基金持仓与商品期货价格关系的实证研究--以铜期货市场为例  

The relationship between funds and futures prices: An empirical study based on the copper futures market

作　　者：李艺[1] 部慧[1] 汪寿阳[1] 

机构地区：[1]中国科学院研究生院管理学院,北京100080

出　　处：《系统工程理论与实践》2008年第9期10-19,共10页Systems Engineering-Theory & Practice

基　　金：国家杰出青年基金;国家自然科学基金委员会优秀创新研究群体基金

摘　　要：为考察基金操作行为与铜期货价格之间的关系,利用美国商品期货交易委员会公布的交易商持仓报告提供的持仓信息,采用Granger因果检验方法分析了国际基金操作行为与国际铜期货价格之间的关系.结果表明,价格收益率正向Granger影响基金净多持仓,即收益率上升会引起基金净多持仓的增加.但一般而言,交易商包括基金的净持仓并不引领价格变化.另一方面,瞬时Granger因果检验的结果显示,基金净持仓与期货价格之间存在互相影响、互为因果的关系.In recent years, rising copper futures prices and derivative risk events related to copper futures markets have drawn attention to the role intematioual funds play in price fluctuations. To better understand the relationship between the fund＇s strategy and copper futures prices, the paper studies the Commodity Futures Trading Commission （CFTC）＇ s Commitments of Traders（COT） for copper futures contracts and employs Granger causality tests to determine if relationships between funds＇ positions and market prices exist. Empirical results show that positive returns result in an increase in noncommercial net long positions, while traders＇ net positions do not lead market returns in general. Furthermore, the results of instantaneous Granger Causality indicate that there exists instantaneous Granger causality between net positions held by funds and returns.

关 键 词：期铜市场 Granger因果检验 交易商持仓报告 期货基金 

分 类 号：F830.9[经济管理—金融学]