投资者结构与期限结构对期货市场效率的影响研究  

The influence of the investor structure and the term structure on the futures market efficiency

作　　者：张雄[1] 万迪昉[1] 杨光[1] 

机构地区：[1]西安交通大学管理学院,西安710049

出　　处：《证券市场导报》2010年第4期35-40,共6页Securities Market Herald

基　　金：上海期货交易所课题合作研究计划第三期课题"期货市场交易机制及合约设计对投资者结构与交易者行为影响的研究"的资助

摘　　要：有效市场假设认为,投资者不能通过任何信息的获取而获得超额收益,即价格能够及时地反映所标资产的相关信息和风险。通过对上海期货市场金融危机前后交易数据的检验,发现其存在显著的长期惯性利润,证明了其不符合有效市场假设和可能存在市场操纵行为。Granger因果检验进一步发现短期的投机行为越多惯性利润越低,长期惯性利润越高投机行为越多。因此上海期货市场有必要通过减少交易成本和提供更多的交易信息去改善市场结构和效率。The efficiency of the futures market is the same to the security market that the investors cannot obtain abnormal returns by any additional information. By using the Newey-West estimator to analyze the trading data of Shanghai Future Exchange Market （SHFE Market） before and after the financial crisis, a significant long-term momentum profit is found, which proves the market is not completely efficient and there might be market manipulations. Furthermore, with the Granger test, we find that the more short-term speculation behaviors the lower momentum profits, but the higher long-term momentum profits the more speculation behaviors. Thus, it is necessary for SHFE to reduce the transaction cost and provide more trading information, so that the market structure and efficiency can be improved.

关 键 词：期货市场 惯性利润 市场结构 市场有效性 

分 类 号：F830.9[经济管理—金融学]