期货市场操纵与侦察
摘要
本论文运用微观结构结构理论研究我国市场操纵的机制和影响操纵者作出决策的因素,并作出侦察的计量模型,力图找到操纵者的阿琉喀斯之踵,是富有理论与现实意义的。论文主要考察我国了具体环境下操纵发生的条件。从品种缺失、参与者结构和市场信息传播结构等方面的分析出发,通过数理模型的建立与具体事例的解析,得出:我国不同于西方发达国家的市场微观结构是我国期货市场操纵事件频发的重要原因。其次,根据期货操纵的特点设计侦察计量方法,为抑制操纵提供有力的判断方法,最后提出稳健快速发展期货品种,培育套保参与者,改革监管体制,提高监管技术的一些具体建议。文章分为七章。
第一章引言,对选题意义,研究方法,文章框架和创新点予以说明,并介绍内外研究现状。国外文献主要从微观结构理论来研究操纵。国内的研究不够深入。第二章期货市场操纵的界定。首先从法学角度对各国的期货操纵的法律界定进行综述,一般地,界定涉及人为性、市场力、操纵意图三个方面,在操纵意图要素上,存在分歧,有些司法制度并没有将它作为操纵要件。在所有司法文本中,欧洲的做法值得借鉴,即一般说明加列举,来界定操纵。经济学家的界定主要从价格偏离均衡,以及这种偏离表现的方式和福利影响来界定,特别强调市场力和人为经济因素。规范的操纵定义来自H-S超额利润的封闭回路交易模型。本章最后给出了一个较为清晰的定义。
第三、四、五章分别构建微观结构的数理模型,考察我国期货市场微观结构特点与操纵的关系。第三章表明,因品种缺失,引起市场不完全,一些套保者找不到套保途径,导致市场投机气氛过浓,操纵频率增加。第四章从期货市场的价格拍卖机制入手,结合价格形成的聚簇现象,说明:由于中小投机者融资能力低,导致操纵者挤仓更容易取得成功。大量中小投机者的存在和他们跟风严重的特征,也增加了多空对峙事件的发生频率。第五章从一般股市的流言操纵入手,运用模型和案例说明期货市场上操纵者运用流言操纵市场时主要是散播新颖的主题、并运用权威的身份反复操纵。
第六章,操纵的计量侦察。根据检验期货市场操纵就是检验商品与期货合约价格在特定的地点(交割地点)、特定的时间(交割期)的特定变化的思想,用协整、VECM检测待检期间的特定合同价格相对于其他相关合同的奇异运动,以此从数量上确认合同价格被操纵的可能。
最后一章从成本角度分析影响操纵概率和程度的因素。提出我国期货市场规范建设的根本方向就是调整我国期货法规,积极稳妥发展品种,培育套保者,改革监管体制,提高监管技巧。
This essay studies the mechanism of the manipulation through applying microstrcture theory, then finding the factors of influencing the manipulator to make decisions, finally establishing the econometric model and finding heel of Alewcas. Therefore, it is significant in pratics and in theory innovation.
The essay mainly examines the conditions stimulating the futures market manipulation , such as the market structure under the China’s special circumstances. It establishes some mathematical model about the impacts on probilities of futures market manipulation from the variaties’lackage, from the bad-proprotion in the paticipants and from the machinery of the transmiting information , especially the market micro-structure that differs from the developed countries. And then it is designed an econometric model according to the features of the futures manipulation and provides a powerful judging method to control manipulation. At last, it holds up some specific suggestions in developing the futures variaties, fostering the hedgers, reforming the supervising system and improving the supervising technics.
It introduces the significance of selecting the topic, the researching methods, the frame of the essay and the essay’s innovatings in the first chapter. In the second chapter, it gives a definition of the futures manipulation. And ,the remaind of the chapter is mainly concerned the researching actuality at home and abroad. It studies the manipulation by using micro-structure theory in the foreign literatures, but it doesnot study thoroughly in China. Firstly, it gives an overview to defining the future manipulation in different countries from the law points. Generally, the defining involves three aspects such as artificialness, the market power, and the manipulating intention, but for the manipulating intention, it is not concerned as an element in some judicial systems. In all of the judicial text, the EU’s practice, that is, to define the manipulation by generally illustrating and enumerating, is worth to use for reference. The economists’definition is mainly to define it from the price deviation from the equilibrium and the displaying manner of this deviation as well as the welfare loss. They specially impress on the market power and artificialness. The normal definition of the manipulation is from H-S Model which expresses the excess profits in the close circuit trade. The chapter ends with a plain difinition of the futures market manipulation set up by the author.
The third, fourth, and fifth chapter establish the mathmatical micro-structure model respectively and examine the relations between the features of the micro-structure and manipulation in China’s futures market. The third chapter shows that it causes the incomplete market and some hedgers cannot find the hedging ways due to the variaties’lackage, then leads to the excess speculation and more frequent manipulation events. In the forth chapter, it illustrates it is easy to squeeze to the manipulators because the middle-small speculators has a low financing power from the price auction in the futures market combining with the cluster of the bid price and ask price. It also displays the increased occurrence of the long and short confrontation events due to the existence of enormous middle-small speculators and their following psychonogy. The fifth chapter analyzes by using models and cases the use of the rumour manipulating skills in the futures market from the rumour manipulation in common stock market and explains the principles and skills which the speculators use novel rumour,abuse their authorities to repeatly manipulate the market in the futures market to grt profits.
