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| 基于逼仓动机的期市逼仓风险及其预警 | |
| 引用本文： | 宋军,赵鹰妍,邢精平.基于逼仓动机的期市逼仓风险及其预警[J].系统管理学报,2011,20(5). |
| 作者姓名： | 宋军 赵鹰妍 邢精平 |
| 作者单位： | 1. 复旦大学经济学院,上海,200433 2. 北京大学光华管理学院,北京,100871 3. 深圳证券交易所,广东深圳,518010 |
| 基金项目： | 国家自然科学基金资助项目(70701011,70703024) |
| 摘 要： | 为改善目前期货市场逼仓风险管理(主要为事后识别和惩罚)的效率,将期货市场的风险溢价效应融入对逼仓动机的诠释中,认为投机者在长期无法获得足够风险补偿时,可能发动逼仓.对沪胶期货进行实证分析,结果显示,投机者收益率越小且持仓量越大时,期货市场逼仓风险越高.最后,基于上述结论提出一个新的分层次逼仓风险预警方案,该方案在可信度、可行性和时效性上较目前已有方案具有一定优势. |
| 关 键 词： | 逼仓 风险溢价效应 风险预警 |
The Squeezing Risks and its Pre-warning in Futures Markets based on Squeezing Motivation |
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| SONG Jun , ZHAO Ying-yan , XING Jing-ping.The Squeezing Risks and its Pre-warning in Futures Markets based on Squeezing Motivation[J].Systems Engineering Theory·Methodology·Applications,2011,20(5). | |
| Authors: | SONG Jun ZHAO Ying-yan XING Jing-ping |
| Institution: | SONG Jun1,ZHAO Ying-yan2,XING Jing-ping3(1.School of Economics,Fudan University,Shanghai 200433,China,2.Guanghua School of Management,Beijing University,Beijing 100871,3.Shenzhen Stock Exchange,Shenzhou 518010,Guangdong,China) |
| Abstract: | To improve the efficiency of managing manipulation risks in futures markets(mainly after-event detection and penalty),we first incorporate the risk premium effect into the explanation of the squeezing motivation,and claim that it highly possible that speculators launch squeezing when they cannot get enough risk compensation for a long time.Then,an empirical work is carried out on rubber futures in SHFE.The results show that the lower the long-term return of speculators and the higher the open interest in ne... |
| Keywords: | squeeze risk premium effect risk pre-warning |
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