Stock Index Futures And Spot Linkage Manipulation And Anti-manipulation Study

The coming index futures not only brings opportunities for the participants in the capital market, but also challenges the supervision system. The strong correlation between spot and stock index futures market can be attributed to price leading , volatility and maturity effects, which is the base of manipulating. In order to ensure the effective and stable operation of index futures market, the anti-manipulation has become an important research topic.In referring to foreign experience and theory, this thesis focuses on the micro-foundation of correlation between spot and futures markets and manipulation from the point of view of investors structure. This paper not only uses the theories and methods from abroad , but also considers the characteristics of the domestic market. The main purpose of this paper is to make suggestions on policy formulation for the regulatory authorities ,on the basis of analyzing the possibility and methods of manipulation in domestic futures market. First, a theory framework was built to conclude relevant researches in this field both domestic and abroad. Then, with the guidance of the above theories, the investor structure in domestic index futures markets will be analysis and forecasted. Thirdly, Granger's Causality Method Test was used to analysis the relation among shanghai stock index, Shanghai-Shenzhen 300 index, main sectors and several weighted shares.In the end, this paper studied and summarized the anti-manipulation policise in some foreign markets and proposed several supervision measures to the regulatory authorities.