中国证券市场结构与股指期货操纵路径识别研究  

A Study of China's Securities Market Structure and Stock Index Futures Manipulation Path Recognition

作　　者：周伍阳[1] 

机构地区：[1]重庆理工大学经济与贸易学院,重庆400050

出　　处：《征信》2014年第4期80-83,共4页Credit Reference

基　　金：重庆市社会科学规划博士项目(2012BS08);重庆理工大学科研启动基金项目(2012ZD41)

摘　　要：在我国证券市场特殊结构下,探讨短期内集中资金拉升股票以带动证券市场指数上涨的这种股指期货操纵模式,总结针对我国市场结构特征的股指期货操纵具体手法与理论实现路径,并进一步采集实际交易的日内高频数据筛选出模拟操纵案例,最后运用成本收益分析方法对理论操纵路径进行识别。研究结果表明,指数杠杆型的操纵路径可行性较高,短期内拉升上证综指权重股的成本较低,潜在收益大,而选择沪深300指数权重股的指数拉动型路径很难成功,为防范此类操纵风险,建议完善证券市场结构等。Given the special securities market structure,the paper probes into the stock index futures manipulation model that pooling funds in the short term pulls up equities so as to accelerate stock market index in China＇s securities market. Then we sum up the manipulation methods in response to China＇s market structure features and theoretical realization path,collect the actually transacted daily high frequency data to sift analog manipulation cases, and finally identify theoretical manipulation paths by using cost- benefit analysis methods. The results show that the index leveraged manipulation method is a more feasible path,with lower costs and higher potential benefits by pulling up the Shanghai Composite Index heavyweights stock in the short run,and that the index pull- up path based on CSI 300 Index heavyweight stock is more difficult to succeed. In order to prevent such manipulation risk,policy proposals are put forward to improve our stock market structure.

关 键 词：证券市场结构 股指期货 市场操纵 成本收益分析 

分 类 号：F830.91[经济管理—金融学]