期货市场逼仓风险指标的构建及实证研究  

Empirical Study on the Constructed Squeeze Risk Index(SRI) in China Futures Markets

作　　者：黄伟[1] 刘海龙[1] 

机构地区：[1]上海交通大学安泰经济与管理学院金融工程研究中心,上海200052

出　　处：《工业工程与管理》2008年第3期29-36,共8页Industrial Engineering and Management

基　　金：国家自然科学基金重点课题(70331001)

摘　　要：从库存、持仓及期现基差三方面构建了期货市场逼仓风险指标。从持有成本、持仓库存关系角度推导出指标的合理上限值作为固定阈值，采用分位数阈值法与固定闽值法相结合的闽值确定方法识别逼仓风险，为期货市场逼仓风险的预警及监控提供理论基础及实务操作方法。并针对2002．1．7-2006．9．1期间上海期货交易所所有上市天然橡胶合约进行实证分析，分析了全样本与分段样本两种时间窗口的实证效果，得出按照保证金调整制度设定的分段样本下的分位数与固定阈值结合法是更优的逼仓识别方法。实证结果显示ru0306和ru0407合约存在较高的逼仓风险，与业界普遍观点相符。Considering three different aspects of the stock, the open interest and the basis of futures and spot, the paper constructs the squeeze risk index （SRI） in futures markets. The SRI＇s reasonable upper limit, deduced basing on cost of carry theory and the relationship of open interest and stock,makes as constant threshold. The paper identifies squeeze risk adopting the threshold methods associating with quantile threshold and constant threshold. The paper provides the theory foundation and the practical operation method for the futures market＇s squeeze risk alarm and control. An empirical study on all rubber contract in Shanghai Futures Exchange （SHFE） from Jan 7,2002 to Sep 1, 2006. Through analyzing the two different time windows of the whole sample and subsection sample, the paper shows that it is more suitable squeeze identification method with the threshold methods associating with quantile threshold and constant threshold under subsection sample setting by China＇s margin adjustment system. The empirical results show that the ru0306 and ru0407 contracts have significant squeeze risk. It is consistent with the prevalent market viewpoints.

关 键 词：期货市场 逼仓 逼仓风险指标 阈值 

分 类 号：F830.9[经济管理—金融学]