A57A39A58A59A60A61A62A156A244A18A22A202A61A46A63A64A65A66A67A251A37A47A68A100A30A31A244A69A70A251A58A72A195A100A73A111A74A21A42A18A22A7A8A244A75A77A1A78A187A251A4A5A79A43A18A22A81A83A244A100A73A82A32A7A8A1A41A85A87A172A88A189A253A89A244A68A100A30A31A49A50A1A90A91A241A71A92A96A236A69A93A147A94A46A51A52A54A1A95A97A69A70A98A99A251A222A89A101A94A82A32A7A8A39A102A10A1A33A103A251A104A164A105A106A129A107A41A85A87A87A108A172A88A189A253A111A74A21A42A7A8A251A19A20A35A36A1A37A38A33A34A244A7A8A1A109A33A244A246A110A112A113A114A105A252A253A115A116A117A118A33A119A244A237A238A2A3A1A248A236A53A11A71A120A121A122A123A124A125A126A127A128A130A131A121A122A124A125A126A127A131A132A132A133A41A41A134A87A135A133A136A80A135A137A241A92A96A69A70A138A187A139A140A61A141A239A244A142A48A251A90A91A143A133A41A41A85A87A80A136A144A137A145A241A92A96A140A61A141A239A244A146A148A141A239A133A41A41A85A87A80A136A135A80A137A145A241A92A96A140A61A236A69A149A150A133A41A41A85A87A151A136A133A41A137A145A241A236A69A152A153A139A141A239A96A107A143A21A154A66A155A157A158A241A137A18A241A236A69A139A141A239A143A159A160A241AA248A236A30A31A161BA162A163A30A31A161CA165A166A141A239A241A161摘要股指期货作为当前国际金融市场最具活力的衍生产品之一，因其具有价格发现、规避风险和资产配置等功能，被誉为二十世纪”最激动人G5527的金融G2031G7044“。在世G11040衍生品市场G15040G2199发G4649的G2528G7114，一G13007G2027风险G1119G1226的发生G1075G1817G2010G7304G19718出衍生品市场G4396在的G5052大风险。G19555G11540G8830G9157300指G6980期货G2375G4570在中金所G8503式G6524出G4466G11436交G7143，G19512G1114G7438G7512G2454G994G3818，个人G6249资者对G2045G11422的G17873G8726G1075是G2454G994交G7143的G16837因，G1306是个人G6249资者G7092论G1186资金G4466力，专业能力，G1461G5699G2684G16822G7481G16840G18129G994G7438G7512有G5058G17329，个人G6249资者G11468对G1122G7438G7512在G14270G17535G7477G1226，交G7143G11458的，交G7143G6175法G993G2528的G5785G1929下所G19766G1032的风险G12255G5242G1075G993G11468G2528。G1186国际成G10099市场G11487，个人G6249资者G2454G994股指期货G17902G5132以G6249G7438G5627交G7143为G1039。交G7143风险管理成为个人G6249资者生G4396和G994市场G2350G5340的G5529要G7477G1226。本文G19428G17860G1114个人G6249资者G6249G7438交G7143G17819G12255中G5132G1262G19766G1032的一G1135具体风险，以G2462发生风险G5785G1929的G20056G19462和风险G6523G2058G12586G11065。本文G16760为对交G7143G2058G5242的G9157G1849理G16311是风险G6523G2058的G3534G11796，G2528G7114G1186个人G6249资者的交G7143G1076G5827特G9869出发G6564出G2058G4462交G7143计G2022和G2419G2029，以G2462G17155G12371交G7143全G12255的资金管理。特G2047G1186个人G6249资者能力G16792G1284G16294G5242G1525导G14403G3921G5527G5589和G6249资G2758学。