以青山集团LME镍被逼仓事件为例的期货市场狙击风险分析框架  

An Analytical Framework of Derivatives Sniper Attack Risk Based on the Case Study of Tsingshan Group’s Forced Liquidation Incident in LME Nickel

作　　者：徐扬[1] 部慧[1] Xu Yang;Bu Hui(School of Economics and Management,Beihang University,Beijing 100191)

机构地区：[1]北京航空航天大学经济管理学院,北京100191

出　　处：《管理评论》2024年第2期257-272,共16页Management Review

基　　金：国家自然科学基金青年项目(72001013);国家自然科学基金面上项目(91846108,71671012)。

摘　　要：伦敦金属交易所(LME)镍期货价格在2022年3月7日至8日两个交易日暴涨,令我国青山控股集团持有的镍套期保值空头头寸浮亏惨重,成为又一起企业参与境外衍生品交易被国际资本狙击的风险事件。通过对“LME镍事件”详细的案例分析与解构,本研究从狙击动机、客观条件、市场环境、狙击手段四个维度提出了分析期货市场狙击风险的一般性分析框架。研究发现,交叉套保令青山集团实物交割能力弱成为被狙击的客观条件;地缘政治风险引发镍库存低水平运行的市场环境进一步限制了青山集团对可交割库存的掌控能力和交割能力;LME合约设计令交易者的交易仓位和动机更易暴露;LME交易制度令短期价格操纵等狙击行为更具便利。由此可推断出本次狙击者所采用的期货合约、狙击时间、价格操纵手法等狙击手段和策略。结合对大类持仓报告的分析,本文发现本次狙击的动机可能是镍资源争夺战,通过期货、现货和实体行业竞争三管齐下。此外,本研究利用事件分析法证实了2022年3月7日镍期货价格暴涨并非基本面因素支撑而是交易因素驱动的价格异常。本研究结合案例分析、数据分析、实证分析等多种范式提出的分析框架,对于识别期货市场狙击风险、价格操纵并有效防范相关风险的发生具有重要价值。The nickel futures prices on the London Metal Exchange(LME)experienced a sharp surge during the two trading days from March 7th to 8th,2022.As a result,Tsingshan Holdings Group,a Chinese company heavily involved in nickel hedging,suffered a significant loss,which marks another risk event where a domestic enterprise participating in overseas derivative trading was targeted by international capital.This paper provides a detailed case analysis of the sniper activity among“LME nickel futures incidents”,and proposes an analytical framework for analyzing sniper events and sniper risk in the futures market from four dimensions:objective conditions,market environment,sniper strategies,and sniper motivation behind.The study reveals that the weak physical delivery capacity caused by cross-hedging became an objective condition for Tsingshan Group to be targeted,and the market environment of low-level nickel inventories triggered by geopolitical risks further limited Tsingshan Group's inventory control and delivery capacity.The design of LME contracts exposes trading positions and motivations,while the LME trading system facilitates short-term price manipulation and other sniper behaviors,allowing the inference of the using contract,timing,and price manipulation ways employed in this sniper attack.Analysis of large position reports reveals that the essence of this sniper attack may be a battle for nickel resources.Finally,this study utilizes event analysis to confirm that the sharp increase in nickel futures prices on March 7th,2022,was driven by trading factors rather than fundamental factors.The analytical framework proposed in this research,which combines case analysis,data analysis,and empirical analysis,is of significant value in identifying sniper risks,recognizing market manipulation,and better evaluating related risks for early warning and prevention.

关 键 词：期货逼仓事件 库存 持仓 分类持仓报告 期货贴水 价格异常检测 

分 类 号：F713.35[经济管理—产业经济] F125F764.2F426.32