Research On The Volatility And Price Manipulation In Chinese Futures Market

As Chinese futures market is burgeoning, it is much lacking to research theoretically and empirically on the futures market. For developing the futures market, it is indispensable to know and master the actuality of development and the intrinsic characteristics in Chinese futures market.First of all, the characteristics of volatility are studied empirically according to basic situation of fluctuation in Chinese futures market in this dissertation. With these, the dynamic model between trading behavior and volatility, DSEM, VAR with trading behaviors and bivariate EGARCH framework between spot market and futures market are given respectively. And Chinese futures market is analyzed empirically by utilizing the models above for finding microstructure, the way of transmit information and efficiency of futures market. In additional, the risk in Chinese futures market is measured. Based on much speculation cases in Chinese futures market, the"price manipulation"is redefined and its instruments and causes are studied. Further more, the dynamic identification models of price manipulation are developed in detail. Moreover, the supervisory system of price manipulation is established and the countermeasures are given for keeping away the price manipulation in Chinese futures market.In conclusion, the volatilities are systematically studied through academic and empirical methods according to the basic situations of price fluctuation in Chinese futures market. There will be positive theoretic worth and practical significance for supervisory departments and trading makers.