期货市场投资者行为与价格波动关系研究  

Relationship between Investors' Behavior and Price Fluctuation in Chinese Futures Market

作　　者：杨光[1] 张志勇 

机构地区：[1]西安交通大学管理学院,西安710049 [2]上海期货交易所发展研究中心,上海200122

出　　处：《财经理论与实践》2010年第4期32-37,共6页The Theory and Practice of Finance and Economics

摘　　要：通过从上海期货交易所获取数据,使用向量自回归检验了两种类型投资者的行为和价格波动性之间的关系。实证检验结果表明:(1)不同期货品种市场上的投机行为都会加剧价格波动性,而不同价格波动率度量方法下,套期保值行为对价格波动所产生的Granger显著影响只出现在某些期货品种市场上;(2)市场价格波动对套期保值行为没有显著的影响,而市场价格波动对投机者行为的影响则随着波动率的度量方法不同而不同。研究结论对于指导我国期货市场改善投资者结构、促进期货市场发展具有积极的意义。By obtaining data from Shanghai Futures Exchanges and using Vector Auto Regression method,we empirically verified the relationships between them.Our finding showed that,（1） the behavior of speculators in different futures would increase price fluctuation,while prominent Granger effects of hedgers＇ behavior on price fluctuation only occurred in some futures,（2） price fluctuation do not affect behavior of hedgers prominently,while effects of price fluctuation on speculators＇ behavior are contingent on measuring methods of price fluctuation.These findings are helpful for Chinese futures markets to improve structure of investors and promote futures markets＇ development theoretically and empirically.

关 键 词：套期保值者 投机者 价格波动 向量自回归 期货市场 

分 类 号：F833.5[经济管理—金融学]