基于动态不完全契约的中国经济转型期金融期货市场风险监控研究

During China's economic transition, financial market has made certain progress. But the establishment of financial market system and the development of financial innovation are barely satisfactory, which should be attributable to path dependence on government regulation as well as misunderstanding of financial innovation. China is going to launch new financial derivatives, including financial futures, options and margin trading. Thus, there is an urgent need for the design of risk regulatory and control mechanisms which aim at adapting these financial derivatives to the characteristics and demand of China's transition economy. Taking financial futures, the most representative one, as an example and learning from the frontier of incomplete contract and mechanism design theory, this research program focuses on issues related to self-regulation and risk control of financial futures. The major concerns include 3 aspects. First, this program studies the appropriate institution of investors, the risk control mechanisms design with the thought of dynamic differentiated portfolio adjustment, and the design of the risk's assessment and feedback mechanism, the design of the risk's reward and punishment, the design of the risk's reference points, to optimize the investor structure in the financial futures market and to guide rational trading behavior of investors. Second, this study researches on the dynamic configuration of regulatory power of exchange and futures brokerage firm to manage their investors, in order to form a Incentive compatibility mechanism to protect investors. Finally, with the perspective of the financial network, this study focuses on the mechanism design of peeling risk off according to risk amplification and infection in the financial network, to prevent system risk from spreading and to enhance the efficiency of the self-regulation of the financial futures market in China.

我国经济转型期金融市场发展总体尚可，但金融市场体系建设与金融创新方面却差强人意。这里既有体制文化上的原因造成对政府监管路径依赖的影响，也有成熟市场经济国家金融发展中出现的问题甚至危机引发我们对金融创新的误解，更需要针对陆续推出的金融期货、期权、融资融券等在内的金融衍生品及创新业务如何与我国转型期金融市场需求及特点相结合的风险监控机制的设计。本项目以我国经济转型最为重要最具代表性金融创新产品,金融期货为研究对象，借鉴动态不完全契约和机制设计等理论前沿，研究通过金融期货投资者适当性制度、动态差异化组合调整风险控制、再评估、反馈与奖惩机制及其参照点设计，优化投资者结构及其交易行为；通过公司制交易所与期货经纪公司之间激励相容机制,优化监控权动态配置，保护投资者利益；通过投资者、期货经纪公司与交易所所组成的金融网络链条的风险传染、放大与熔断机制，防止系统性风险，提升我国金融期货市场的自律监管效率。

我国经济转型过程中金融市场发展总体尚可，但在为实体经济服务的金融创新及其市场体系建设方面却差强人意。这里既有传统体制文化忽视市场自律监管对政府监管路径依赖的影响，也有成熟市场经济国家金融出现的问题甚至危机引发对包括舶来品在内的金融创新的矫枉过正，故需要针对金融创新强调过程的特点，结合我国转型期金融市场需求及特点对陆续推出的包括金融期货（股指、国债）、期权、融资融券等在内的金融衍生品进行动态契约及风险监控机制设计。因此，本项目借鉴动态不完全契约理论、机制设计理论等前沿研究，分析如何针对性地对金融期货包括商品期货市场进行自律监管与风险控制，主要得到以下研究成果：第一，金融期货相关市场的风险识别与预防：基于投资者性质划分为个人与机构投资者或基于交易目的划分为套期保值者、套利交易者和投机者，进而分析不同类型投资者的交易规模、交易集中度、知情交易概率等对股指期货市场效率的影响，以预判不同类型投资者的行为特征可能引发多大的股指期货市场风险，进而设计更加合理的投资者适当性制度；第二，金融期货相关市场风险监管与控制：通过探讨交易所内外部治理结构对期货产品创新的影响，为金融创新背景下衍生品市场自律监管设计最优的控制权动态配置机制，并构建基于竞争性做市商和连续竞价机制的混合交易机制，辅以动态差异化的交易成本和买卖价差限制，以期通过丰富服务于实体经济的金融创新产品和优化投资者结构及其交易行为提高股指期货市场效率；第三，金融期货相关市场风险再评估与反馈：基于股指期货市场历史高频交易数据，探讨分类账户下投资者情绪与过度投机、投资者净持仓量与市场波动之间关系，并运用实验室实验比较交易所设置的奖励、惩罚、奖惩联合等激励机制，对期货公司监管投资者分仓投机、套期保值有效性等交易行为的影响，建议构建交易所为主体，并为期货公司设计激励相容的奖惩联合机制，以提高我国金融期货市场的自律监管效率。