不同类型投资者对商品期货市场收益与价格波动的影响  

The Impacts of Different Types of Investors on Returns and Price Volatility

作　　者：王文虎[1] 万迪昉[1] 张璐[1] 吴祖光[2] 

机构地区：[1]西安交通大学管理学院,陕西西安710049 [2]西安理工大学经济与管理学院,陕西西安710048

出　　处：《系统工程》2016年第7期8-18,共11页Systems Engineering

基　　金：国家自然科学基金资助项目(71173166;71373202);陕西省科学技术研究发展计划项目(2014KRZ03)

摘　　要：基于上海期货交易所铝、铜、橡胶和燃料油期货合约的两种投资者分类账户数据,分析不同类型投资者的交易活动对我国商品期货市场收益、价格发现与波动的影响。结果表明:与个人投资者和投机者相比,机构投资者和套期保值者更愿意冒险持有头寸,但大部分机构投资者参与投机交易;个人投资者和投机者存在明显的过度投机和羊群行为,会加剧商品期货价格波动,并且他们寻找最佳买多或卖空时点的能力不足;机构投资者和套期保值者常常表现出与个人投资者和投机者相反的交易意愿,有助于缓解商品期货价格波动;商品期货价格的变动趋势表明机构投资者和套期保值者具有一定的信息优势,能够在一定程度上预测商品期货价格的未来走势,较好地把握买入与卖出时机。此外,燃料油期货的交易数据表明大型投机者的交易活动也可以缓解期货价格波动。Using the ledger account data of aluminum,copper,rubber,and fuel oil from the Shanghai futures exchange,this paper analyzes the impacts of different types of investors on returns and price volatility.Results show that compared with individual investors and speculators,institutional investors and hedgers are more willing to take risks and to hold positions,but most of the institutional investors participate in speculative trading;Individual investors and speculators exist obvious excessive trading behaviors and herding effect,will increase the price volatility of commodity futures,and can＇t find the best buy or sell short points,but institutional investors and hedgers are often in contrast to individual investors and speculators,will help ease the price fluctuation of commodity futures;The change trend of commodity futures prices show that institutional investors and hedgers have certain information advantage to predict the future prices of commodity futures and to grasp the best buy or sell short points.In addition,the trading data of fuel oil futures show that large speculators＇ trading activities can also alleviate the volatility of futures prices.

关 键 词：个人投资者 机构投资者 套期保值者 投机者 商品期货市场 

分 类 号：F224[经济管理—国民经济] F724