金融市场学大纲

《金融市场学》教学大纲课程名称：《金融市场学》英文名称：《Financial Market》学分： 3 总学时： 60实验（上机）学时： 无开课专业： 财务学专业一、课程性质、目的和培养目标：课程性质：学位课金融市场学是财务学专业必修课程和学位课程之一。

通过本课程的学习要求学生掌握金融市场学的基本概念和理论，深刻认识金融市场运行的实质，把握反映金融市场运行的一般规律，全面认识金融市场运行的基本问题，了解当代国际金融市场的演变及其发展趋势，从而科学地认识金融市场发展的历史进程。

二、预修课程：西方经济学、管理学、三、课程内容和建议学时分配：章节内容学时Chapter 1 Role of Financial Markets and Institutions 4课时第一节Overview of Financial MarketsMoney Versus Capital Markets；Primary Versus Secondary Markets；Organized Versus Over-the-Counter Markets.第二节Securities Traded in Financial MarketsMoney Market Securities；Capital Market Securities；DerivativeSecurities.第三节Valuation of Securities in Financial MarketsMarket Pricing of Securities；Market Efficiency.第四节 Financial Market RegulationDisclosure；Other Regulations.第五节Financial Market GlobalizationRole of the Foreign Exchange Market；Foreign Exchange Rates.第六节Role of Financial Institutions in Financial MarketsRole of Depository Institutions；Role of Nondepository Institutions；Comparison of Roles Among Financial Institutions.第七节Overview of Financial InstitutionsCompetition Between Financial Institutions；Consolidation of FinancialInstitutions；Global Expansion by Financial InstitutionsChapter 2 Determination of Interest Rates 4课时第一节 Loanable Funds TheoryHousehold Demand for Loanable Funds；Business Demand for LoanableFunds；Government Demand for Loanable Funds；Foreign Demand forLoanable Funds；Aggregate Demand for Loanable Funds；Supply ofLoanable Funds；Equilibrium Interest Rate.第二节 Economic Forces That Affect Interest RatesImpact of Economic Growth on Interest Rates；Impact of Inflation onInterest Rates；Impact of the Money Supply on Interest Rates；Impact ofthe Budget Deficit on Interest Rates；Impact of Foreign Flows of Funds onInterest Rates；Summary of Forces that Affect Interest Rates.第三节Evaluation of Interest Rates Over TimeQuotations of existing interest rates and trends of historical interest ratesfor various debt securities.第四节 Forecasting Interest RatesFramework for forecasting interest rates.Chapter 3 Structure of Interest Rates 4课时第一节Characteristics of Debt Securities That Cause Their Yields to VaryCredit Risk；Liquidity；Tax Status；Term to Maturity；Special Provisions.第二节Explaining Actual Yield DifferentialsYield Differentials of Money Market Securities; Yield Differentials ofCapital Market Securities; Estimating the Appropriate Yield;第三节 A Closer Look at the Term StructurePure Expectations Theory; Liquidity Premium Theory: SegmentedMarkets Theory; Research on Term Structure Theories; Integrating theTheories of the Term Structure; Uses of the Term Structure; Impact ofDebt Management on the Term Structure; Impact of September 11 on theTerm Structure; Historical Review of the Term Structure.第四节 International Structure of Interest RatesYield curves among foreign countries.Chapter 4 Functions of the Fed 4课时第一节Organization of the FedFederal Reserve District Banks；Member Banks；Board of Governors；Federal Open Market Committee (FOMC)；Advisory Committees；Integration of Federal Reserve Components.第二节Impact of Technical Factors on FundsTechnical Factors第三节Fed Control of Money SupplyLimitations of Controlling Money Supply；第四节Money Control Act of 1980DIDMCA第五节Global Monetary PolicyA Single Euro Zone Policy; Global Central Bank Coordination.Chapter 5 Monetary Theory and Policy 4课时第一节Monetary TheoryPure Keynesian Theory; Quantity Theory and the Monetarist Approach;Theory of Rational Expectations; Which Theory is Correct?第二节Tradeoff Faced by the FedImpact of Other Forces on the Tradeoff第三节Economic Indicators Monitored by the FedIndicators of Economic Growth; Indicators of Inflation; How the Fed usesIndicators.