防止现货市场与商品期货市场间操纵之研究
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摘要
本文在对国内外相关领域学术文章进行系统地阅读和理解之后，从金融市场微观结构角度出发，对商品期货市场的市场操纵行为进行了研究，主要包括国内外商品期货市场操纵行为的案例分析、中国商品期货市场操纵行为的制度原因剖析、商品期货市场操纵成本和操纵收益的计算和评价、被操纵市场状态下商品期货市场的流动性分析以及商品期货市场操纵行为的诊断。
不同的国家制度环境和不同的历史发展时期，期货市场操纵行为发生的特点也有所不同，本文首先按照操纵行为的定义和类别对国内外商品期货市场操纵案例进行了归类和分析，可以发现商品期货市场的操纵行为大致可以分为四类：囤积和挤压轧空操纵价格、以交易行为影响价格、散布虚伪或不真实信息操纵价格、利用制度缺陷操纵价格，而随着市场建设的不断推进和市场制度的不断完善，市场操纵者的手法也在不断升级，其选择的操纵手法也比较复杂，往往是同时结合上述几种手段对市场进行操纵，而非单一的手法。
与西方发达国家的商品期货市场相比，我国商品期货市场的起步较晚，对应的各种制度还不是很完善，市场操纵行为有着深层次的制度原因，其中包括政策性风险、现货市场的局限、交易交割机制的缺陷、上市品种的规模、品种设计和相应的交易规则的缺陷、交易者交易行为的非理智性、市场参与主体的违规操作、以及相应法律法规体系的不完善等，这些在很大程度上诱发了市场操纵行为的发生。
防止操纵行为发生的另外一个途径就是增大操纵者的操纵成本并降低操纵收益，本文从理论上分析了影响市场操纵成本和市场操纵收益的因素，并对市场操纵者的操纵成本和操纵收益进行了数学计算和推导，计算出了对应的操纵成本函数、操纵收益函数以及操纵利润函数，并对其进行经济学分析，在图上描绘出了各自状态下的福利净损失。
市场操纵行为对期货市场流动性有着很大的影响，其中包括对市场宽度、市场深度、市场弹性等变量的影响，市场操纵行为破坏期货市场的微观结构。本文对分别处于完全竞争市场状态下、多头操纵市场状态下、空头操纵市场状态下、以及振仓状态下期货合约的市场流动性进行了经济学分析，并总结出了各自对应状态下的特点。分析结果认为，无论处于哪一种被操纵状态下，期货合约的报价价差和有效价差非常大，在同一个交易价格上不能够容纳大量的交易，市场会不能在很短的时间内恢复到平衡状态，交易受到阻碍，交易比较冷清，市场完全被人为力量所控制，期货市场微观结构遭到破坏。
因为当期期货合约与连三期货合约具有相同市场流动性，因此可以利用连三期货合约的市场变量模拟完全竞争市场状态下相对应的市场变量，基于此理论基础，本文建立相应的数学模型，对商品期货市场操纵行为进行计量和诊断，避开了认定市场操纵行为关键因素—“人为价格”的确定问题。
基于上述研究结论，本文最后对商品期货市场操纵行为的特征进行归纳，并给出了商品期货市场操纵行为事前诊断的政策性建议，其中包括建立统一的现货-期货综合监管体系、完善反操纵法律法规体系、完善交割制度、规范市场参与主体的行为等。
The paper, based on the reading and the comprehension of the academic papers either from domestic and foreign by the numbers, takes microstructure of the financial markets as its visual angle to conduct an overall and intensive study on the manipulation of the commodity futures markets. The paper mainly study on the case study of the commodity futures manipulation behaviors either from domestic and foreign, the anatomy of the institutional causes of the manipulation behaviors in Chinese commodity futures markets, the caculation and the evaluation of the manipulation cost and the manipulation profit of the commodity futures market, the study of the market liquidity of the manipulated futures contracts and the detection of market manipulation behaviors of the commodity futures market. According to the different countries and the different history periods, the futures market manipulation behaviors have the different characters. The paper firstly defines and classifies the types of the futures market manipulation: corner and squeezing, transaction behaviors, distribution of the false information, utilization of the institutional limitation. With the development of the institutional environment, the manipulation means and the manipulation tools are updating. Nowadays, the manipulation means are not limited to the above single means but are the combination results of them.
