The Study On The Risk Control Of Chinese Futures Markets

As a super form of market economy, the futures markets was derived from the real markets, at the same time, the futures markets have its specialty. Speculative operation, fluctuation of price and leverage of caution of money make it to be a more dangerous and risk-cumulating market. And if this happened, it will not only affect the futures markets, but also it will damage the national economy, so, we should have strict risk control on futures markets.Now in our economy, we have already constructed the risk control system, but still it is not mature. At present, the theory about risk control of futures markets is so poor. China lags behind in risk management in terms of its theoretical research and practice. It is very important to carry out research in this field. That is the reason why the theme has been chosen. This thesis'theme is about risk control of Chinese futures markets. The thesis tries to make research of the risk control systematization on the basis of the international researches, and to analyze the common situation of our futures markets, then to find the origination of risk. At last, according to a logic process of risk definition, risk discrimination, risk measure and risk control, the writer gives some advices about risk control of Chinese futures markets.The quantity research is an important part of this paper. In the risk measurement, the writer chooses the Contract's price of Copper Contract in Shanghai Futures Exchange (SHFE) as research object, after measuring the risk, this paper also gives the impact reaction curve. At the same time, correlated theoretical research is required, for example, when explaining the formation of risk, the writer makes a good use of neoinstitutional economics and neoclassical economics.This thesis consists of six chapters.The first chapter is introduction, which explains the theme's background, the theme's purpose, research thinking, research method and its innovation and drawbacks. This chapter first introduces the development of international futures markets, then give a short description of our markets. After this, it shows the importance of carry on theory of risk control object to our common markets. In the end, the chapter introduces the main theory and method from two aspects: theory and quantity analysis, also the writer gives the shortcuts of this paper.The second chapter is document summary on theory about risk control of futures markets. The first sector introduces the foreign theory of risk control. The second sector introduces empirical researches of domestic futures markets and overseas, and at last, this chapter gives a summary of present research in our country.The third chapter is about the category and formation of futures markets. First, the writer introduces the definition of risk and the definition of futures markets'risk, which gives a new thought about the characteristic of futures markets. Then the writer introduces two categories of systematic rise and unsystematic risk. After these, it tries to find the factors that result in the futures markets'risk by third sector, macroeconomics, microeconomics and theoretics. In the end of this chapter, the writer makes a good use of neoinstitutional economics and neoclassical economics when he tries to give a theoretical explanation of the risk formation.The forth chapter, based on Contract's price of Copper Contract in Shanghai Futures Exchange (SHFE), the writer make a empirical research on risk control. First in this chapter, the writer gives a short description of SHFE markets and economic function. Then, it analyzes the factors that affect the Contract's price from different views. At last, based on the Contract's price, the writer make a empirical research on risk control, and it describes the GARCH effect. According to this research, the writer finds that the yield distribution of price has the typical character of pinnacle, thick tail and rith avertence, also it has distinct GARCH effect. Just like the estimation of finance market, in futures markets, the investors bear more risk when they want to get more yield. Also, the asymmetry appears in futures markets, the shock of bear information is always more than that of bull information.The sixth chapter is about the control of futures markets'risk. In this chapter, the writer first produces systems of futures markets'risk control. Then it introduces the risk precaution system at present. In conclusion, the writer tables some proposals to China's futures markets'risk control system.Concerning the trail of thought, this paper shows such three parts:1) This paper tries to use theatrical explanation of risk, it makes a good use of neoinstitutional economics and neoclassical economics when doing this.2) When doing quantity research, the writer chooses GARCH Model as an instrument. This is a good try of using other research methods of financial markets in futures markets.3) When giving the exact form of model, the writer introduces several modes to estimate, such as GARCH(1,1),GARCH-M,TARCH and EGARCH.4) When concerning about the control of futures markets'risk. In this chapter, the writer produces systems of futures markets'risk control and risk precaution system at present and tables some proposals to China's futures markets'risk control system from different angles.To sum up, this paper improves the shortcoming of the present studies and consummates the contents and methods for studies on futures markets. Meanwhile, it not only analyzes the risk measurement and future trend of futures markets from qualitative examination and quantitative examination, but also gives some aimed constructive proposals. The study carried by this paper provides a fresh visual angle and a new platform for the theory and practice of futures markets.