Research On Risks Of China's Futures Market

In Nov. 2004, the scandal of China Aviation Oil (Singapore)(CAO) Co., Ltd that a big loss(554 million USD) in Singapore Oil Futures Market was released. Soon after that, this star state owned company was on the verge of bankruption. One year later, China's State Reserves Bureau (SRB) made a loss over 100 million USD in London Metals Exchange. The same tragedy replayed. Chairman of CBRC, Liu Mingkang, pointed out on the annual meeting of Finance and Economics magazine:"From Barings Bank, Enron, to CAO, SRB, and every company had paid for big price."Until now, futures risk which once was ignored is becoming the hot point problem again.This paper takes risk measure of China Futures Market as the theme. A GARCH model is mainly used to do the empirical analysis on Cu Future market in SHFE and the risk of Cu market was compared to that of LME in order to find the features of China's Cu Future market. The paper is according to the logic sequence of"risk discrimination-risk measurement-risk control"and analyzed step by step. At last, some concrete measures are advised directly on the features of China's Future market.First, the theme and meaning of the paper, research method, content and structure, innovation and shortness, literature review are introduced. Then the risk of future market is distinguished and the integrated process of risk discrimination is constructed, i.e., risk recognition-risk factor analysis-risk contracture estimation-risk situation report. The third part of future risk measurement is the important part of this paper. Two problems are discussed in this part, i.e., analysis on factors that affect the price of Cu future and analysis on Cu price fluctuation. At last, advice on risk control system reform of China's future market is given on the basis of the result of empirical analysis and China's future market's practical problems.A combination of qualitative and quantitative research method is used in this paper. As to risk discrimination, the qualitative method is mainly used to analyze the risk of future market in order to find out the bigger market risk as the important point of risk...