市场深度、价格波动和市场效率——基于混合分布理论的中国生猪期货市场演化  

Market Depth,Price Volatility,and Market Efficiency:The Evolution of China's Hog Futures Market from a Mixed Distribution Theory Perspective

作　　者：何琳[1] 张雪 吴小珍 He Lin;Zhang Xue;Wu Xiaozhen

机构地区：[1]仲恺农业工程学院管理学院

出　　处：《金融经济学研究》2024年第6期64-77,共14页Financial Economics Research

基　　金：广东省社会科学界专项资金(KA22016B5)。

摘　　要：基于大商所2021年1月—2023年6月生猪期货每日交易数据,以成交量和持仓量为市场深度的代表,使用非参数和参数检验方法,考察生猪期货的市场深度、价格波动和市场效率。研究发现,从量价关系来看,成交量和持仓量与生猪期货价格波动是反向相关关系,符合混合分布理论假说;从价格波动效应来看,当期成交量、当期持仓量可以平抑价格波动,该结论与市场深度理论相一致,即生猪期货市场深度可以缓解价格波动性。进一步研究发现,生猪期货成交量、持仓量均是生猪现货日回报率的格兰杰原因,表明生猪期货交易活跃,信息传递迅速;生猪期货日回报率对生猪现货日回报率的价格发现的解释力度峰值为12.13%,说明生猪期货市场的价格发现效率不高。建议加强生猪期货市场信息透明度,促进更多生猪期货成交,适当提高生猪期货持仓限额,充分发挥生猪期货价格信号调节作用。This study examined market depth,price volatility,and market efficiency in hog futures using non-parametric and parametric tests based on the daily hog futures trading data of the Dalian Commodity Exchange from January 2021 to June 2023,with trading volume and open interest as proxies for market depth.This study found that from the standpoint of volume-price relationship,trading volume and open interest are inversely correlated with price volatility in hog futures,which is consistent with the hypothesis of mixed distribution theory;from the viewpoint of price volatility effect,current trading volume and open interest can stabilize price volatility.This conclusion is consistent with the market depth theory,that is,in hog futures,market depth can mitigate price volatility.Further research revealed that both trading volume and open interest in hog futures are Granger causes of daily hog spot returns,demonstrating the active trading of hog futures and the rapid transmission of information.The peak explanatory power of price discovery of daily hog futures returns on daily hog spot returns was 12.13%,indicating that price discovery in the hog futures market is inefficient.This study recommends enhancing information transparency in the hog futures market,facilitating and promoting hog futures transactions,appropriately increasing the limit of hog futures positions,and fully realizing the moderating role of hog futures price signals.

关 键 词：生猪期货市场 价格波动率 市场深度 EGARCH模型 

分 类 号：F724.5[经济管理—产业经济]