关键词G8830G9157300指G6980期货个人G6249资者交G7143风险风险G6523G2058ABSTRACTANUMBEROFRISKYINCIDENTSOCCURREDWHILETHEGLOBALDERIVATIVEMARKETSAREFASTGROWING,WHICHHASEXPOSEDTHEENORMOUSRISKSINTHEDERIVATIVEMARKETSWHETHERINDIVIDUALINVESTORSFROMTHEFINANCIALSTRENGTHANDPROFESSIONALABILITY,INFORMATIONCONSULTATIONWITHTHEAGENCIES,THEREISAGAPBETWEENINDIVIDUALINVESTORSINRELATIONTOTHEIROWNCONDITIONS,THEPURPOSEOFTRANSACTIONS,TRADINGPRACTICESUNDERDIFFERENTCIRCUMSTANCESFACINGTHESAMELEVELOFRISKFROMTHEINTERNATIONALMATUREMARKETS,INDIVIDUALINVESTORSTOPARTICIPATEINTHESTOCKINDEXFUTURESUSUALLYCONSISTINGMAINLYOFSPECULATIVETRANSACTIONSRISKMANAGEMENTOFINDIVIDUALINVESTORSISANECESSARYCONDITIONFORSURVIVALINTHEMARKETINTHISPAPERSPECULATIVETRADINGBYINDIVIDUALINVESTORSFACESTHESPECIFICRISKSTHISPAPERARGUESTHATINDEPTHUNDERSTANDINGOFTHETRADINGSYSTEMISTHEBASISOFRISKCONTROL,ANDFROMINDIVIDUALINVESTORSTRADINGHABITSDEVELOPEDBYTHECHARACTERISTICSOFTHETRADINGSCHEMESANDPRINCIPLESASWELLASTHROUGHOUTTHEWHOLETRANSACTIONOFFUNDSMANAGEMENTPARTICULARLYFROMTHEPERSPECTIVEOFINDIVIDUALINVESTORSTOASSESSTHEABILITYPROMOTEGOODMENTALITYANDINVESTMENTPHILOSOPHYKEYWORDSRISKINDIVIDUALINVESTORSSTOCKINDEXFUTURERISKMANAGEMENT目录A167A168A169A2076A170A168A171A173300A174A175A176A177A178A1796A180A167A181A168A182A183A174A175A176A177A184A185A186A188A190A1916A180A170A181A168A171A173300A174A175A176A1778A192A193A194A196A197A198A199A200A201A203A204A205A206A199A208A209A210A21110A212A213A214A193A197A198A199A200A201A203A204A215A21610A212A217A214A193A194A196A197A198A201A203A218A219A199A200A220A221A223A22411A212A192A214A193A205A206A199A208A209A199A200A201A203A225A204A210A211A22611A227A193A205A206A199A208A209A204A210A211A228A229A230A23116A212A213A214A193A232A233A204A234A235A237A23816A212A217A214A193A239A240A204A233A243A244A24516A212A192A214A193A229A247A204A248A249A230A23117A212A227A214A193A250A252A204A208A253A228A22918A212A254A214A193A255A164A204A201A203A0A8419A254A193A240A120A85A222A1A3A4300A196A11A197A198A205A206A199A208A209A210A211A228A229A5A9A6A18722A213A7A5A932A87A834一、引G16340G142701848年G13666国G14449G2164G2745G2842品交G7143所G5326G12447以G7481，世G11040衍生品市场发G4649G17817G17907，在G17819G2447的20年里全球期货成交量的年均增长率达到G111421。金融衍生产品的发G4649是20世纪90年代以G7481国际金融领域里的G7044旋律。因具有价格发现、规避风险和资产配置等功能，股指期货成为当前国际金融市场最具活力的衍生产品之一。近二十年G7481，出G1122完善市场结G7512和促进金融G2031G7044的考虑，世G11040各国纷纷G6524出股指期货，股指期货成为金融市场中的一个增长亮G9869。G1186国内市场G11487，虽然股指期货由G1122对可能带G7481的风险的顾虑而迟迟没有启动，市场各方G18129已经准备就绪。我国已经G1122中金所开始G1114一段G7114间的G8830G9157300指G6980期货仿真交G7143。今后的G4466际市场上，个人G6249资者G2454G994股指期货G17902G5132以G6249G7438G5627交G7143为G1039。交G7143风险管理就成为个人G6249资者生G4396和G994市场G2350G5340的G5529要G7477G1226。那么个人G6249资者G4570G19766G1032哪G1135特有的风险以G2462如何管理风险的问题成为一个可以研究讨论的细G2010领域。二、G8830G9157300指G6980期货概G17860（一）、股票指G6980期货G4462义G2462其特征股票指G6980期货是指在交G7143所进行的以某一股票价格指G6980作为标的物，由交G7143双方订G12447的，约G4462在未G7481某一特G4462G7114间以约G4462价格进行股价指G6980交割结算的标准化合约的交G7143。