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中国管理科学

中国管理科学 ›› 2010, Vol. 18 ›› Issue (6): 9-16.

• 论文 • 上一篇    下一篇

期货市场涨跌停板幅度设置的模型研究

薛勇, 郭菊娥, 薛冬   

  1. 西安交通大学管理学院, 陕西 西安 710049
  • 收稿日期:2009-08-24 修回日期:2010-10-21 出版日期:2010-12-30 发布日期:2010-12-30
  • 作者简介:薛勇(1984- ),男(汉族),陕西西安人,西安交通大学管理学院,博士研究生,研究方向:投融资决策与风险管理
  • 基金资助:

    国家自然科学基金资助项目(70941002)

Model for Price Limits Range in Futures Market

XUE Yong, GUO Ju-e, XUE Dong   

  1. School of Management, Xi'an Jiaotong University, Xi'an 710049, China
  • Received:2009-08-24 Revised:2010-10-21 Online:2010-12-30 Published:2010-12-30

PDF (PC)

988

被引次数

5

摘要： 涨跌停板幅度规定了期货交易中每日价格波动的范围,是涨跌停板制度的核心,过高的停板幅度不利于抑制价格的剧烈波动,过低的停板幅度又会妨碍期货市场价格发现功能的实现。尽管涨跌停板制度已被期货交易所广泛采用,但对如何设置合理的涨跌停板幅度的研究尚不成熟,实用性较差。本文在国内外学者研究的基础上,基于自履行合约理论和极值理论构建期货涨跌停板幅度设置模型。模型通过合约自履行条件下涨跌停板幅度与保证金水平的关系,获得合理的涨跌停板幅度,并应用极值理论修正了以往模型中期货收益率的正态分布假设,提高了实用性。最后,本文应用该模型对我国铜和天然橡胶期货涨跌停板幅度进行了实际测算。

关键词: 涨跌停板, 自履行合约, 极值理论

Abstract: The price limits system is one of the key mechanism in futures market.A high level of price limits is not conductive to inhibit sharp pricefluctuation,while a low one may hinder the price discovery Although the daily price limits system has been widely used in futures exchange,previous studies about how to set up a daily limit range are not enough to be practical.This paper establishes a model for setting reasonable price limits range on the basis of Self-enforcing Contract Theory and Extreme Value Theory.The model obtains a reasonable limits range from the relationship between limits range and the level of margins.It also modifies the normal distribution assumption of futures returns in previous models through Extreme Value Theory.At last,this model is applied to estimate the price limits range of China's copper and rubber futures.

Key words: price limits, self-enforcing contract theory, extreme value theory

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