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留学生作业代写:Influence of the system of ups and downs on futures market

2018-01-20 来源: 51due教员组 类别: Essay范文

下面为大家整理一篇优秀的essay代写范文- Influence of the system of ups and downs on futures market,供大家参考学习,这篇论文讨论了涨跌停板制度对期货市场的影响。如今,虽然涨跌停板制度在一定程度上影响了价格波动性和市场流动性,但涨跌停板制度在抑制价格的过度波动、防范期货违约风险和降低交易成本等方面都起到了积极作用。因此,目前设置涨跌停板制度仍是一种可行的政策。考虑到停板制度对价格波动具有“杠杆”效应,今后我国期货市场可以考虑采用非对称的涨跌幅限制制度,即跌停板幅度要适当大于涨停板幅度。

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Affected by the global "financial tsunami", the recent increase in commodity price volatility, futures market risk, in this case, as a price stability mechanism of the rise and fall of the board system, in the prevention of market risk and maintain market stability has played an important role. Statistics show that the 2008 "11" After the end of the long holiday trading to November 21, 2008, only the Shanghai Futures Exchange all varieties of the contract number of ups and downs in total 483. In the handling of this risk incident, it is precisely because of the effective implementation of the Stop board system, the entire futures market to resist systemic risk, to ensure the steady and healthy development of the futures market. However, this system, since its inception, has been plagued by the controversy between the theoretical and practical circles.

In favor of the point of view of the system of change and stop, the system can limit the price fluctuation when the market fluctuates greatly, restrain speculative overheating, reduce the overreaction of the market, and make the price not deviate from the real price excessively. Some scholars believe that when prices touch the price limit, the investor's overheated mood is calm, the market will have more time to digest the existing information to prevent the abnormal volatility of futures prices. Some scholars think that setting up the limit of ups and downs can prevent market defaults, reduce margin demand and reduce market transaction cost to some extent. The argument against the rise and fall of the system is that when the price limit triggers, the transaction will stop, the mood of the market anxiety may increase, thereby exacerbating market volatility. Some scholars also believe that the limit will hinder the price of futures prices reflect the speed of information, not conducive to the effective use of futures functions. Some scholars believe that when prices reach the price limit, the transaction is artificially interrupted, futures market liquidity will be disturbed. Therefore, from the above literatures, there are different opinions on the influence of the futures market on the stop-plate system, and there is no unanimous conclusion.

As an emerging market, the role of ups and downs in China's futures market needs more theoretical research and empirical testing, the current domestic literature is still relatively scarce. Liu Wenxian and other three months of natural rubber continuous contract data research, they believe that the trading board does not hinder the function of futures, but the fall of the Board to a certain extent delayed the speed of information response, at the same time the natural rubber market Stop board system generally does not affect the liquidity of the market. Hua Renhai and other think that the system does more harm than good, the system not only delayed the discovery of the price process, but also increased the volatility of the market. However, the sample data they have taken in the study and the manner in which the data are handled are defective, which may lead to inaccurate results. In order to probe into the influence of the system of ups and downs on the futures market, this paper takes the natural rubber futures of Shanghai Futures Exchange as an example to study the influence of the system on China's futures market and its role.

This research institute uses the data for the Shanghai Futures Exchange Natural rubber daily trading data, including the opening price, the highest, the lowest price, the closing price and the settlement prices, the empirical part of the corresponding use OT, Ht, Lt, Ct, St, the data from the Shanghai Futures Exchange, The time span is January 1, 2004 to December 31, 2008. As to why the choice of natural rubber this species, mainly because of natural rubber compared to other futures varieties of price fluctuations more often, the number of stops are also more, this is particularly representative of the study of the stop-plate system. As each futures contract from the listing to the delivery, its life cycle is only one year, in order to guarantee the continuity of price, many domestic researchers use the following method to construct a continuous contract: Select the third futures contract after the spot month as the representative, after the contract enters the delivery month, then take the third futures contract as the replacement, and so on. In fact, this method is flawed, because natural rubber is the most active contract of the futures is not necessarily the third futures contract after the spot month, but often the third or fourth months after the spot month of odd contracts. For example, the most active contract of March 4, 2008 is not Ru0906 contract, but Ru0907 contract, and the most active contract of April 4, 2008 is Ru0907 contract. Why is this happening? The reason is that for a long time the participants of natural rubber futures have habitually held odd-numbered month contracts, which has become a major feature of this breed. Because of this characteristic of natural rubber, we can not simply take the price of the contract for the third consecutive month as sample data, but should manually select the price of the largest contract for each trading day as sample data.

At present, China's futures exchange generally adopted in accordance with the last session of the settlement price set the next trading day to stop the plate. Some researchers compared the closing price of the next two trading days, thinking that if the limit of price is to stop the plate, in fact, this approach is wrong, the correct approach should be to take the closing prices of the day and the last session of the settlement value comparison. In addition, the price limit of the futures exchange is not invariable. Take natural rubber as an example, from June 1, 2006 onwards, the Shanghai Futures Exchange will be the natural rubber futures standard contract of the daily maximum fluctuation range from the last session of the settlement price of 3% adjustment to 4%, January 5, 2009 Natural rubber of the price limit from 4% adjusted to 5%. In addition, the futures market of the rise and fall of the determination of the stock market than the determination to be more stringent. According to the 11th of the Shanghai Futures Exchange Risk management measures, the exchange will only conclude that the contract has been suspended on that trading day only if the futures contract has not been opened for 5 minutes before the closing price. Considering the above factors, the author screened the number of natural rubber in the sample interval, a total of 103 times, of which a single trading board 46 times, a single drop plate 48 times, two consecutive trading board 3 times, two consecutive stops 5 times, three consecutive stops 1 times.

This paper systematically discusses the influence of the system of ups and downs on the price discovery function, price fluctuation and market liquidity of the day gum market. The empirical analysis shows that the system has no adverse effect on the price discovery function of natural rubber futures. But the system has a "lever" effect on the price fluctuation of natural rubber, and the system affects the liquidity of the market to some extent, but because of the obvious "stop-board turnover effect" in the market, This also reduces the rise and fall of the board system on the negative impact of market liquidity.

Although the system of ups and downs affects the price volatility and market liquidity to a certain extent, it plays a positive role in restraining the excessive fluctuation of price, preventing the risk of futures default and reducing transaction cost. Therefore, it is still a feasible policy to set up the ups and downs system. Considering that the stop board system has "lever" effect on price fluctuation, the future market of our country can consider using the asymmetric rate limit system, that is, the range of the drop plate should be more appropriate than the trading board.

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