从波动性和流动性判别股指期货跨市场价格操纵行为  

Discrimination of Cross-Market Price Manipulations in Stock Index Futures Market:Evidences from Volatility and Liquidity

作　　者：张维[1] 韦立坚[1] 熊熊[1] 李根[1] 马正欣[1] 

机构地区：[1]天津大学管理与经济学部,天津300072

出　　处：《管理评论》2011年第7期163-170,176,共9页Management Review

基　　金：国家自然科学基金项目(70971096);教育部新世纪优秀人才支持计划项目(NCET-07-0605);中国期货行业协会联合研究计划项目(GT200702)

摘　　要：股指期货价格操纵一般具有期现跨市场联合操纵的特点,仅按单一市场从波动性分析去判别价格操纵行为是不够充分的。本文引入流动性分析为判别提供了更充分的依据:首先运用GARCH模型分析被操纵资产在波动性的异常变化,判断价格序列偏离了"自然特性",具有被操纵的嫌疑;然后利用日交易量、日持仓量和Amivest流动性比率等指标分析流动性的异常变化,发现与根据跨市场操纵过程推测的变化一致,从而构成价格操纵行为的事实依据。This paper aims to expand the method that we usually discriminate price manipulation behavior in accordance with the analysis of market volatility in the single market in view of the fact that stock index futures price manipulation bears the characteristics of cross-market.This paper firstly uses GARCH model to analyze the abnormal changes concerning the volatility of the manipulated assets,then comes to the conclusion that the price series deviate from the＂natural characteristics＂ and are suspected of being manipulated.Following this,it analyses the abnormal change of volatility by use of the daily trading volume daily positions and Amivest liquidity ratios indicators and finds out that price manipulation behavior exerts a big impact upon the liquidity changes.And then,it comes to the final conclusion that the liquidity changes are consistent with the manipulation processes,so it forms the factual basis of the existence of the price manipulation behavior.

关 键 词：股指期货 跨市场价格操纵 判别 波动性 流动性 

分 类 号：F832.51[经济管理—金融学] F224