新形势下我国螺纹钢期货市场的价格操纵实证分析

Empirical Analysis of Manipulation of Thread Steel Futures under New Situation

我国期货市场从成立之初到现在,仍处于不断发展和完善阶段。由于期货市场交易制度的独特性,相关法律的不完善和监管的复杂性,使得价格操纵案件时有发生,操纵者获得巨额收益的同时却给经济市场带来巨大负面影响。今年,在供给侧改革去产能的背景下,黑色系钢铁更是在游资炒作下巨幅波动。本文以期货市场中螺纹钢品种为例,通过构建二元向量自回归模型,在分析期货价格与现货价格协整关系及因果关系的基础上,再检验收益与基差的残差序列波动性,结果表明我国期货市场螺纹钢1605合约存在价格操纵的嫌疑。

Our futures market is still in the continuous development and improvement of the stage from the beginning to the present. Due to the unique nature of the futures markets trading system, the complexity of the imperfection of the laws and regulations, the manipulation cases have oc- curred, the operator get huge benefits but also bring great negative impacts to the market econo- my. This year, under the background of the supply -side reform ,black steels fluctuated violently by speculative money. This paper take thread steel futures as an example, through the construc- tion of two element vectors autoregressive model, based on the analysis of futures price and spot price cointegration and causality test, fluctuations in efforts and the basis of the residual se- quence, results show that the 1605 contract of thread steel in futures markets was manipulated possiblely.