农产品期货价格由供求信息决定还是投机行为决定?——投机基金对玉米期货价格影响的实证分析

Agricultural Futures Prices Were Determined by Supply and Demand Information or Speculation?——Empirical Analysis of Impact of Speculation Fund on Corn Futures Price

使用2006年1月一2017年11月CBOT玉米期货持仓情况、价格信息数据和美国农业部(USDA)玉米供需平衡表数据,对投机基金对CBOT玉米期货价格影响进行实证分析。通过分析玉米期货持仓情况和计算投机指数,发现观察期内投机基金市场地位越发重要,市场投机性在观察期内有所上升;通过建立玉米期货价格回归模型发现,玉米年度供需预测量对玉米期货价格影响不显著,投机基金持仓情况对玉米期货价格影响显著,表明在CBOT玉米期货市场中玉米期货作为价格发现工具已丧失相当一部分功能,CBOT玉米期货价格决定因素不再是市场供求信息,投机基金已影响了玉米期货价格的形成。

This paper used CBOT com futures positions and price data from January 2006 to November 2017 and USDA com supply and demand balance table data to make an empirical analysis of the impact of speculative funds on the price of CBOT com futures. By analyzing the position of com futures and calculating speculative index, it was found that the market position of speculative fund was becoming more and more important during the observation period, and the market speculation rose during the observation period. Through establishing the regression model of com futures price, it was found that the forecast of annual supply and demand of com had no significant impact on the price of com futures, and the position of speculative fund had a significant impact on the price of com futures. The results showed that in CBOT com futures market, com futures as a price discovery tool had lost a considerable part of its function. The determinant of CBOT com futures price was no longer market supply and demand information, speculative funds had affected the formation of com futures prices.