期货市场中持仓量及参与者对资产价格的影响研究

Influence of Open Interest and Participants on the Asset Prices in Futures Markets

本文通过建立一个期货市场的均衡模型,提出在具有套保需求和有限风险承受能力的前提下,期货价格能够预测未来资产价格变动的方向,持仓量能够辅助预测未来资产价格变动的剧烈程度;此外,市场中不知情投机者具有风险调整市场收益的作用,不知情套保者的参与能够稳定市场。对于持仓量是否能够辅助预测未来资产价格变动的剧烈程度,本文利用中国商品期货市场数据进行了实证检验,结果表明与理论研究的结论一致。

By building an equilibrium model in the futures market, this article intends to demonstrate that the movements in futures prices could predict the direction of changes in asset prices, and the movements in open interest could predict the degree of changes on the premise of hedging demand and limited risk absorption capacity. We also propose that the uninformed investors could adjust the returns of futures markets and the uninformed hedgers could stabilize the markets. Besides, we use Chinese commodity futures markets data to test whether the movements in open interest could predict the degree of changes in asset prices. As a result,the empirical study is consistent with our proposition.