| 摘要(中) |
由於經常可以在報章雜誌或期刊論文上看到有關期貨到期日或最後結算日時,其標的資產有劇烈波動的消息,
大多是人為操縱造成的。為了檢驗操縱者是否真的可藉由這樣的方式獲利,這篇論文以台股指數期貨為例建構一個操縱期貨的模型,討論操縱者在期貨面的利潤是否可以彌補現貨面操縱的的損失,以及他操縱的策略。若市場上只有一位操縱者時,我們發現,個股最適的購買量之不同主要是受到流通在外股票所影響。
另外,在個股的資金分配上並非只有依照其權重還需考慮其基本價格跟市場深度。並舉例說明當操縱者所持有的期貨部位增加時,模型會如何變化?
此外為使模型較符合真實情況,會放寬一些假設,使模型更貼近真實的世界,例如加入市場上其他的成交量,使得股價不再是由操縱者一人所決定的,或者是調整為不確定狀態下的模型來看結果會如何?
最後舉例說明,當加入市場上其他成交量後獨占力量的重要性。 |
| 摘要(英) |
The spot markets are often reported to be very volatile in the final settlement day or expiration day of the futures. The volatility is mostly due to manipulation. To examine the ways in which large traders make profit by manipulation, this article establishes the model of futures manipulation with the TAIEX Futures. This model demonstrates the strategies which the manipulators will take and whether manipulation
is worth it or not (i.e does the large trader earn positive expected profits by establishing a futures position and then trading in the spot markets to manipulate the spot price). If there is one manipulator in the markets, we find that the difference of the optimal quantity of each stock is their outstanding shares. We also show that the capital distribution on stocks is not only determined by the weight but also by the
basic price and market depth and what will happen when the manipulator increases his futures positions by an example. Furthermore, to adjust the model to fit the real world, we add the other trading volume of the stock markets and restructure the model under the uncertain state. Finally, this article provides another example for the model with the other trading volume and presents the importance of the monopoly power. |
| 參考文獻 |
Easterbrook, Frank H. (1986), “Monopoly, Manipulation, and the Regulation of Futures Markets”, Journal of Business, 59(2), S103–S127.
Edwards, L. N. and F. R. Edwards (1984), “A legal and Economic Analysis of Manipulation in Futures Markets”, The Journal of Futures Markets, 4, 333–366.
Fackler, Paul L. (1993), “Delivery and Manipulation in Futures Markets”, The Journal of Futures Markets, 13(6), 693–702.
Johnson, Philip Mcbride (1981), “Commodity Market Manipulation”, Washington
and Lee Law Review, 38, 725–779.
Kumar, Praveen and Duane J. Seppi (1992), “Futures Manipulation with Cash Settlement”, Journal of Finance, 47(4), 1485–1502.
Kyle, Albert S. (1985), “Continuous Auctions And Insider Trading”, Econometrica, 53(6), 1315–1336.
N?s, Randi and Johannes A. Skjeltorp (2004), “Order Book Characteristics and
the Volume-Volatility Relation: Empirical Evidence from a Limit Order Market”,
Working paper, Norges Bank.
Pirrong, Craig (2001), “Manupilation of Cash-Settled Futures Contracts”, Journal of Business, 74(2), 221–244.
Stoll, Hans R. and Robert E. Whaley (1986), “Expiration Day Effects of Stock Index Options And Futures In Germany?”, Monograph Series in Finance and Economics. |
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