重大信息公告对农产品期货实时交易行为的影响研究  

Research on the Influence of Major Information Announcements on Real-time Trading Behavior of Agricultural Futures

作　　者：张硕 李剑[2] 祁楷清 谭德浩 ZHANG Shuo;LI Jian;QI Kaiqing;TAN Dehao

机构地区：[1]中国人民大学农业与农村发展学院,北京100872 [2]华中农业大学经济管理学院,武汉430070 [3]多伦多大学文理学院,多伦多M5S1A1

出　　处：《世界农业》2024年第9期52-65,共14页World Agriculture

基　　金：国家自然科学基金面上项目“农产品期货与现货联合价格分布估计、基差风险与含权套期保值研究”(72173052);国家自然科学基金项目“农产品期货市场价格泡沫风险测度、形成机理和预警研究”(71803058)。

摘　　要：在构建分钟级高频流动性价差和深度指标的基础上,本文首次利用了中国月度大宗农产品供需形势分析报告数据,揭示了中美重大信息公告如何对农产品期货实时交易行为产生影响,并分析对比了中美信息公告冲击的差异化影响效应。研究发现:①中美重大信息公告对农产品期货市场实时交易行为影响显著,流动性的日内U形分布特征在公告日表现出更大的波动峰值和波动发生频率;②与农产品国际贸易模式相关联,“高自给率,强调控”的主粮品种实时交易行为受国内信息公告影响更大,“低自给率,弱调控”的非主粮品种受国际信息公告影响更大。研究认为应重视重大信息公告对期货市场实时交易的冲击作用及其信息源响应差异,从而保障农产品期货市场的平稳健康运行。Based on the construction of minute-level high-frequency liquidity spread and depth indicators,this paper first uses the announcements of China’s Agricultural Commodities Supply and Demand Situation(ACSDS)and reveals how major information announcements in China and the United States have an impact on the real-time trading behavior of agricultural futures.Meanwhile,the impact of country-specific announcement shocks on real-time trading of different futures varieties are analyzed and compared.The results show that:①Major information announcements have a significant impact on real-time agricultural futures trading,and the intraday U-shaped distribution characteristics will show greater volatility peak and occurrence frequency on the announcements day.②Related to the international trade patterns of agricultural commodities,staple food commodities with high self-sufficiency rate and strong regulation are more affected by domestic information announcements,while non-staple food commodities with low self-sufficiency rate and weak regulation are more affected by international information announcements.Research believes that we should pay more attention to the impact of major information announcements on real-time trading and focus on the country-specific announcement difference to ensure the effective operation of futures market.

关 键 词：公告效应 买卖价差 市场深度 非参数检验 EGARCH-GED 

分 类 号：F323.7[经济管理—产业经济] F724.5