第四节Lags in Monetary PolicyRecognition lag; implementation lag; impact lag.第五节Assessing the Impact of Monetary PolicyForecasting Money Supply Movements；Forecasting the Impact ofMonetary Policy.第六节Integrating Monetary and Fiscal PoliciesHistory；Monetizing the Debt；Market Assessment of Integrated Policies.第七节Global Effects of Monetary PolicyImpact of the Dollar；Impact of Global Economic Conditions；Transmission of Interest Rates；Fed Policy During the Asian Crisis.Chapter 6 Money Markets 4课时第一节Money Market SecuritiesTreasuryBills；Commercial Paper；Negotiable Certificates of Deposit(NCDs)；Repurchase Agreements；Federal Funds；Banker's Acceptances.第二节Institutional Use of Money MarketsInstitutional Use of Money Markets第三节Valuation of Money Market SecuritiesExplaining Money Market Price Movements；Indicators of Future Money Market Security Prices.第四节Risk of Money Market SecuritiesMeasuring Risk第五节 Interaction Among Money Market YieldsMoney Market Yield第六节Globalization of Money MarketsEurodollar Deposits and Euronotes；Euro-commercial Paper；Performance of Foreign Money Market Securities.Chapter 7 Bond Markets 4课时第一节Background on BondsBond Yields第二节Treasury and Federal Agency BondsTreasury Bond Auction；Trading Treasury Bonds；Treasury BondQuotations；Stripped Treasury Bonds；Inflation-Indexed Treasury Bonds；Brady Bonds；Federal Agency Bonds.第三节 Municipal BondsTrading and Quotations第四节 Corporate BondsPrivate Placements of Corporate Bonds；Characteristics of CorporateBonds；Trading Corporate Bonds；Corporate Bond Quotations；JunkBonds；How Corporate Bonds Facilitate Restructuring.第五节Institutional Use of Bond MarketsParticipation of Financials in bond Markets第六节Globalization of Bond MarketsEurobond Market；Tax Effects.Chapter 8 Bond Valuation and Risk第一节 Bond Valuation Process 4课时Bond Valuation with a Present Value Table；Impact of the Discount Rateon Bond Valuation；Impact of the Timing of Payments on BondValuation；Valuation of Bonds with Semiannual Payments；Use of AnnuityTables for Valuation.第二节Relationships between Coupon Rate, Required Return, and Bond PriceImplications for Financial Institutions第三节Explaining Bond Price MovementsFactors That Affect the Risk-free Rate；Factors That Affect the Credit(Default) Risk Premium；Summary of Factors Affecting Bond Prices.第四节Sensitivity of Bond Prices to Interest Rate MovementsBond Price Elasticity； Duration.第五节Bond Investment Strategies Used by InvestorsMatching Strategy； Laddered Strategy； Barbell Strategy；Interest RateStrategy.第六节Return and Risk of International BondsInfluence of Foreign Interest Rate Movements；Influence of Credit Risk；Influence of Exchange Rate Fluctuations； International BondDiversification.Chapter 9 Mortgage Markets 4课时第一节Background on MortgagesV olume of Mortgage Debt by Type of Property第二节Residential Mortgage CharacteristicsInsured versus Conventional Mortgages; Fixed-Rate versusAdjustable-Rate Mortgages; Mortgage Maturities.第三节Creative Mortgage FinancingGraduated-Payment Mortgage (GPM);Growing-Equity Mortgage; SecondMortgage; Shared-Appreciation Mortgage.第四节Activities in the Mortgage MarketHow the Secondary Market Facilitates Mortgage Activities;Unbundling of Mortgage Activities;第五节Institutional Use of Mortgage MarketsMortgages by Holder第六节 Valuation of MortgagesFactors That Affect the Risk-free Rate; Factors That Affect the Risk-freePremium; Summary of Factors Affecting Mortgage Prices; Indicators ofChanges in Mortgage Prices.第七节Risk From Investing in MortgagesInterest Rate Risk;Prepayment Risk;Credit Risk;Measuring Risk.第八节Use of Mortgage-Backed SecuritiesGinnie Mae Backed Securities;Fannie Mae Backed Securities;Publicly Issued Pass-Through Securities;ParticipationCertificates;Collateralized Mortgage Obligations; Mortgage-BackedSecurities for Small Investors.