On Study Of Prevention From The Manipulation Between The Spot Market And The Commodity Futures Market

The paper, based on the reading and the comprehension of the academic papers either from domestic and foreign by the numbers, takes microstructure of the financial markets as its visual angle to conduct an overall and intensive study on the manipulation of the commodity futures markets. The paper mainly study on the case study of the commodity futures manipulation behaviors either from domestic and foreign, the anatomy of the institutional causes of the manipulation behaviors in Chinese commodity futures markets, the caculation and the evaluation of the manipulation cost and the manipulation profit of the commodity futures market, the study of the market liquidity of the manipulated futures contracts and the detection of market manipulation behaviors of the commodity futures market. According to the different countries and the different history periods, the futures market manipulation behaviors have the different characters. The paper firstly defines and classifies the types of the futures market manipulation: corner and squeezing, transaction behaviors, distribution of the false information, utilization of the institutional limitation. With the development of the institutional environment, the manipulation means and the manipulation tools are updating. Nowadays, the manipulation means are not limited to the above single means but are the combination results of them.When compared to the futures markets of the west developed countries, Chinese futures markets have a later beginning and the corresponding institutional limitations such as the policy risk, the limitation of the spot markets, the limitations of the transactions and the delivery, the scale of the listed products, the limitation of the transactions rules, the unreasonable behaviors of the traders, the operation that out of line of the market participants, the faultiness of the corresponding laws and regulations system and so on. These limitations are the main reasons that induce the happen of the futures market manipulation. Another way of preventing from the futures market manipulation is to enhance the manipulation cost and reduce the manipulation profit of the market manipulators. The paper analyzes the factors that have influence on the manipulation cost and the manipulation profit and calculate the mathematic function of them. Then the paper analyzes the equilibrium condition and calculates the net losses in society welfare under corresponding manipulated conditions.Market manipulation has more influence on the futures market liquidity such as the market capitalization, the market depth, the market flexibility. It destroys the microstructure of the futures market. By using the economics priciples, the paper analyzes the market liquidity of the futures contracts under the condition of perfect competitive market, the long position manipulate market, the short position manipulate market and the libration position manipulation market. The results deem that the market liquidity of the manipulated futures contracts is lowered and the transaction is harder than ever before. The manipulation behaviors destroy the microstructurc of the futurea market.As we know that the current futures contracts have the same market liquidity of the deffered futures contracts (deferred about three or four months). Based on the priciple, the paper establishes the corresponding mathematic model to find out the relations of the manipulated futures price, the deferred futures price and the delivery spot commodity price. Using the above mathematics model, the paper can detect whether the commodity futures market is manipulated by using all the market variables. This can help the detector to avoid the problems such as the confirmation of the "artificial price" smartly which ever disturbed the ancestral researchers.Based on the above research results, the paper at last analyzes the characters of the commodity futures market manipulation and provides the methods to detect the potential market manipulation such as establish the united spot-futures supervisory system, perfect the anti-manipulation laws and regulations system, perfect the tranction and delivery system and regulate the behaviors of the market participants.