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研究生： 詹乃磬
Nai-Ching Chan
論文名稱： 指數期貨操縱模型--以台灣股價指數為例
A Model of Index Futures Manipulation with TAIEX Futures
指導教授： 賴弘能
Hung-Neng Lai
口試委員:
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融學系
Department of Finance
畢業學年度： 93
語文別： 中文
論文頁數： 47
中文關鍵詞： 操縱 、期貨 、現金結算 、台股指數期貨
外文關鍵詞： futures, manipulation, cash settlement, the TAIEX Futures
相關次數： 點閱：16  下載：0 
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    • 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。

    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.

    Contents 1 Introduction 1 2 The Model of Manipulation 4 2.1 Assumptions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 2.2 Maximizing Objected Function . . . . . . . . . . . . . . . . . . . . . . 7 2.3 The Model with a Wealth Limit . . . . . . . . . . . . . . . . . . . . . . 9 3 The Implication of Model 11 3.1 Manipulator’s Purchasing Policy . . . . . . . . . . . . . . . . . . . . 11 3.2 Ratio of Buying Stocks to Futures . . . . . . . . . . . . . . . . . . . .12 3.3 Return Rate of Manipulation . . . . . . . . . . . . . . . . . . . . . . 15 4 Using Data to Examine the Model 17 4.1 Methodology . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .17 4.2 Example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .18 5 Uncertain State 22 5.1 Model with Uncertainty . . . . . . . . . . . . . . . . . . . . . . . . . 22 5.2 Return Rate of the TAIEX and Manipulation . . . . . . . . . . . . . . . 24 5.3 Ratio of Buying Stocks to Futures . . . . . . . . . . . . . . . . . . . 26 6 Volume-weighted Settlement Price 26 7 Summary and Conclusions 34 References 35 A Contract of TAIEX Futures 37 B Compiling the Index 38 C Proof 40 D Cartan Formula 42 E Nonlinear Model 43

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