投资者结构、交易失衡与商品期货市场的价格发现效率

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

基于上海期货交易所铝、铜、橡胶和燃料油期货合约两种投资者结构的分账户数据,分析不同类型投资者交易失衡对我国商品期货市场收益、价格发现与波动的影响。结果表明:(1)个人投资者和投机者的交易失衡暗示其寻找最佳买多或卖空时点的能力不足,存在明显的过度自信、过度投机和羊群行为,加剧商品期货价格波动;(2)机构投资者和套期保值者常常表现出与个人投资者和投机者相反的交易意愿,他们能够较好地把握买入与卖出时机,且更愿意冒险持有头寸,有助于缓解商品期货价格波动;(3)商品期货价格的变动趋势表明机构投资者和套期保值者具有一定的信息优势,能够在一定程度上预测商品期货价格的未来走势,他们极其乐观或悲观的交易失衡可以向商品期货市场传递有效的信息和时间信号。因此,提高机构投资者和套期保值者的成交量(持仓量)比例,优化投资者结构,可以有效促进我国商品期货市场的价格发现,降低期货价波动风险。此外,大型投机者的交易活动也可以在一定程度上缓解商品期货价格波动。

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. （1. School of Management, Xi＇an Jiaotong University, Xi＇an 710049, China） （2. School of Management and Economic, Xiran University of Technology, Xi＇an 710048, China）