When compared to the futures markets of the west developed countries, Chinese futures markets have a later beginning and the corresponding institutional limitations such as the policy risk, the limitation of the spot markets, the limitations of the transactions and the delivery, the scale of the listed products, the limitation of the transactions rules, the unreasonable behaviors of the traders, the operation that out of line of the market participants, the faultiness of the corresponding laws and regulations system and so on. These limitations are the main reasons that induce the happen of the futures market manipulation. Another way of preventing from the futures market manipulation is to enhance the
manipulation cost and reduce the manipulation profit of the market manipulators. The paper analyzes the factors that have influence on the manipulation cost and the manipulation profit and calculate the mathematic function of them. Then the paper analyzes the equilibrium condition and calculates the net losses in society welfare under corresponding manipulated conditions.
Market manipulation has more influence on the futures market liquidity such as the market capitalization, the market depth, the market flexibility. It destroys the microstructure of the futures market. By using the economics priciples, the paper analyzes the market liquidity of the futures contracts under the condition of perfect competitive market, the long position manipulate market, the short position manipulate market and the libration position manipulation market. The results deem that the market liquidity of the manipulated futures contracts is lowered and the transaction is harder than ever before. The manipulation behaviors destroy the microstructurc of the futurea market.
As we know that the current futures contracts have the same market liquidity of the deffered futures contracts (deferred about three or four months). Based on the priciple, the paper establishes the corresponding mathematic model to find out the relations of the manipulated futures price, the deferred futures price and the delivery spot commodity price. Using the above mathematics model, the paper can detect whether the commodity futures market is manipulated by using all the market variables. This can help the detector to avoid the problems such as the confirmation of the "artificial price" smartly which ever disturbed the ancestral researchers.
Based on the above research results, the paper at last analyzes the characters of the commodity futures market manipulation and provides the methods to detect the potential market manipulation such as establish the united spot-futures supervisory system, perfect the anti-manipulation laws and regulations system, perfect the tranction and delivery system and regulate the behaviors of the market participants.
不同的国家制度环境和不同的历史发展时期，期货市场操纵行为发生的特点也有所不同，本文首先按照操纵行为的定义和类别对国内外商品期货市场操纵案例进行了归类和分析，可以发现商品期货市场的操纵行为大致可以分为四类：囤积和挤压轧空操纵价格、以交易行为影响价格、散布虚伪或不真实信息操纵价格、利用制度缺陷操纵价格，而随着市场建设的不断推进和市场制度的不断完善，市场操纵者的手法也在不断升级，其选择的操纵手法也比较复杂，往往是同时结合上述几种手段对市场进行操纵，而非单一的手法。
与西方发达国家的商品期货市场相比，我国商品期货市场的起步较晚，对应的各种制度还不是很完善，市场操纵行为有着深层次的制度原因，其中包括政策性风险、现货市场的局限、交易交割机制的缺陷、上市品种的规模、品种设计和相应的交易规则的缺陷、交易者交易行为的非理智性、市场参与主体的违规操作、以及相应法律法规体系的不完善等，这些在很大程度上诱发了市场操纵行为的发生。
防止操纵行为发生的另外一个途径就是增大操纵者的操纵成本并降低操纵收益，本文从理论上分析了影响市场操纵成本和市场操纵收益的因素，并对市场操纵者的操纵成本和操纵收益进行了数学计算和推导，计算出了对应的操纵成本函数、操纵收益函数以及操纵利润函数，并对其进行经济学分析，在图上描绘出了各自状态下的福利净损失。
市场操纵行为对期货市场流动性有着很大的影响，其中包括对市场宽度、市场深度、市场弹性等变量的影响，市场操纵行为破坏期货市场的微观结构。本文对分别处于完全竞争市场状态下、多头操纵市场状态下、空头操纵市场状态下、以及振仓状态下期货合约的市场流动性进行了经济学分析，并总结出了各自对应状态下的特点。分析结果认为，无论处于哪一种被操纵状态下，期货合约的报价价差和有效价差非常大，在同一个交易价格上不能够容纳大量的交易，市场会不能在很短的时间内恢复到平衡状态，交易受到阻碍，交易比较冷清，市场完全被人为力量所控制，期货市场微观结构遭到破坏。
因为当期期货合约与连三期货合约具有相同市场流动性，因此可以利用连三期货合约的市场变量模拟完全竞争市场状态下相对应的市场变量，基于此理论基础，本文建立相应的数学模型，对商品期货市场操纵行为进行计量和诊断，避开了认定市场操纵行为关键因素—“人为价格”的确定问题。
基于上述研究结论，本文最后对商品期货市场操纵行为的特征进行归纳，并给出了商品期货市场操纵行为事前诊断的政策性建议，其中包括建立统一的现货-期货综合监管体系、完善反操纵法律法规体系、完善交割制度、规范市场参与主体的行为等。
