恐慌是否刺激了农产品期货投机?——来自CBOT小麦期货数据的验证

Has the Panic Stimulated Speculation in Agricultural Futures?——Validation Summary from CBOT Wheat Futures Data

本文基于2000~2021年VIX指数以及CBOT小麦期货持仓数据,运用协整检验与小波变换模型,从流动性与持仓量两个角度分析恐慌情绪对CBOT小麦期货投机行为的影响。研究显示:在趋势层面,套期保值者更趋向基于历史数据进行判断操作,而投机者则相反;在波动层面,套期保值者依据恐慌的冲击程度进行较小幅度调整,而投机者则倾向放大市场恐慌程度,进而提高投机频率。基于本文的研究,提出应建立完善的金融市场信息披露机制以及重大突发事件的应急机制。

Based on the VIX index and CBOT wheat futures position data from 2000-2021,this paper uses cointegration tests and wavelet transform models to analyze the impact of panic on CBOT wheat futures speculative behavior from two perspectives:Liquidity and position size.The study shows that at the trend level,hedgers tend to make judgments based on historical data,while speculators do the opposite;at the volatility level,hedgers make smaller adjustments based on the level of panie,while speculators tend to amplify the level of panic in the market and thus increase the frequency of speculation.Based on the research in this paper,it is proposed that a comprehensive financial market information disclosure mechanism should be established to improve the emergency response mechanism of financial markets in the face of major emergencies.