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中南大学学报(社会科学版)
ZHONGNAN DAXUE XUEBAO(SHEHUI KEXUE BAN)

2019年05月第25卷第3期
   
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文章编号:1672-3104(2019)03-0074-10
 
金属资源跨市场操纵行为识别——基于价格信息和事件分析法
 
朱学红1,2,张众1,2,张宏伟2,3
 
(1. 中南大学商学院,湖南长沙,410083;2. 中南大学金属资源战略研究院,湖南长沙,410083;
3. 中南大学数学与统计学院,湖南长沙,410083)
 
摘  要: 为维护金属价格稳定,防范金属资源跨市场操纵的发生,以2005年国储铜事件为例,基于价格信息模型和事件分析法对金属资源跨市场操纵行为进行识别。研究结果显示:在操纵期间,期货市场信息中含有大量个人信息,说明存在行为要件;期货和现货市场都有显著的累积超额收益,说明存在结果要件。基于此,可以认定国际基金组织对铜价进行了操纵。在防范跨市场操纵的过程中,应该建立科学的跨市场操纵识别体系,完善联动性监测和反馈机制,并加强对金融产品价格信息的监管。
 
关键词: 跨市场操纵;价格信息模型;事件分析法;个人信息含量;累积超额收益
 
 
Identification of cross-market manipulation of metal resources: Based on the model of price information and event analysis
 
ZHU Xuehong1,2, ZHANG Zhong1,2, ZHANG Hongwei2,3
 
(1. School of Business, Central South University, Changsha 410083, China;
2. Institute of Metal Resources Strategy, Central South University, Changsha 410083, China;
3. School of Mathematics and Statistics, Central South University, Changsha 410083, China)
 
Abstract: In order to maintain the stability of metal prices and prevent the occurrence of metal resource cross-market manipulation, the 2005 National Reserve Copper incident was taken as an example to identify the cross-market manipulation behavior of metal resources based on price information model and event analysis method. Results show that during the manipulation period, the futures market information contains a large amount of personal information, indicating the existence of behavioral elements, that the futures and spot markets have significant cumulative excess returns, indicating the existence of the result elements. Based on this, it can be concluded that the fund company does manipulate the copper price. In the course of preventing cross-market manipulation, we should establish scientific cross-market manipulation identification system, improve linkage detection and feedback mechanisms, and strengthen supervision of financial product price information.
 
Key words: cross-market manipulation; price information model; event analysis method; personal information content; cumulative excess return
 
 
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