异质信念、投机均衡与农产品期货定价*

农产品期货市场套利并不充分,交易者也不是完全理性的。本文假设农产品期货市场有限套利、交易者异质信念并遵循“经验法则”预期,构建了农产品期货投机均衡定价模型,并认为集中竞价规则下产生的农产品期货价格是由交易者的预期决定的;前期期货价格水平、现货价格和前期期货价格的变动趋势、不同类型交易者的比例结构及其预期模式共同影响农产品期货价格的形成与波动;基本分析法交易者占主导地位的农产品期货市场具有更高的套期保值与价格发现效率。针对中国七种主要农产品期货的实证结果显示,农产品期货投机均衡定价模型对解释中国农产品期货价格的形成与波动是有效的。这意味着在期货行情系统中实时披露现货价格信息,培育和引导交易者运用基本分析法预测期货价格走势,有助于提升农产品期货市场的效率。     

Rational panics and stock market crashes

This paper offers an explanation for stock market crashes which focuses on the role of rational but uninformed traders. We show that uninformed traders can precipitate a price crash because as prices decline, they surmise that informed traders received negative information, which leads them to reduce their demand for assets and drive the price of stocks even lower. The model yields several implications, such as that crashes can occur even when the fundamentals are strong, and that the magnitude of the crash depends on the fraction of uninformed investors and the amount of unsophisticated passive investing present in the market.     

Market Dynamics,Programmed Traders and Futures Markets: Beginning the Laboratory Search for a Smoking Gun

Recent events have caused a re-examination of the role of programmed traders and futures markets in generating destabilizing price movements. Laboratory experiments provide an ideal environment to isolate their effects on behaviour. In a new series of experiments we find that program traders and futures markets can be crucial for ensuring the informational efficiency of the spot market, even when the former are active participants in bubbles and crashes     

Simultaneity, Rationality and Price Determination in US Live Cattle

The results of recent research on the informational efficiency of the US live cattle futures market are ambiguous. Moreover, simultaneous, rational expectations models of spot and futures markets for non-storables are lacking in the literature. This paper addresses both issues: by developing a simultaneous rational expectations model of the US live cattle market, with functional relationships for short hedgers, long hedgers, net short speculators and consumers, the paper employs a wider information set than in previous research and it thus provides a more powerful test of the efficient market hypothesis (EMH). Tests indicate the possible presence of non-linearities in the long hedging and net short speculation equations.
The results suggest first, that there is support for Working's hypotheses of selective and operational hedging, for short and long hedgers respectively, second that speculators may be noise traders or risk-loving (although the non-linear version of the speculation function partially corrects this anomaly), and third that beef is a normal good while corn is a complementary input. Time-varying volatility is represented as an EGARCH ( p , q ) process. Post-sample, this model does not significantly outperform the futures price in spot price forecasting, implying non-rejection of the EMH.     

Strategic noise traders and liquidity pressure with a physically deliverable futures contract

Do physically deliverable futures contracts induce liquidity pressure in the underlying spot market? The answer is believed to be no since the asset is delivered sometimes after the expiration of the contract so that the futures trader's payoff does not clearly depend on the price of the underlying stock at expiration. We construct a rational expectations equilibrium model in which a strategic uninformed trader induces liquidity pressure in the underlying spot market at the expiration of a physically deliverable futures contract. Liquidity pressure is the result of a pure informational advantage: if it is known that futures traders hedge their position in the spot market then a strategic trader with no information about the fundamental value of the underlying has an incentive to create noise in the futures market in order to gain information on the composition of the spot order flow at future auctions. We show that informed traders benefit from this form of strategic noise and that the efficiency of the prices remains unaffected.     

Timing under individual evolutionary learning in a continuous double auction

The moment of order submission plays an important role for the trading outcome in a Continuous Double Auction; submitting an offer at the beginning of the trading period may yield a lower profit, as the trade is likely to be settled at the own offered price, whereas late offers result in a lower probability of trading. This timing problem makes the order submission strategy more difficult. We extend the behavioral model of Individual Evolutionary Learning to incorporate the timing problem and study the limiting distribution of submission moments and the resulting offer function that maps submission moments to offers. We find that traders submit different offers at different submission moments the distribution of which uni-modal with a peak moving from late to early as the market size increases. This behavior exacerbates efficiency loss from learning. If traders evaluate profitability of their strategies over longer history, orders are submitted later with the same effect of market size.     