The paper, based on the reading and the comprehension of the academic papers either from domestic and foreign by the numbers, takes microstructure of the financial markets as its visual angle to conduct an overall and intensive study on the manipulation of the commodity futures markets. The paper mainly study on the case study of the commodity futures manipulation behaviors either from domestic and foreign, the anatomy of the institutional causes of the manipulation behaviors in Chinese commodity futures markets, the caculation and the evaluation of the manipulation cost and the manipulation profit of the commodity futures market, the study of the market liquidity of the manipulated futures contracts and the detection of market manipulation behaviors of the commodity futures market. According to the different countries and the different history periods, the futures market manipulation behaviors have the different characters. The paper firstly defines and classifies the types of the futures market manipulation: corner and squeezing, transaction behaviors, distribution of the false information, utilization of the institutional limitation. With the development of the institutional environment, the manipulation means and the manipulation tools are updating. Nowadays, the manipulation means are not limited to the above single means but are the combination results of them.
When compared to the futures markets of the west developed countries, Chinese futures markets have a later beginning and the corresponding institutional limitations such as the policy risk, the limitation of the spot markets, the limitations of the transactions and the delivery, the scale of the listed products, the limitation of the transactions rules, the unreasonable behaviors of the traders, the operation that out of line of the market participants, the faultiness of the corresponding laws and regulations system and so on. These limitations are the main reasons that induce the happen of the futures market manipulation. Another way of preventing from the futures market manipulation is to enhance the
manipulation cost and reduce the manipulation profit of the market manipulators. The paper analyzes the factors that have influence on the manipulation cost and the manipulation profit and calculate the mathematic function of them. Then the paper analyzes the equilibrium condition and calculates the net losses in society welfare under corresponding manipulated conditions.
Market manipulation has more influence on the futures market liquidity such as the market capitalization, the market depth, the market flexibility. It destroys the microstructure of the futures market. By using the economics priciples, the paper analyzes the market liquidity of the futures contracts under the condition of perfect competitive market, the long position manipulate market, the short position manipulate market and the libration position manipulation market. The results deem that the market liquidity of the manipulated futures contracts is lowered and the transaction is harder than ever before. The manipulation behaviors destroy the microstructurc of the futurea market.
As we know that the current futures contracts have the same market liquidity of the deffered futures contracts (deferred about three or four months). Based on the priciple, the paper establishes the corresponding mathematic model to find out the relations of the manipulated futures price, the deferred futures price and the delivery spot commodity price. Using the above mathematics model, the paper can detect whether the commodity futures market is manipulated by using all the market variables. This can help the detector to avoid the problems such as the confirmation of the "artificial price" smartly which ever disturbed the ancestral researchers.
Based on the above research results, the paper at last analyzes the characters of the commodity futures market manipulation and provides the methods to detect the potential market manipulation such as establish the united spot-futures supervisory system, perfect the anti-manipulation laws and regulations system, perfect the tranction and delivery system and regulate the behaviors of the market participants.
引文
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