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《Industrial Engineering and Management》 2008-03
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Empirical Study on the Constructed Squeeze Risk Index(SRI) in China Futures Markets

HUANG Wei,LIU Hai-long (Financial Engineering Research Center,Shanghai Jiao Tong University,Shanghai 200052,China)  
Considering three different aspects of the stock,the open interest and the basis of futures and spot,the paper constructs the squeeze risk index(SRI) in futures markets.The SRI's reasonable upper limit,deduced basing on cost of carry theory and the relationship of open interest and stock,makes as constant threshold.The paper identifies squeeze risk adopting the threshold methods associating with quantile threshold and constant threshold.The paper provides the theory foundation and the practical operation method for the futures market's squeeze risk alarm and control.An empirical study on all rubber contract in Shanghai Futures Exchange(SHFE) from Jan 7,2002 to Sep 1,2006.Through analyzing the two different time windows of the whole sample and subsection sample,the paper shows that it is more suitable squeeze identification method with the threshold methods associating with quantile threshold and constant threshold under subsection sample setting by China's margin adjustment system.The empirical results show that the ru0306 and ru0407 contracts have significant squeeze risk.It is consistent with the prevalent market viewpoints.
【Fund】: 国家自然科学基金重点课题(70331001)
【CateGory Index】: F830.9;F224
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