我国商品期货市场持仓额的信息含量研究

A Study of Information Content of China's Commodities Futures Market Positioning

期货总持仓额是否具有预测金融资产价格的能力,以及到底体现何种信息,又隐含什么信息是本文研究的主题。基于我国商品期货市场数据,通过构造持仓额增长率因子进行研究后发现:总持仓额因子对商品期货收益率、债券超额收益率和短期利率具有显著的预测能力。然而,单个商品市场的持仓额因子的预测能力减弱,且投机性越强的商品期货,其持仓额因子的预测能力受到噪音影响的程度越强烈。同时,持仓额因子的预测能力可能源自于市场投机因素(用成交量/持仓量之比表示)、基差、通胀因子和预期因子,且市场投机因素的解释能力最强。

The subject of this paper is to study whether the total futures market positioning has the ability to predict the financial asset prices, as well as what information the market positioning has reflected and implied. Based on China＇s commodities futures market data, this paper conducts a study by constructing the growth rate factors of market positioning. The results indicate that the total market positioning factor has a significant ability to predict the yield rate of commodity futures, the ex- cess return of bonds and the short-term interest rate. However, the market positioning factor of the single commodity market is weaker in this ability; and the stronger the speculativeness of the com- modity futures is, the more intense the degree of noise influence on the predictive ability of market positioning factors will be. Meanwhile, the predictive ability of market positioning factors may be de- rived from the market speculative factors （expressed by the ratio of trading volume and positions）, basis, inflation factor and expectation factor; and the market speculative factor is the key one.