Analysis Of Price Manipulations In Stock Index Futures Market: Means, Potential Manipulation Risk And Discrimination

The stock index futures will be introduced to China's stock market at the right time. It is noted that several price manipulation once occurred in our financial market, which had caused enormous losses. Nowadays, the financial crisis breaks out in the United States makes the global financial markets more complicated, how to prevent the price manipulation and ensure the healthy development of the stock index futures deserves special attention.The previous researches indicate that recognizing the essence and concrete form of price manipulation is the prerequisite for prevention. These problems have been deeply analyzed by qualitative and quantitative methods in this context.At the beginning, this paper defines the meaning of price manipulation in stock index futures market based on the previous research. Some typical cases have been studied and the means for price manipulation are summarized.Considering the actuality of China's financial market and the feature of the coming stock index futures, the feasibility of manipulating stock index futures is discussed. It is pointed out that the second means of price manipulation, which is introduced in chapter 2, is most likely to happen and two modes may be performed by manipulators. The analysis shows that potential risk is exist in the Shanghai-Shenzhen 300 index futures. Furthermore, a realistic case of manipulating the stock index futures in Hong Kong is used for research. The GARCH model has been utilized to measure the return volatility. The trading volume, daily holding position and the Amivest liquidity ratio have been utilized to measure the liquidity of the Manipulated equities. It is found that the parameters of these models vary significantly from manipulation period to no-manipulation period. This study provides the evidence for discriminating the price manipulations of stock index futures.The means, potential risk and discrimination of manipulation in the stock index futures have been studied in this paper, which present an effective technical analysis method for the coming the stock index futures market in China.