基于极值相关分析方法的股指期货操纵防范研究  

Investigation on prevention of manipulation in the stock index future markets based on method of extreme correlation

作　　者：李悦雷[1] 张维[1,2] 熊熊[1] 梁朝辉[3] 

机构地区：[1]天津大学管理与经济学部,天津300072 [2]天津财经大学,天津300222 [3]天津工业大学经济学院,天津300160

出　　处：《管理科学学报》2010年第11期104-111,共8页Journal of Management Sciences in China

基　　金：国家自然科学基金项目(70971096;70801043);教育部新世纪优秀人才支持计划资助项目(NCET-07-0605);中国期货行业协会联合研究计划资助项目(GT200702);天津社会科学基金资助项目(TJ05-TJ003)

摘　　要：操纵行为是衍生品市场中最主要的违法违规行为,各国政府一直致力于资本市场操纵行为的防范.对期货市场的操纵可以通过对现货市场的权重股进行操纵,引起指数的大幅波动,进而实现从现货和期货市场套利的目的.利用极值相关理论对沪深300指数期货的操纵防范问题进行研究,通过分析发现,权重板块(股票)与指数在价格下跌过程中的极值相关性明显强于价格上涨过程中的极值相关性;另外,发现股票的权重大小与分析得到的极值相关性并不是对称的.并且从投资行为的角度对上述的现象做出了一些解释,指出人们的投资心理在一定程度上可以对指数的极端变化起到一个放大的作用,这有可能成为操纵者利用的一个工具,特别是应该对指数下跌时的风险防范更加注意.最后,根据极值相关性的强弱关系,给出了相应的沪深300指数期货操纵防范的策略.Manipulation is a main illegal behavior in the derivative markets,and all the governments devote themselves to preventing manipulation in the capital markets.In order to prevent manipulation in the HS300 stock index future market which has been launched in China,some investigations based on the extreme correlation method have been carried out.Arbitrage can be carried out by manipulating the weight stocks to affect the price index.If the manipulation appears,the price index would boom or drop extremely.The investigation shows that the extreme correlation coefficients are much stronger during the boom process than the drop process.In addition,there is an asymmetric between the weights of stocks with the extreme correlation coefficients.Also,there are some explanations for these characters from the view of investor＇s behavior.Especially,there will be more risk when the index drops.Finally,some strategies which are dependent on this research has been suggested.

关 键 词：极值理论 股指期货 操纵防范 

分 类 号：F830.91[经济管理—金融学]