: :
1 2 1. vs.
1 1 5% 7% SPAN Standard Portfolio Analysis of Risk
720 / 700 / 680 / 660 / 640 / 50 / 720 +50 +6.9% 700 +50 +7.1% 680 +50 +7.4% 660 +50 +7.6% 640 +50 +7.8%
SPAN 2004 [1] 2. vs. risk premium informed traders noise traders behavior-driven traders CFTC CFTC
3. vs. corner squeeze Kyle 1984 [2] 2001 [3]
327 9811 1999 1 1998 2 3 2 5% 7% 10% 15% 20% http://www.shfe.com.cn 3 1 10% 15% 20% 25% 30%
http://www.dce.com.cn 2 3 Samuelson 1965 [4] Grossman 1977 [5] Grossman 1977
Grossman 1977 informational role basis risk SPAN SPAN
1998 12 16 2005 3 15 1998 12 15 2005 3 14 1 4 1,649 4,541 8,691 11,745 19,577 9,941 15,333 69,290 98,857 79,457 42,011 19,621 4
t 5 6 5 t t -7041.85-12.606* -10095.6-17.659* -17927.4-23.233* -4149.72-9.603* -7203.43-11.057* -15035.2-16.78* -7831.81-8.519* 9635.253 10.2* *:1% 6 t t -83524.8-25.425* -64114.6-21.971* -26668.3-14.003* -29567.7-7.627* -10172.3-2.825**
19464.91 4.539* 56911.11 15.712* 22390.06 15.899* *:1% ** 5% 5 6 Guo Li 2003 5 6 1 2 1 Guo Li 2003 [6] trading in the middle 4-6
paper gains real gains 2002 12 16 2002 12 2003 1
2003 2 2002 12 17 2002 12 2003 1 2003 2 2003 3 2002 3 15 1 1 1 1 1 2003 3 2003 1 1 6 0 : [1] [J].
. 2004 12 [2] Kyle, A.A theory of futures market manipulations.[c]. in Anderson, R.W., ed., The Industrial Organization of Futures Markets. Lexington, Mass.: Lexington Books. 1984. [3] [M].. 2001. [4] Samuelson P. A. Proof that Properly Anticipated Prices Fluctuate Randomly. [J]. Industrial Management Review. 6. 1965: pp. 41-49. [5] Grossman, S.J. On the Efficiency of Competitive Stock Markets where Trades have Diverse Information. [J]. Journal of Finance. XXXI(2). 1976: pp573-585. [6] Guo Xiaoli and Li Muchun, Tracking the Forces Behind Volume Patterns. [J]. Futures. November, 2003: pp46-50.