沪铜期货噪声交易与渐进有效性

Evolving Efficiency and Noise Trading of China's Copper Futures Market

从行为金融学视角考察噪声交易对市场有效性的影响已成为金融微观领域的热点话题。针对沪铜期货市场,首先构建EGARCH模型度量了噪声交易,其次利用时变状态空间模型衡量了有效性,最后采用GARCH类模型从一阶矩和二阶矩角度考察了噪声交易对有效性的影响。发现:该市场渐进趋向弱式有效,过程带有鲜明的阶段特征,2013年6月上旬以前有效性较差,随后,受市场利好制度出台影响,有效性逐渐好转;长期来看,噪声交易对其有效性存在较弱促进作用,是因为噪声交易对抑制收益率波动的市场深度存在促进作用;而短期内会加剧有效进程波动,原因在于噪声交易会扩大收益率方差。总体而言,噪声交易不是沪铜期货市场无效的根本原因,交易制度很可能才是关键因素。

Investigating the impact of noise trading on efficiency from the perspective of behavioral finance has become a hot topic in the field of micro finance.This paper studies the evolving efficiency of Shanghai copper futures market and the impact of noise trading on it.We firstly measure the noise trading using EGARCH model,secondly build a state space model to measure the evolving efficiency using Kalman filtering,and finally investigate the impact of noise trading on the efficiency using GARCH model from both first and second moment.Through the empirical study,we find that:the market tends to be weakly efficient,with a distinctive stage characteristic.Specifically,before early June 2013 its market effectiveness is poor and then it gradually improves after beneficial policy was introduced.In the long run,the noise trading weakly enhances the efficiency due to promoting market depth,while in short term,it magnifies the volatility of the evolving efficiency,because it will amplify variance of yield.The results indicates that noise trading isn’t the primary cause of copper futures market’s inefficiency,but trading system and market environment are likely to be the key factors.