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

2017年03月第23卷第2期
   
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文章编号:1672-3104(2017)02-0094-09
 
金属资源跨期现市场操纵的判别——以高盛铝价操纵案为例
 
朱学红1,2,张宏伟1,2,张众1,2,罗玉梅1,2
 
(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)
 
摘  要: 以2013年曝出的高盛铝价操纵案为例,基于波动性分析和事件分析法对金属资源跨期现市场操纵进行机理分析和判别研究,为金属资源跨期现市场操纵的判别提供有益参考。研究发现:在操纵期间,期货和现货价格序列呈现出“非自然特征”,进一步通过事件分析法得出在不同事件窗口都有显著为正的累计超额收益率,说明高盛在此期间确实对铝价进行了操纵。在防范跨期现市场操纵的过程中,应尽快建立完善的跨期现市场监管、风险防范体系,以及跨市场信息交流机制,加强对投资者相关法律、法规的教育,并完善我国金属市场仓储制度。
 
关键词: 跨期现市场操纵;高盛铝价操纵案;波动性;事件分析法;判别
 
 
The differentiation in the manipulation of metal resources across the futures and spot market: Case study of Goldman Sachs' manipulation of aluminum price
 
ZHU Xuehong1,2, ZHANG Hongwei1,2, ZHANG Zhong1,2, LUO Yumei1,2
 
(1. School of Business, Central South University, Changsha 410083, China;
2. Institute of Metal Resources Strategy, Central South University, Changsha 410083, China)
 
Abstract: Taking the case of aluminum price manipulation by Goldman Sachs in 2013 as an example, the present essay analyzes and discerns the mechanism of the manipulation of metal resources across the futures and spot market based on volatility analysis and event analysis, which provides useful reference for the judgment of metal resources across the futures and spot market manipulation. It is found that during the manipulation period, the sequence of futures and spot price shows “unnatural characteristics”, and that through event analysis, the cumulative excess returns are significantly positive at different event windows, indicating that Goldman Sachs does manipulate aluminum prices. In the course of preventing the cross-market manipulation, we should establish perfect cross-market supervision, risk prevention system and cross-market information exchange mechanism as soon as possible, strengthen the education of investors on related laws and regulations, and improve China’s metal market storage system.
 
Key words: manipulation across the futures and spot market; Goldman Sachs’ price manipulation; volatility; event analysis; discrimination
 
 
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