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基于中国股指期货特定结构与市场投资文化等背景,阐述中国股指期货市场交易型操纵的三种主要实现路径,并进一步采集市场真实交易的高频数据,筛选出以银行股为标的的模拟操纵案例,最后运用相关性分析与成本收益分析方法来识别真实市场的实现路径。实证结果显示以拉动银行非权重股的涨停板效应是实现这次案例操纵的最优路径选择,而不是选择权重股的直接方式,建议监管部门加快我国证券交易制度的完善并加强实时监察等政策,以降低股指期货市场的操纵风险。
Based on the background of the specific structure of China’s stock index futures and the market investment culture, this paper elaborates the three main ways of transaction-oriented manipulation in China’s stock index futures market, and further collects the high-frequency data of real transactions in the market to screen out simulated manipulation cases based on bank stocks , And finally use the correlation analysis and cost-benefit analysis to identify the real market path. The empirical results show that the daily limit-plate effect that drives the non-heavyweights in banks is the best route to realize the case manipulation rather than the direct way to choose the heavyweights. It is suggested that the regulatory authorities should speed up the improvement of China’s securities trading system and strengthen the real- To reduce the manipulation risk of the stock index futures market.