股指期货具有以下G3534本特征第一，股指期货的交割方式采用现金结算，而G993是G4466物（股票）交割。这是股指期货G994其他种类期货合约的最大区G2047。股价指G6980是一种抽象化的资产，本G17535并没有G994之对应的具体G4466物。一般G2842品期货和其他金融期货的交G7143对象G18129有G994其合约规G4462所对应的G4466物，合约到期G7114，G5529须以该指G4462物品完成交割。G1306由G1122股票价格指G6980没有具体的G4466物形式，合约到期G7114，以股票市场收市G7114的股价指G6980作为结算的标准，合约持有人只须交付或收取按购买合约G7114的股价指G6980的G9869G6980G994到期的G4466际指G6980的G9869G6980所计算出的G9869G6980G5058折合成的现金G6980，G2375可完成交收G6175续。第二，股票价格指G6980期货合约的价格是人G1039观赋予的。股票价格指G6980是若干股票价格变动的综合反映。一般是用指G6980化的G9869G6980G7481计量，它本G17535并没有价格，G993能直接进行买卖。所以，进行股指期货交G7143，首先要采取某种方法规G4462指G6980期货合约的价值。G11468应地，合约的价值由G1122规G4462和计算方法的G993G2528而G993G2528。一般地，指G6980期货合约的价值采用指G6980乘以作为交G7143单位的一G4462的货币金额G7481表示。例如，标准普尔500种股票指G6980期货合约的交G7143单位为500G13666元，其价值为指G6980乘以500G13666元；G5670生指G6980合约的交G7143单位为50G9219币，其价值为指G6980乘以50G9219币。这G7691股票指G6980G8611日的G9869G6980G8886动就表现为价格G8886动，对这个G15406G6323的G2842品G6177可以进行期货交G7143。第G989，双重G15406G6323G5627。股指期货交G7143是以股票价格指G6980这一G15406G6323资产作为标的物，G1363股指期货市场完全G14085G12175G4466物资本G17828动而G7092G19492G6205G5364，G17840G17840G17241G17819现货市场规G8181价值，G1186而具有双重G15406G6323G5627。第G3247，G7094有G2045G1122G19462G14551G13007G13491G5627风险，G2460有G2045G1122G19462G14551G19762G13007G13491G5627风险。由G1122股票价格指G6980以一G13464经G17819G17885G6333的股票代表G1114G6984个股市的G17220G2533，所以，股指期货本G17535就是一种G13464合G6249资，可以用G7481G19462G14551G19762G13007G13491G5627风险。G993G1177如此，G2045用股指期货进行G3883期G1457值，G6249资者G17836可以对G1926股票市场上的G13007G13491G5627风险，它G7094是一G13435市场上股票承G19156G2842的避险G5049具，G2460能为二G13435市场上G5203大G6249资者G17728G12239风险，带G7481收G11422。（二）、G8830G9157300指G6980期货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日为G3534日，G3534G9869为1000G9869。成G2010股G6980量300只指G6980G13546G2058G1856G2508中G16789指G6980有G19492G1856G25082、G8830G9157300指G6980期货合约3、G8830G9157300指G6980期货交G7143G2528类G2454考标的G11861982年第一G1233股指期货合约G16818生起，股指期货经G2394G111420G3822年的发G4649G2394G12255，期间形成G1114G993G4581对市场有G17751大G5445G2721力的股指期货品种。G8616如G20333G9219G5670生指G6980期货（HIS），S在风险发生以后，G19489G1314风险损G3845的G1017重G5627。第G3247、股指期货风险管理效果G16792价，指交G7143G1039体在G4466行一G13007G2027的股指期货风险管理措施之后，对风险G6523G2058措施所能达到的G20056期效果进行的G2010析、G7828G7609、G16792G1284。管理效果的G16792价包括风险G6523G2058措施的G4466用G5627G2462可行G5627G2010析、G6523G2058成本的G2010析、G6523G2058收G11422的计算等内G4493。结论就股指期货的风险成因G3534本的观G9869G18129是价格G8886动，杠杆效应，G19762理G5627G6249G7438，市场G7438G2058G993G1593全，个G2047学者G4570G6249资者G14270G17535的因G13044G13447G1849风险成因。这里的G6249资者应该区G2047G7438G7512和散户G7481对待，个人G6249资者G7092论G1186资金G4466力，专业能力，G1461G5699G2684G16822G7481G16840G18129G994G7438G7512有G5058G17329，所以个人G6249资者的风险G11468对G1122G7438G7512在G14270G17535G7477G1226，交G7143G11458的，交G7143G6175法的G993G2528的G5785G1929下G14270然G1075G993G1262G18129一G7691。