第九节Globalization of Mortgage MarketsGlobalization of Mortgage MarketsChapter 10 Stock Offerings and Investor Monitoring 4课时第一节Background on StockOwnership and V oting Rights;Preferred Stock;Issuer Participation in Stock Markets.第二节 Initial Public OfferingsProcess of Going Public;Underwriter Efforts to Ensure PriceStability;Timing of IPOs;Initial Returns of IPOs; Long-term PerformanceFollowing IPOs.第三节Secondary Stock OfferingsShelf-Registration第四节 Stock ExchangesOrganized Exchanges;Over-the-Counter Market;Consolidation of StockExchanges;Late Trading Provided at Stock Exchanges;Stock Quotations Provided by Exchanges;Stock Index Quotations.第五节Investor Participation in the Secondary MarketHow Investor Decisions Affect the Stock Price;Types of Investors.第六节 Monitoring by InvestorsShareholder Activism第七节The Corporate Monitoring RoleStock Repurchases; Market for Corporate Control; Barriers to CorporateControl.第八节Globalization of Stock MarketsForeign Stock Offerings in the United States; International PlacementProcess; Global Stock Exchanges; Emerging Stock Markets; MethodsUsed to Invest in Foreign Stocks.Chapter 11 Stock Valuation and Risk 4课时第一节 Stock Valuation MethodsPrice-Earnings (PE) Method; Dividend Discount Model; Adjusting theDividend Discount Model.第二节Determining the Required Rate of Return to Value StocksCapital Asset Pricing Model; Arbitrage Pricing Model.第三节 Factors That Affect Stock PricesMarket-Related Factors; Firm-Specific Factors;EconomicFactors;Integration of Factors Affecting Stock Prices.第四节Role of Analysts in Valuing StocksConflicts of Interest;Impact of Disclosure Regulations; Unbiased AnalystRatings Services.第五节 Stock RiskMeasures of Risk第六节Applying Value at RiskMethods of Determining the Maximum Expected Loss;Deriving the Maximum Dollar Loss; Common Adjustments to theValue-at-Risk Applications.第七节Forecasting Stock Price V olatility and BetaMethods of Forecasting Stock Price V olatility; Forecasting a StockPortfolio’s V olatility; Forecasting a Stock Portfolio’s Beta.第八节Stock Performance MeasurementSharpe Index; Treynor Index.第九节 Stock Market EfficiencyForms of Efficiency; Tests of the Efficient Market Hypothesis第十节Foreign Stock Valuation, Performance, and EfficiencyValuation of Foreign Stocks; Measuring Performance from Investing inForeign Stocks; Performance from Global Diversification; InternationalMarket Efficiency.Chapter 12 Market Microstructure and Strategies 4课时第一节 Stock Market TransactionsPlacing an Order; Margin Trading;Short Selling; Investing in Stock Indexes.第二节 How Trades Are ExecutedFloor Brokers; Specialists and Market Makers; Electronic CommunicationNetworks (ECNs); Program Trading.第三节Regulation of Stock TradingCircuit Breakers; SEC.第四节How Barriers to International Stock Trading Have DeclinedReduction in Transaction Costs; Reduction in Information Costs;Reduction in Exchange Rate Risk.Chapter 13 Financial Futures Markets 4课时第一节Background on Financial FuturesSteps Involved in Trading Futures; Purpose of Trading Financial Futures.第二节Interpreting Financial Futures TablesExample of treasury bill Futures Quotations第三节Valuation of Financial FuturesImpact of the Opportunity Cost第四节Explaining Price Movements of Bond Futures ContractsFramework for Explaining Changes in Treasury bond Futures Prices overTime第五节Speculating with Interest Rate FuturesImpact of Leverage第六节Closing Out the Futures PositionExample第七节Hedging with Interest Rate FuturesUsing Interest Rate Futures to Create a Short Hedge; Using Interest RateFutures to Create a Long Hedge; Hedging Net Exposure.