黄金期货市场有效性与微观特征关系研究

Relationship between Market Efficiency and Microscopic Characteristics of Chinese Gold Futures Market

选取2011至2015年日频数据,采用时变状态空间模型、结构方程模型,对上海黄金期货市场有效性与市场深度、市场流动性、噪声交易、投机率和信息非对称关系展开了深入研究。实证结果表明:黄金期货市场有效性渐进趋向弱势有效,于2014年末实现弱式有效。从宏观制度层面分析,平今仓免收手续费和连续交易制度是有效性提升的原因,从微观层面深入分析,市场流动性和市场深度才是提升有效性的根本原因,而信息非对称阻碍了市场有效性的形成,噪声交易和投机率对其无显著影响。市场深度和市场流动性间至相促进,市场有效性对噪声交易与投机率均具有抑制作用,市场深度对噪声交易和信息非对称产生抑制作用,投机率对市场深度和市场流动性存在微弱促进作用。

This paper investigates the relationships among market efficiency,market depth,market liquidity,noise trading,speculation and asymmetric information,based on time-varying state space model and structural equation model using the daily sample of Shanghai gold futures market from 2011 to 2015.We find that this market gradually tends to be weak efficiency in the long run,and achieved weak effectiveness at the end of 2014.From the macro level,the fee-free policy of flatting present position and continuous trading system are the reasons for the increase in market effectiveness.However,the deep analysis from the microeconomics perspective,shows that market liquidity and market depth are the root causes of effectiveness improvement,while asymmetric information is harmful to efficiency,and noise trading and speculation has no significant effect on it.Market depth and liquidity promote each other,and market efficiency obstructs both noise trading and speculation.Moreover,market depth decreases both noise trading and information asymmetry,and speculation weakly promotes market depth and liquidity.