股指期货市场操纵与价格发现功能的关系研究  

Study on Relationship between Market Manipulation and Price Discovery in Stock Index Futures Market

作　　者：左顺根[1] 杜吉中[2] 

机构地区：[1]华南理工大学经济与贸易学院,广东广州510006 [2]审计署驻广州特派员办事处,广东广州510623

出　　处：《南方金融》2012年第5期65-69,15,共6页South China Finance

摘　　要：股指期货市场操纵会影响股指期货市场的价格发现功能,同样地,股指期货市场的价格发现功能也会影响股指期货市场的操纵行为。本文在理论探讨的基础上,利用股指期货主力合约及对应的沪深300指数高频数据对市场操纵行为进行实证分析。研究结果表明,当操纵嫌疑只存在于期货市场时,股指期货市场的价格发现功能将会减弱;当操纵嫌疑存在于期货、现货两个市场时,股指期货市场的价格发现功能相对会增强。而且,当股指期货市场价格发现功能较强时,市场操纵的难度和成本都将下降。当前中国股指期货市场的操纵行为可能主要局限于某些个别的、离散的交易日内,系统地通过操纵现货指数来操纵期货市场的可能性较低。Manipulation in the stock index futures market may influence the market＇s price discovery funetion. Likewise,the function of price discovery in stock index futures market may also influence the stralegy of manipulation in futures markets. After both theorelical and empirical study by using high frequency trading data of the futures contracts of the month and the corresponding HS300 index, the paper founds that manipulation may weaken the stock index futures market＇s price discovery when it just exists in that market; it won＇t weaken that much when manipulation exists in both the spots and futures markets; and when the price discovery in the futures market is stronger, the manipulation is easier and the cost of manipulation is lowet.

关 键 词：股指期货 市场操纵 价格发现 高频数据 

分 类 号：F832.51[经济管理—金融学]