第八节Bond Index FuturesMBI第九节Stock Index FuturesValuing Stock Index Futures Contracts; Speculating with Stock IndexFutures; Hedging with Stock Index Futures; Dynamic Asset Allocationwith Stock Index Futures; Prices of Stock Index Futures Versus Stocks;Arbitrage with Stock Index Futures; Circuit Breakers on Stock IndexFutures.第十节 Risk of Trading Futures ContractsMarket Risk; Basis Risk; Liquidity Risk; Credit Risk; Prepayment Risk;Operational Risk.第十一节Regulation in the Futures MarketsSystemic Risk第十二节Institutional Use of Futures MarketsTypes of Financial Institution第十三节Globalization of Futures MarketsNon-U.S. Participation in U.S. Futures Contracts; Foreign Stock IndexesFutures; Currency Futures Contracts.Chapter 14 Options Markets 4课时第一节Background on OptionsMarkets Used to Trade Options; How Option Trades Are Executed; Typesof Orders; Stock Option Quotations.第二节Speculating with Stock OptionsSpeculating with Call Options; Speculating with Put Options.第三节Determinants of Stock Option PremiumsDeterminants of Call Option Premiums; Determinants of Put OptionPremiums.第四节Explaining Changes in Option PremiumsIndicators Monitored by Participants in the Options Market第五节Hedging with Stock OptionsHedging with Call Options; Hedging with Put Options.第六节Stock Index OptionsHedging with Stock Index Options; Dynamic Asset Allocation with StockIndex Options; Using Index Options to Measure the Market’s Risk.第七节Options on Futures ContractsSpeculating with Options on Futures第八节Hedging with Options on FuturesHedging with Options on Interest Rate Futures; Hedging with Options onStock Index Futures.第九节Institutional Use of Options MarketsParticipation in Options Markets第十节Globalization of Options MarketsCurrency Options ContractsChapter 15 Interest Rate Derivative Markets 2课时第一节BackgroundInterest rate swap第二节Participation by Financial InstitutionsFinancial Institutions第三节Types of SwapsPlain Vanilla Swaps; Forward Swaps; Callable Swaps; Putable Swaps;Extendable Swaps; Zero-Coupon-for-Floating Swaps; Rate-CappedSwaps; Equity Swaps; Other Types of Swaps.第四节Risks of Interest Rate SwapsBasis Risk; Credit Risk; Sovereign Risk.第五节Risks of Interest Rate SwapsBasis Risk; Credit Risk; Sovereign Risk.第六节Pricing Interest Rate SwapsPrevailing Market Rates; Availability of Counterparties; Credit andSovereign Risk.第七节Factors Affecting the Performance of Interest Rate SwapsIndicators Monitored by Participants in the Swaps Market第八节 Interest Rate Caps, Floors, and CollarsInterest Rate Caps; Interest Rate Floors; Interest Rate Collars.第九节Globalization of Swap MarketsCurrency Swaps;Risk of Currency Swaps.Chapter 16 Foreign Exchange Derivative Markets 2课时第一节Background on Foreign Exchange MarketsInstitutional Use of Foreign Exchange Markets; Exchange RateQuotations;Types of Exchange Rate Systems.第二节Factors Affecting Exchange RatesDifferential Inflation Rates; Differential Interest Rates;Central BankIntervention; Indirect Intervention; Foreign Exchange Controls.第三节Forecasting Exchange RatesTechnical Forecasting; Fundamental Forecasting; Market-BasedForecasting; Mixed Forecasting.第四节Foreign Exchange DerivativesForward Contracts; Currency Futures Contracts; Currency Swaps;Currency Options Contracts; Use of Foreign Exchange Derivatives forSpeculating.第五节International ArbitrageLocational Arbitrage;Covered Interest Arbitrage.第六节Explaining Price Movements of Foreign Exchange DerivativesIndicators of Foreign Exchange Derivative Prices四、教材和参考书目：教材：何丽芬改编，刘红忠审校：《金融市场与机构》（第三版），高等教育出版社，2005年7月参考书目：1. [美] F·米什金：《货币银行与金融市场经济学》（英文第6版），北京大学出版社，2002年版2.张亦春、郑振龙主编：《金融市场学》（第三版），高等教育出版社，2008年3. 许文新主编：《金融市场学》，复旦大学出版社，2007年版五、课外学习要求：学生须做到课前阅读教材，课后阅读相关文献和资料，以加深对教材相关基本原理的理解，同时准备课堂提问。