现货市场与期货交易行为对期货市场波动的影响——来自中国农产品期货市场的证据

Spot Market,Trading Activities and Volatility——A Case from Chinese Agricultural Commodity Futures Markets

期货交易对波动性的影响一直以来都是一个备受争议的课题。建立了包含预期风险收益、现货市场和期货市场非对称信息冲击效应的EC-TARCH-M模型,对大豆、豆粕、玉米和强麦等期货的交易行为、现货市场信息冲击与期货市场内在波动性之间的关系进行深入研究。结果表明,期货交易行为均对波动性有着显著影响,但影响的方向和程度不一致,投机交易会加剧期货市场波动性,而市场深度却有助于降低期货市场波动性。不同期货市场波动性对来自现货市场的信息冲击反应不一,但对来自期货市场中的信息冲击具有"杠杆效应"。

The affects of the futures trading activities to the futures markets＇ price volatility is widespread disputed. An EC - TARCH - M model is developed which includes the expected risk return and asymmetric information impacts from both spot market and futures markets. The empirical results on the volatility characters of the spot - futures market of the soybean, corn and soy meal and wheat are figured out. The results show that the affects of the futures trading activities to the futures markets ＇ price volatility are prominent, but the degrees are different, speculated trading activities increase the futures market volatility and market depth is helpful to decrease the volatility. Information impacts from spot markets to the futures markets ＇ price volatilities are asymmetric, and leverage effects are found in the futures markets＇ price volatility by the impacts from the futures markets.