投资者结构、交易失衡与商品期货市场的价格发现效率

doi:10.16381/j.cnki.issn1003-207x.2015.11.001

Abstract

Abstract: Due to investors structure imbalances, excessive speculation, insufficient hedge, the poor function of price discovery and the lack of global commodity pricing in Chinese commodity futures markets, based on account data of two kinds structure of investors of Shanghai Futures Exchange copper, aluminum, rubber and fuel oil futures contracts, the regression analysis method GARCH model and the Parkinson's volatility are used to analyze how the transaction behavior of different types of investors to affect the futures return, price discovery and price volatility in China's commodity futures market. The results showed that:(1) the order imbalance of individual investors and speculators implies its ability to find the best point of buy more or short selling is insufficient, their overconfidence, excessive speculation and herd behavior will exacerbate fluctuations in commodity futures prices; (2) the institutional investors and hedgers often show contrary trade intention to individual investors and speculators, they can better grasp the opportunity to buy and sell, and more willing to take risk positions, help to alleviate the fluctuation of commodity futures prices; (3) the change trend of commodity futures prices shows that institutional investors and hedgers have certain information advantage to be able to predict the future trend of commodity futures prices to a certain extent, their extremely optimistic or pessimistic order imbalance can transfer effective information and time signal to the commodity futures market. In other words, improving institutional investors and hedgers' ratio of trading volume (open interest) and optimizing the structure of investors, can effectively promote China's commodity futures market price discovery and reduce the volatility risk of futures price. In addition, large speculators trading activities can also ease the futures price volatility to a certain extent. Therefore, designing reasonable price limits and margin for different types of investors is to guide the trading behavior of different types of investors. Improving investors' structure in China's commodity futures market has important practical significance to perfect the function of price discovery and risk hedging in Chinese commodity futures market.

Key words: investors structure, order imbalance, price discovery

CLC Number:

F224
F724.5

WANG Wen-hu, WAN Di-fang, WU Zu-guang, ZHANG Lu. Investors Structure、Order Imbalance and Price Discovery:Evidence from Shanghai Commodity Futures Market[J]. Chinese Journal of Management Science, 2015, 23(11): 1-11.

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Investors Structure、Order Imbalance and Price Discovery:Evidence from Shanghai Commodity Futures Market

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