非商业持仓与石油市场收益率的关系研究  

Research on the Relalionship between Noncommercial Position Holdings and International Oil Market Yield

作　　者：潘慧峰[1,2] 石智超[1] 唐晶莹[1] 

机构地区：[1]对外经济贸易大学金融学院 [2]对外经济贸易大学应用金融研究中心

出　　处：《国际金融研究》2013年第12期73-81,共9页Studies of International Finance

基　　金：国家自然科学基金资助项目(70871023);对外经贸大学教师学术创新团队资助项目(CXTD2-04);教育部人文社科项目(12YJC790146)的资助

摘　　要：本文选取2006-2011期间WTI市场的月度数据,以金融危机为分界点,将时间段分为危机前、危机中、危机后三段时期,采用Granger因果检验、回归分析考察了非商业持仓净多头变化对石油市场收益率的影响。实证结果表明,非商业持仓净多头变化不仅直接影响收益率,同时也通过商业持仓间接影响收益率。本文提供了石油市场金融化的证据,实证结果对于监管机构加强市场准入监管,适时限制非商业持仓的规模,维护期货市场的稳定具有重要意义。Based on the monthly data of WTI market from 2006 to 2011, which is divided into three periods as precrisis, crisis and post-crisis, this paper uses Granger causality test and regression analysis to examine the relationship between non-commercial net position＇ s change and the commodity return in the process of oil market＇s financialization. The empirical results show that non-commercial net long position＇s change not only directly affects the return, but also indirectly affects it by commercial long position. This article provides evidenee of oil market＇s financialization. The empirical results have significant implication for the regulator to strengthen the supervision of market access, limit the size of non-commercial position at the right time and maintain the stability of the futures market.

关 键 词：石油市场金融化 非商业持仓净多头 市场收益率 GRANGER因果检验 

分 类 号：F831[经济管理—金融学]