The Effects of Subject Pool and Design Experience on Rationality in Experimental Asset Markets

Empirical evidence suggests that prices do not always reflect fundamental values and individual behavior is often inconsistent with rational expectations theory. We report the results of fourteen experimental asset markets designed to examine whether the interactive effect of subject pool and design experience (i.e., previous experience in a market under identical conditions) tempers price bubbles and improves forecasting ability. Our main findings are: 1) price run-ups are modest and dissipate quickly when traders are knowledgeable about financial markets and have participated in a previous market under identical conditions; 2) price bubbles moderate quickly when only a subset of traders are knowledgeable and experienced; 3) the heterogeneity of expectations about price changes is smaller in markets with knowledgeable and experienced traders, even if such traders only represent a subset of the market; and 4) individual forecasts of prices are not consistent with the predictions of the rational expectations model in any market, although absolute forecast errors are smaller for subjects who are knowledgeable of financial markets and for those subjects who have participated in a previous market. In sum, our findings suggest that markets populated by at least a subset of knowledgeable and experienced traders behave rationally, even though average individual behavior can be characterized as irrational.     

Volatility–volume co-movements: evidence from China metal markets

This article investigates the interactional relationship between price volatility and futures trading activity for three heavily traded metal products on the Shanghai Metal Exchange and the Shanghai Futures Exchange. Using models based on vector autoregression and generalized method of moments, we show, in particular, that futures trading activity has a strong impact on both spot and futures price volatility in copper and aluminium markets. Futures trading activity leads spot market volatility in copper and aluminium markets which suggests that futures markets have a destabilizing effect. In order to disentangle the effect of different traders’ types on asset price movements, we decompose futures trading into speculators’ and hedgers’ trading and investigate their contributions to volatility. As a robustness check, we investigate the impact of endogenous structural breaks on the interactional relationship between price volatility and futures trading.     

正向反馈申购者、市盈率管制与新股发行定价

传统的新股发行定价偏低观点受到了一些定价偏高实证现象的质疑,且难以解释我国长期实行的发行市盈率管制政策。本文在原有信息不对称理论的基础上,从正向反馈的非理性角度研究发行定价,进而分析市盈率管制政策的作用,并实证检验。研究认为,新股发行市场中存在着大量的正向反馈申购者,他们受近期新股上市表现激发而参与申购,这种噪声需求的存在使得新股即使被高估也仍然能够成功发行。发行人和承销商意识到这种噪声需求的存在,为了使其利润最大化,他们会抬高发行定价,而机构投资者在近期新股上市表现较好的情况下也易于高估新股,因此也能接受较高的询价价格。实证结果验证了正向反馈申购者对发行定价的这一正向影响,并且发现市盈率管制政策能够对此起到一定的抑制作用。     

Money in the pure consumption loan model

The purpose of this paper is to show how modern techniques of Temporary competitive equilibrium analysis can be applied to models of the “pure consumption loan model” type. One considers Samuelson's simplest model where traders live two periods and where money is the only store of value. It is proved that a temporary equilibrium exists if price expectations are sufficiently independent of current prices. A stationary market equilibrium is shown to exist if there is a set of traders (i) whose total resources are greater when they are young than when they are old, (ii) who are indifferent between present and future consumption. It is proved that this existence theorem still holds if the economy is sufficiently “close” to an economy which has this property. A stationary market equilibrium is shown to be Pareto optimal if all traders hold positive cash balances. It may be inefficient if this condition is not satisfied, for some traders may then be willing to borrow, which they cannot do in this model.     

Price efficiency and trading behavior in limit order markets with competing insiders

We study price efficiency and trading behavior in laboratory limit order markets with asymmetrically informed traders. Markets differ in the number of insiders present and in the subset of traders who receive information about the number of insiders present. We observe that price efficiency (i) is the higher the higher the number of insiders in the market but (ii) is unaffected by changes in the subset of traders who know about the number of insiders present. (iii) Independent of the number of insiders, price efficiency increases gradually over time. (iv) The insiders’ information is reflected in prices via limit (market) orders if the asset’s value is inside (outside) the bid-ask spread. (v) In situations where limit and market orders yield positive profits, insiders clearly prefer market orders, indicating a strong desire for immediate transactions.     

