The China Futures Price Behavior And The Stability Of The Market Mechanism

The Chinese futures Market is belong to emerging market, and the price volatility is the essential characteristic of futures Market. As a more advanced style than the spot trading, the prices movement of futures trading is a relatively complicated process. The dissertation quantitatively analyzes on the prices time series by Econometrica and Statistics closely on the topic of the volatility characteristics and stability mechanism of the Chinese futures Market. Depending on the empirical analysis results, the dissertation discusses the meanings of price volatility and the benchmarks and effects of the policies.The whole article includes eight chapters and could be dividend into four parts. The first part includes No.1 and No.2 chapters, which is mainly some preparative works for later research. The second part includes No.3, No.4, No.5and No.6 chapters, which are the empirical analysis on the price behaviors characteristics. The third part includes No.7 and No.8 chapter, which are the empirical analysis on the stability mechanism of the Chinese futures Market. The fourth part is the summary and the corresponding policy suggestions.The No.l chapter is a preface, which narrates the background, the motivation, the methodology etc. of the dissertation in order to establish the paper's bedrock.The No.2 chapter is a literatures, the goal is providing a base for the coming research and point out the possible innovations.The No.3 chapter is a general introduction to the trade-off between prices behavior and stability mechanism of Chinese futures Market, introducing the development course and analyzing the management actuality and risk events.The no.4 chapter analyzes the large price movement of the Chinese futures market. At first, the paper analyzes the "fat tail" characteristic of the returns, and next analyzes the characteristic of the extreme value. It is helpful to understand the application of the theorems and has active sense in practice that analyzing the distribution characteristic of the returns.The no.5 chapter analyzes the prices volatility of futures. Using the GARCH-family models, the paper examines four issues as follows: the stationary of price volatility, the relationship between the risk of volatility and the returns, the asymmetric effect of volatility and the maturity effect of volatility.The No.6 chapter analyzes the volatility persistence of the Chinese futures market using non-linear dynamics method. The purpose to study the persistence is just to examine the persistence duration of a random shocking on the futures market. The persistence is crucial torisk management, especially to a developing country like china.The No.7 chapter analyzes the relationship between the futures price with the futures margin level. Setting down an appropriate margin level is crucial to Chinese futures Market. The paper examines the current margin level of the Chinese futures Market, and validates the appropriation of the current margin level and the enactment method.The No.8 chapter elementary analyzes an early-warning mechanism in china futures market. The paper establishes an index system using Delphi approach, and computes every index weight based on ISM model and AHP model.The No.9 chapter is the conclusion and policy advices.In majority chapters, there are some new viewpoints and conclusions, and the major innovations of the dissertation as follows:(1) Dividing the futures market stability mechanism into exogenous mechanism and endogenous mechanism, and separately put all kinds of factors into above two mechanism. It is the disseration's an innovation.(2) Grossly, it is a little literature on prices large movement behavior of the Chinese futures, especially in extreme value. However, past research concern most on average properties, such as expected returns, standard deviations, and correlation. Only a few focus on the extreme value behavior. Extreme value theorem as base, this study employs the methodology including the fully parametric models of Peaks-over-threshold models and ME-plot method for estimating threshold...