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通过建立Logistic回归模型判别股指期货被操纵的可能性,将股指期货是否被操纵的问题转化为根据一定时期内股指期货市场的波动性以及流动性指标计算股指期货在一定时间内被操纵的概率,建立了股指期货操纵事件的预警模型.选取香港恒生指数期货操纵时段和对应的非操纵时段,进行了预警模型的实证检验,证明了该模型可以对股指期货操纵事件起到较好的预警作用.研究发现,在股指期货市场中,操纵期与非操纵期的交易量和空盘量显著不同,而反映市场波动性的收益率指标的变化并不显著,对操纵行为是否发生可以使用空盘量和交易量构建模型进行判别.Logistic模型可以很好的识别股指期货市场上的操纵行为,在进入操纵期以后,根据模型计算出的操纵事件的发生概率发生了显著的变化.
Through the establishment of Logistic regression model to determine the possibility of manipulating stock index futures, the stock index futures is manipulated into the issue of stock index futures market volatility and liquidity indicators in a given period of time to calculate the probability of stock index futures being manipulated in a certain period of time, Established the early warning model of stock index futures manipulation events.Select the Hong Kong Hang Seng Index futures manipulation period and the corresponding non-manipulation period, conducted an empirical test of the early warning model, proves that the model can play a good early warning role in the manipulation of stock index futures. The study finds that in the stock index futures market, the trading volume and the empty disk volume are significantly different during the manipulation period and the non-manipulation period, while the changes in the profitability index that reflect the market volatility are not significant, and the availability of the available inventory And trading volume construction model to determine Logistic model can well identify the manipulation of the stock index futures market, after entering the manipulation period, according to the model calculated the incidence of manipulation events have undergone significant changes.