从 2020 年到 2021 年，以雪球产品为代表的结构化产品在投资者中备受追捧，迎来了销量大爆发，但随之而来的问题也引起了证监会等监管机构的重视，2021年监管机构出台了一系列新规来强化雪球等结构化产品的监督管理。本文梳理总结了中国结构化产品的现状以及雪球产品在国内外的发展历程。同时总结了中外研究对于结构化产品带来的正面和负面影响的观点。本文从国内某前十证券公司发行的所有雪球类型收益凭证统计出发，总结了国内雪球产品的收益风险特征。 随后从三方面研究雪球产品造成的影响，第一方面雪球产品对国内投资者的影响，虽然在很多研究中都指出结构化产品存在定价过高的问题，但国内雪球主要以中证 500 指数为挂钩标的，补充了 A 股市场没有场内中证 500 指数期权的情况，对中证 500 雪球产品的胜率回测展示出雪球产品独特的收益与风险特征，为投资者丰富了不同市场情况下的投资选择。第二方面分析了雪球对冲操作带来的市场影响，具体阐述了证券公司的雪球对冲对指数波动率和股指期货基差产生的影响。借鉴双重差分法思想，分析显示中证 500 雪球的出现降低了中证 500 波动率，对市场有平抑波动的效果，对股指期货基差也产生了积极的收敛作用。第三方面是雪球产品对监管机构的影响，雪球等复杂结构化产品的兴起对监管机构提出了新的要求，本文总结了一系列对雪球产品的监管新规则。监管机构借鉴了海外成熟市场结构化产品运作的经验，新规对结构化产品的长期健康发展带来了积极影响。

From 2020 to 2021, structured products represented by snowball products were popular with investors and ushered in a large outbreak of sales. However, the following problems also attracted the attention of the CSRC and other regulatory agencies. In 2021, a series of new regulations were issued to strengthen the supervision of snowball products. This paper summarizes the current situation of structured products in China and the development process of snowball products in China and overseas. This paper summarizes the positive and negative effects of structured products on previous research. From the statistics of snowball products issued by a top ten domestic securities company, this paper summarizes the characteristics of snowball products. This paper analyzes and studies the impact of snowball products from three parts. The first part is the impact of snowball products on domestic investors. Although many studies have pointed out that structured products have the problem of over pricing, domestic snowball is mainly targeted at CSI 500, which supplements the situation that there is no floor trading CSI 500 option market in China. The back test of CSI 500 snowball products shows that snowball products have the characteristics of high win rate and low odds, which enriches investors' investment choices under different market conditions. The second aspect analyzes the market impact of snowball hedging operation, and specifically expounds the impact on index volatility and stock index futures basis. Drawing lessons from the thought of double difference method (DID), it shows that the emergence of the CSI 500 snowball reduces the volatility of the CSI 500. Snowball product has the effect of stabilizing the volatility of the market and also has a positive convergence effect on the basis of stock index futures. The third part is the impact of snowball products on regulators. The rise of snowball and other complex structured products puts forward new requirements for regulators. This paper summarizes a series of new regulatory rules for snowball products. Regulators have learned from the operation experience of structured products in overseas markets, and the new regulations have a positive impact on the long-term and healthy development of structured products.