The sixth chapter describes the detecting manipulation by using econometric methods. According to the idea of examing the futures market manipulation is examining the special change of the futures’contract price and the underlying commodities in special place, time, it uses the cointergration, VECM to examine the price’s odd movement of the special contracts waiting for examing relative to the other related contracts and confirm the probablity of the contract price be manipulated from the quantity. The last chapter analyzes the factors that influence the probability and degree of the manipulation from the cost point of view. It shows that admending the laws on futures markets,developing the futures variaties, fostering the hedgers, reforming the supervising system and improving the supervising technics are the basis of normalizing and constructing the China’s futures market.
第一章引言,对选题意义,研究方法,文章框架和创新点予以说明,并介绍内外研究现状。国外文献主要从微观结构理论来研究操纵。国内的研究不够深入。第二章期货市场操纵的界定。首先从法学角度对各国的期货操纵的法律界定进行综述,一般地,界定涉及人为性、市场力、操纵意图三个方面,在操纵意图要素上,存在分歧,有些司法制度并没有将它作为操纵要件。在所有司法文本中,欧洲的做法值得借鉴,即一般说明加列举,来界定操纵。经济学家的界定主要从价格偏离均衡,以及这种偏离表现的方式和福利影响来界定,特别强调市场力和人为经济因素。规范的操纵定义来自H-S超额利润的封闭回路交易模型。本章最后给出了一个较为清晰的定义。
第三、四、五章分别构建微观结构的数理模型,考察我国期货市场微观结构特点与操纵的关系。第三章表明,因品种缺失,引起市场不完全,一些套保者找不到套保途径,导致市场投机气氛过浓,操纵频率增加。第四章从期货市场的价格拍卖机制入手,结合价格形成的聚簇现象,说明:由于中小投机者融资能力低,导致操纵者挤仓更容易取得成功。大量中小投机者的存在和他们跟风严重的特征,也增加了多空对峙事件的发生频率。第五章从一般股市的流言操纵入手,运用模型和案例说明期货市场上操纵者运用流言操纵市场时主要是散播新颖的主题、并运用权威的身份反复操纵。
第六章,操纵的计量侦察。根据检验期货市场操纵就是检验商品与期货合约价格在特定的地点(交割地点)、特定的时间(交割期)的特定变化的思想,用协整、VECM检测待检期间的特定合同价格相对于其他相关合同的奇异运动,以此从数量上确认合同价格被操纵的可能。
最后一章从成本角度分析影响操纵概率和程度的因素。提出我国期货市场规范建设的根本方向就是调整我国期货法规,积极稳妥发展品种,培育套保者,改革监管体制,提高监管技巧。
This essay studies the mechanism of the manipulation through applying microstrcture theory, then finding the factors of influencing the manipulator to make decisions, finally establishing the econometric model and finding heel of Alewcas. Therefore, it is significant in pratics and in theory innovation.
The essay mainly examines the conditions stimulating the futures market manipulation , such as the market structure under the China’s special circumstances. It establishes some mathematical model about the impacts on probilities of futures market manipulation from the variaties’lackage, from the bad-proprotion in the paticipants and from the machinery of the transmiting information , especially the market micro-structure that differs from the developed countries. And then it is designed an econometric model according to the features of the futures manipulation and provides a powerful judging method to control manipulation. At last, it holds up some specific suggestions in developing the futures variaties, fostering the hedgers, reforming the supervising system and improving the supervising technics.
It introduces the significance of selecting the topic, the researching methods, the frame of the essay and the essay’s innovatings in the first chapter. In the second chapter, it gives a definition of the futures manipulation. And ,the remaind of the chapter is mainly concerned the researching actuality at home and abroad. It studies the manipulation by using micro-structure theory in the foreign literatures, but it doesnot study thoroughly in China. Firstly, it gives an overview to defining the future manipulation in different countries from the law points. Generally, the defining involves three aspects such as artificialness, the market power, and the manipulating intention, but for the manipulating intention, it is not concerned as an element in some judicial systems. In all of the judicial text, the EU’s practice, that is, to define the manipulation by generally illustrating and enumerating, is worth to use for reference. The economists’definition is mainly to define it from the price deviation from the equilibrium and the displaying manner of this deviation as well as the welfare loss. They specially impress on the market power and artificialness. The normal definition of the manipulation is from H-S Model which expresses the excess profits in the close circuit trade. The chapter ends with a plain difinition of the futures market manipulation set up by the author.
The third, fourth, and fifth chapter establish the mathmatical micro-structure model respectively and examine the relations between the features of the micro-structure and manipulation in China’s futures market. The third chapter shows that it causes the incomplete market and some hedgers cannot find the hedging ways due to the variaties’lackage, then leads to the excess speculation and more frequent manipulation events. In the forth chapter, it illustrates it is easy to squeeze to the manipulators because the middle-small speculators has a low financing power from the price auction in the futures market combining with the cluster of the bid price and ask price. It also displays the increased occurrence of the long and short confrontation events due to the existence of enormous middle-small speculators and their following psychonogy. The fifth chapter analyzes by using models and cases the use of the rumour manipulating skills in the futures market from the rumour manipulation in common stock market and explains the principles and skills which the speculators use novel rumour,abuse their authorities to repeatly manipulate the market in the futures market to grt profits.
The sixth chapter describes the detecting manipulation by using econometric methods. According to the idea of examing the futures market manipulation is examining the special change of the futures’contract price and the underlying commodities in special place, time, it uses the cointergration, VECM to examine the price’s odd movement of the special contracts waiting for examing relative to the other related contracts and confirm the probablity of the contract price be manipulated from the quantity. The last chapter analyzes the factors that influence the probability and degree of the manipulation from the cost point of view. It shows that admending the laws on futures markets,developing the futures variaties, fostering the hedgers, reforming the supervising system and improving the supervising technics are the basis of normalizing and constructing the China’s futures market.
引文
2《人民日报》2006年10月27日,成思危
3《经济日报》,2006年10月26日。
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