我国大宗商品期货市场存在羊群行为吗?

Does Herding Behavior Exist in Chinese Commodity Futures Markets?

近年来,我国大宗商品期货市场发展迅猛,但是能否减缓价格波动、调节市场供求?我国商品期货价格的波动是否存在羊群行为?本文研究我国27种已上市的大宗商品合约,分析2005到2013年的期货市场日频数据,使用MS-GARCH模型发现了我国大宗商品市场在一般波动状态中的羊群行为。在低波动率区间内,我国商品期货市场显著存在羊群行为;在市场下跌时,交易者更容易跟风抛售。然而,羊群行为在市场波动剧烈时并非显著。随着市场波动增大,农产品期货市场的羊群行为出现弱化,但是工业金属品市场的羊群行为始终显著。相对而言,我国政府对于农产品期货市场监管严格,对于工业金属品市场干预较少。此外,我国股市和商品期货市场总体上并不存在显著的溢出联动效应。

In recent years, the commodity futures markets have been developing rapidly in China. Can the Chinese futures markets help to reduce the price volatilities of commodities？ Do herding behaviors exist in the Chinese commodity futures markets？ Studying the daily data of 27 listed commodities from 2005 to 2013 with our MS - GARCH model, we find that there are herding behaviors in the Chinese commodity futures markets in general. When the volatilities are low, the herding behaviors are rather significant in the futures markets. In particular, the traders tend to follow the trend to sell out with the market decline. However, the herding behaviors are insignificant during the period with high volatilities. When the market volatility increases, the herding behaviors in the agrieuhural eommodity futures markets are weakened under the relatively tight government regulations, but the herding is always quite significant in the industrial metal futures markets which is subject to less government interventions. In addition, we do not find significant spillover linkage effect between the Chinese stock market and the commodity futures markets.