| 从波动性和流动性判别股指期货跨市场价格操纵行为 |
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| 引用本文： | 张维,韦立坚,熊熊,李根,马正欣. 从波动性和流动性判别股指期货跨市场价格操纵行为[J]. 管理评论, 2011, 0(7) |
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| 作者姓名： | 张维 韦立坚 熊熊 李根 马正欣 |
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| 作者单位： | 天津大学管理与经济学部; |
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| 基金项目： | 国家自然科学基金项目(70971096); 教育部新世纪优秀人才支持计划项目(NCET-07-0605); 中国期货行业协会联合研究计划项目(GT200702) |
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| 摘 要： | 股指期货价格操纵一般具有期现跨市场联合操纵的特点,仅按单一市场从波动性分析去判别价格操纵行为是不够充分的。本文引入流动性分析为判别提供了更充分的依据:首先运用GARCH模型分析被操纵资产在波动性的异常变化,判断价格序列偏离了自然特性,具有被操纵的嫌疑;然后利用日交易量、日持仓量和Amivest流动性比率等指标分析流动性的异常变化,发现与根据跨市场操纵过程推测的变化一致,从而构成价格操纵行为的事实依据。
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| 关 键 词： | 股指期货 跨市场价格操纵 判别 波动性 流动性 |
Discrimination of Cross-Market Price Manipulations in Stock Index Futures Market:Evidences from Volatility and Liquidity |
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| Zhang Wei,Wei Lijian,Xiong Xiong,Li Gen , Ma Zhengxin. Discrimination of Cross-Market Price Manipulations in Stock Index Futures Market:Evidences from Volatility and Liquidity[J]. Management Review, 2011, 0(7) |
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| Authors: | Zhang Wei Wei Lijian Xiong Xiong Li Gen Ma Zhengxin |
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| Affiliation: | Zhang Wei,Wei Lijian,Xiong Xiong,Li Gen and Ma Zhengxin(College of Management and Economics,Tianjin University,Tianjin 300072) |
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| Abstract: | This paper aims to expand the method that we usually discriminate price manipulation behavior in accordance with the analysis of market volatility in the single market in view of the fact that stock index futures price manipulation bears the characteristics of cross-market.This paper firstly uses GARCH model to analyze the abnormal changes concerning the volatility of the manipulated assets,then comes to the conclusion that the price series deviate from thenatural characteristics and are suspected of being ... |
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| Keywords: | stock index futures price manipulations discrimination volatility liquidity |
| 本文献已被 CNKI 等数据库收录！ |
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