我国农产品期货市场流动性对价格形成的影响研究  

The Research on the Effects of Market Liquidity of Agricultural Commodity Futures on Price Formation

作　　者：徐媛媛[1] 王传美[2] XU Yuanyuan;WANG Chuanmei

机构地区：[1]华中农业大学经济管理学院,湖北武汉430070 [2]武汉理工大学数学系,湖北武汉430070

出　　处：《华中农业大学学报（社会科学版）》2021年第6期65-75,189,共12页Journal of Huazhong Agricultural University(Social Sciences Edition)

基　　金：国家自然科学基金项目“农产品期货市场泡沫风险的测度、形成机理与预警研究”(71803058);国家自然科学基金项目“‘金融化’背景下我国农产品期货与现货市场风险评价与传导研究”(71673103)。

摘　　要：流动性是现代金融市场体系的生命力和期货市场资源配置的润滑剂。利用2016-2018年实时交易记录,以有效价差作为流动性的代理变量,发现农产品期货市场流动性呈现日内(倒)U-型与周内(倒)V-型分布特征。基于此,分别构建了带有“日内效应”的量价关系回归模型与带有“周内效应”的Fama-French三因素模型,从信息成本与风险溢价视角实证探讨农产品期货市场流动性对价格形成的影响。研究发现:第一,在开盘/收盘期间,农产品期货交易量对价格变化产生长期、不可逆的冲击,这是交易活动中的信息效应大于流动性效应的结果,其中夜盘交易的价格效应小,因此具有平滑价差与分担风险的作用。第二,农产品期货超额收益中包含对流动性的风险补偿,但呈现出显著的周期性特征,其中“流动性溢价”现象与交易的“规模效应”同步出现于周一,这主要源于每周伊始的信息释放与加仓需求。因此,通过增加规模交易占比、健全信息披露制度、扩大夜盘交易品系等途径切实维护市场流动性的合理稳定,发挥农产品期货市场在资源配置与价格发现等方面的重要作用。Liquidity is the life force of modern financial market system and the lubricant of financial resources allocation.Using real-time trading records of 2016-2018,it was found that effective spread which proxies for market liquidity follows intraday U-shaped and intraweek V-shaped distribution in the agricultural commodity futures market.Based on that,this paper constructs“volumes-prices”relation regression model with intraday effects and Fama-French 3-factor model with intraweek effects to explore the effect of market liquidity on agricultural futures pricing mechanism,from the perspective of information cost and risk premium.The study found that first agricultural commodity futures trading volume has a long-term and irreversible impact on futures price during opening and closing periods,which results from information effects greater than liquidity effects driven by trading,and a smaller price impact in Night trading plays a role in smoothing spread and sharing risk.Second the excess returns of agricultural futures compensate traders for liquidity risk,with a cyclical feature;there appears a concurrence of“liquidity premium”and an“economics of scale”on Monday driven by the demand of releasing information and increasing position.It is concluded that increasing the proportion of scale trading,perfecting the information disclosure system and expanding the varieties of night trading will help maintain the reasonable and stable market liquidity,and give full play to the important role of agricultural futures market in resource allocation and price discovery.

关 键 词：农产品期货价格 市场流动性 有效价差 流动性溢价 风险溢价 知情交易 信息成本 

分 类 号：F323.7[经济管理—产业经济]