The case study on the price-fixing of China stock index futures

The quantitative analysis on the 1 minute high frequency data of China stock index futures live trading shows that the price has presented the unusual fluctuations because it´s manipulated, this has largely affected the price discovery function of the stock index futures. The Patterns and characteristics of price-fixing include cross-market manipulation, control and direct manipulation of maturity. The main reason is that the relevant regulations and trade system are imperfect, and the lack of multi-level structure of a wide range of investors. Therefore, the key measure to ward off the manipulation of stock index futures prices should be: law improvement, investor structure optimizing, and set-up of the early warning system on the stock index futures price manipulation.