02_第二章_金融市场及机构

Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall1第二章:金融市场及机构目标金融系统收益率Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall2内容内容•2.1金融系统•2.2资金流•2.3攻能•2.4金融创新与看不见的手•2.5金融市场•2.6金融投资的回报率和指数•2.7金融中介•2.8金融基础设施和金融监管•2.9政府和准政府机构Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall32.22.2资金流动资金流动––资金从过剩的地方流道稀缺的地方资金从过剩的地方流道稀缺的地方••直接直接••通过市场通过市场••通过中介通过中介Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall4金融中介–金融服务，金融产品•银行，中信，中金•投资公司：基金公司，BerkshireHathaway•保险公司;Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall5资金流动图资金流动图市场中介盈余方稀缺方Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall6通过市场的资金流动市场中介盈余方稀缺方Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall7通过中介的资金流动市场中介盈余方稀缺方Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall8通过中介和市场的资金流动市场中介盈余方稀缺方Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall9通过市场和中介的资金流动市场中介盈余方稀缺方Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall10中介退出MarketsIntermediariesSurplusUnitsDeficitUnits市场中介盈余方稀缺方Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall11担保信用市场中介SurplusUnitsDeficitUnits低信用Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall12六大功能–转移资源•跨期跨界跨业–风险管理–清算支付和结算支付–汇集资源及细分股份–信息来源–激励机制Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall13激励问题•道德风险•信息不对称•代理问题Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall14小企业•借钱–从亲戚借钱，不敢不努力–从银行借钱，可能不一定–道德风险–不同的地方借钱，努力程度不一样Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall15逆向选择•胸口疼痛,买人寿保险，看医生•不对称信息导致逆向选择•保险公司也因此调节保险费Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall16代理问题•供应商给客户销售人员礼物•礼品券,豪华游,娱乐,贿赂–性贿赂,潜规则–国航Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall172.4金融创新和看不见的手•金融创新和市场需求.•信用卡Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall182.5金融工具•债券–固定收益•股权–剩余索取权,有限风险•金融衍生物–期货,期权Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall19金融市场•货币市场–政府和大公司短期债券–高流动性–全球整合•资本市场–股权和长过一年的债券Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall202.6金融市场的各种收益率•利率•汇率•指数Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall21利率•承诺的回报率–按揭率–债券利率•取决于–记账单位–到期期限–违约风险Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall22汇率风险•本国政府债券无风险–他国政府债券有汇率风险Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall23政府债券的其他风险•无违约风险•其他风险–到期期限和投资期限不一致–过长或过短•买一年期债券半年卖掉•买三月期债券，到期再买三月期债券•通货膨胀Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall24汇率风险•日本投资者一年投资期限–当前汇率为150日元/英镑–日元利率3%–英镑利率9%–投资15,000¥–期望:一年后汇率140¥/£Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall25汇率案例15000¥15260¥15450¥£100£109时序3%¥/¥(direct)1.73%¥/£/£/¥•150¥/£9%£/£140¥/£日本英国Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall26炒汇•炒作英镑亏本.回报1.73%,低于3%的直接投资•新期望一年后汇率是149日元/英镑•炒作英镑赚钱.回报8.27%,高于3%的直接投资Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall27炒汇赚钱炒汇赚钱15000¥16241¥15450¥£100£109时序3%¥/¥(direct)8.27%¥/£/£/¥150¥/£9%£/£149¥/£日元英镑Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall28金融创新•商业机会•一年后以现在谈定的汇率买卖英镑•远期Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall29远期合约15000¥(借款)15450¥15450¥还款£100投入£109到期的时序3%¥/¥(direct)3%¥/£/£/¥150¥/£9%£/£远期¥/£日本英国Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall30远期汇率()()74.141501*09.0103.01*111*1*1*1*1=++=++=+=+期货汇率现货汇率期货汇率日元期货汇率现货汇率日元英国日本日本英国rrrrCopyright©2009PearsonEducation,Inc.PublishingasPrenticeHall31到期期限•最后现金流期限•短期利率和长期利率Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall32美国国库券收益率曲线美国国库券收益率曲线Source:Bloomberg.comMay26,2006.Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall33违约风险•破产的概率–违约风险越高，利率越大–利差Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall34收益率比较四月'95美国国库券公司债公司债高级中级1-10Years6.92%7.57%7.86%10++Years7.65%8.15%8.55%Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall35风险资产的收益率•不确定•房地产•股票•艺术品投资•回报:•现金流•资本收益Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall36持有其回报率•假定:–股票购买价是100元–一年后卖出是105元–分红五元Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall37回报率计算%1010.0100$5$)100$105($)(==+−=+−=ReturnStartPricendCashDivideStartPriceEndPriceReturnCopyright©2009PearsonEducation,Inc.PublishingasPrenticeHall38金融指数•市场指数•美国:DJI,SP500•日本:Nikkei,Topix•英国:FT-30,FT-100•德国:DAX•法国:CAC40•瑞士:CreditSuisse•欧洲，澳大利亚，远东:MSCI,EAFE•中国:上深指数Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall39投资回报的历史回顾Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall40股票基金运营费用比率股票基金运营费用比率(%,1990(%,1990--2003)2003)Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall41股票基金周转率股票基金周转率(%,1971(%,1971--2005)2005)Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall42基金投资者费用基金投资者费用(%,1990(%,1990--2005)2005)Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall43•证券回报率•-60.00•-40.00•-20.00•0.00•20.00•40.00•60.00•1925•1930•1935•1940•1945•1950•1955•1960•1965•1970•1975•1980•1985•1990•1995•Year•%Return•短期国库券•长期国库券•股权•通涨Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall44总回报指数总回报指数(1926(1926--2004)2004)Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall45年回报率年回报率(1926(1926--2003)2003)Copyright©2009PearsonEducation,Inc.Publ