我国中远期现货电子交易市场价格操纵的实证研究——以螺纹钢为例

An Empirical Research on Price Manipulation of Mid-forward Spot Electronic Trading Market in China:A Case Study of Screw Steel

我国中远期现货电子交易市场大量借鉴了期货交易模式,在监管薄弱的情况下极有可能出现价格操纵现象。本文以螺纹钢品种为例,通过构建二元向量自回归模型进行实证研究,在明确中远期现货电子交易市场价格与现货价格之间存在长期稳定均衡关系的基础上,建立价格操纵诊断模型进行了实证分析,结果表明我国螺纹钢中远期现货电子交易市场中确实存在价格操纵行为。

Considering that the trading market of China’s long-and-medium term electronics operates mainly in the modes of features trading,the hazards of price manipulation are largely increased in circumstance of vulnerable regulation.Taking screw steel as an example,this paper es tablishes a VAR model to ascertain that there is a long-run equilibrium stable relationship between mid-forward spot price and spot price.It es tablishes a price manipulation diagnosis model for empirical analysis.The results prove the existence of price manipulation in mid-forward spot electronic trading market in China.