对G1122风险G16794G2047和G8991量，普遍G16760G2528一G1135G3534本的风险G2010类，而这G1135风险有其具体的生成因G13044和G7477G1226，并G1000对G1122个人G6249资者和G7438G7512所要G19766对的风险是G993G2528的。应当就具体的风险归类G1122G6249资者作为G2454G994G6249资的交G7143人所G19766对的内部风险和股指期货G17908成的G3818部风险。G1119G6937G7653G2010析方法对股指期货的风险进行G16794G2047可以G8616G17751清晰的G2258G2214出G1186结果到G2419因G17935G17765G2010析G1119G6937发生的有G2533G17819G12255，G17993G1186G17935G17765学的演绎G2010析G2419G2029。风险G8991量G1039要有G4462G5627G16792G1284和G4462量G16792G1284，G4462G5627就是之前所G17828用的G1119G1226G7653G2010析图，G4462量计量一般G18129G16760为最G7044的金融风险G8991量G8181G3423VAR是G8616G17751G3921的G17885G6333。这一部G2010理论G5627G8616G17751强，由G1122中国G6524出的G8830G9157300指G6980期货有其特G8542G5627，中国金融市场G1075有其特G8542G5627，所以需要在G4570G7481G8503式G6524出市场G7114G6177可以有效G7828验和论G16789。风险G6523G2058和管理G18129G8616G17751强G16855要结合国内G4466际G5785G1929，G1039要G1186G2058G5242，市场环G3671以G2462风险涉G2462的各个G1039体的层G19766G7481G4649开。具体就某一G20045风险管理G17993G5502一个G1186G16794G2047，G16792G1284到G6523G2058，效果G16792价的G17819G12255。国G3818的成G10099市场G3278然G3822以G7438G7512G6249资者为G1039体。然而，G3534G1122中国股市和期市的G6249资者结G7512现状，G20056计我国股指期货上市G2033期的G2454G994G1039体G1075许G993完全是G3534金G1856G2508或G2060G2842，私G2227G3534金和具有一G4462资金G4466力的散户G6249资者交G7143量合计很可能G2356市场G5647量的60G10990G14279更G3822。因为G8830G9157300指G6980期货是G7044的品种所以G3822G6980研究者G18129是以国G3818股指期货为研究对象，结合一G1135国内金融市场现状G7481研究。综合上G17860的研究结果，结合对G8830G9157300指G6980期货这一已经完成设计并G1000处在G8181G6323交G7143G19466段的具体现G4466，G2528G7114中国金融市场的G5326设G1075处在快G17907发G4649当中，而个人G6249资者这一G13688体的G13044质G1075有所G6564G20652。G2454照G11458前的G5785G1929，G19036对准备G2454G994G8830G9157300指G6980期货的个人G6249资者，研究一G3883G1186G2058G5242理G16311，G3818部因G13044G2040G7041，G14270G17535G6249资G13044质这几个方G19766为G3534G9869的风险管理G12586G11065。参考文献1G21656G19608G14407G457我国股指期货风险管理研究G458，20032G7458G5621G457股指期货的风险对G1926G994风险管理研究G458，20073G2028G3897G2347G457股指期货散户风险管理研究G458，G457期货日G6265G458，20074G19484思G457股票指G6980期货的G3883G2045G2462其风险的规避G458，20075G7472G13430G9071，2007G457股票指G6980期货风险管理思路探析G458，G457财经G11040G458，2007第5期6G2506G14817，2007G457我国股票指G6980期货市场的风险规避G12586G11065G2010析G458，G457金融G994经济G458，2007年第7期7G7484G1037G457股指期货G6249资G458，G7292G2347大学出G10268G12050，20048中国期货业G2339G1262G457G3883期G1457值G994G3883G2045交G7143G458，中国财经经济出G10268G12050，20069G5364学G1008G457股价指G6980期货理论G994G4466G17353研究G458，中国G12050G1262G12197学出G10268G12050，200510G2506G8716G2030G457股票价格指G6980期货G458，G8506G8733大学出G10268G12050，200411G12468G7219，G16897显G14647G457股指期货G4466务G458，G9258G2283G12197学G6228术出G10268G12050，200612G5441G1438G15925G457我国股票指G6980期货市场G17828作G8181式研究G458，复旦大学出G10268G12050，200313G19484G19754，2006G457G19462G14551股指期货风险的几个G1863键问题研究G458，G4