Strategic market games quantal response equilibria

Summary. The paper explores a model of boundedly rational traders who act strategically. The general framework of analysis is the sell all model of Shapley and Shubik [6] whereas the behavioral rule of traders is related to the bounded rationality of McKelvey and Palfrey [5] and the subsequent of Chen Friedman and Thisse [1]. A new equilibrium concept is introduced appropriate to integrate in the basic model market participants that may choose an inferior action with positive probability. Further, assuming that these market participants are engaged in an infinite repeated game and making them able to learn playing rationally, we demonstrate that in the limit the original equilibrium of Shapley and Shubik is attained and basically emerges as a special case of our equilibrium concept.Received: 20 September 2003, Revised: 11 December 2004, I am indebted to Yanis Varoufakis and especially to Dimitrios P. Tsomocos for their helpful comments.     

A new interpretation of known facts: The case of two-way causality between trading and volatility

Efficient price setting implies that news create volatility since traders flock to the market in order to re-optimise their portfolios. In due course of the price finding process volatility should decline once the asset price approaches its new, efficient level. In this note I present evidence that the reverse mechanism plays as well. Traders genuinely increase volatility challenging the presumption that more traders help to identify the efficient price more quickly.     

On the Tobin Tax

Abstract

This paper clarifies why a transaction tax, such as the Tobin Tax, can stabilize financial markets. In markets that are already fairly deep, relatively small changes in trading volume are unlikely to have any impact (positive or negative) on volatility. Thus, a Tobin Tax can potentially have a stabilizing effect on international currency markets not because it reduces the excessive volume of transactions of speculators, but because it can slow down the speed with which market traders react to changes in prices of currencies. Moreover, it can lower their elasticity of future price expectations with respect to current price changes, which also has a stabilizing effect. Thus, to the extent that a Tobin Tax causes traders in financial markets to delay their decisions, a few ‘grains of sand in the wheels of international finance’ can indeed be stabilizing. Whether or not that is sufficient to prevent speculative attacks on currencies is a different matter.     

Rational Expectations and Price Determination in the US Oats Market

This paper develops a simultaneous rational expectations model of the US oats market Consistent estimates of the structural parameters are obtained by the instrumental variables method and 15 of 16 parameter estimates are significant at the 5 per cent level Estimated elasticities suggest that hedged stocks are more responsive to price changes than unhedged stocks, and that consumption demand for oats is more responsive to income changes than to changes in price. Post-sample forecasts of the spot price derived from this model are employed to test the semi-strong form efficient markets hypothesis (EMH), although the futures price outperforms the model as a predictor of the spot price. Hence the EMH cannot be rejected     

Demand Uncertainty, Incomplete Markets, and the Optimality of Rationing

When the arrival of traders at the market is stochastic, and it is impossible for traders who might arrive to meet ex ante, then Walrasian spot-market clearing presents consumers with price-risk and is typically not Pareto optimal. Instead, with an indivisible good and a divisible numeraire, the first-best can be achieved by an “Exchange” selling raffle tickets at a fixed price. When only spot market trading is feasible and consumers cannot commit to pay unless they purchase the indivisible good, efficiency implies price-fixing with rationing. Potential disadvantages of black markets and scalping are discussed.Journal of Economic LiteratureClassification Numbers: D45, D52, D8.     

期货市场与现货市场之间的价格研究--中国农产品市场的经验

本文借助于信息共享模型与波动溢出效应模型对我国大豆和小麦的期、现货市场之间的价格发现进行了多层次的实证研究,定量描述了期、现货市场在价格发现中作用的大小,深入刻画了我国农产品期、现货市场之间的动态关系.研究结果显示:大豆期、现货价格之间存在双向引导关系,小麦仅存在期货对现货的单向引导关系;期、现货市场均扮演着重要的价格发现角色,且期货市场在价格发现中处于主导地位;期、现货市场之间均存在双向波动溢出关系,但现货市场来自期货市场的波动溢出效应均强于期货市场来自现货市场的波动溢出效应;并且,随着期货市场的发展,期、现货市场之间的波动溢出程度均呈逐渐增强态势.     

Endogenous market power

In this paper we develop a framework to study markets with heterogeneous atomic traders. The competitive model is augmented as we provide traders with correct beliefs about their price impacts to define equilibrium with endogenously determined market power and show that such equilibrium exists in economies with smooth utility and cost functions and is generically determinate. Traders? price impacts depend positively on the convexity of preferences or cost functions of the trading partners and are subject to mutual reinforcement. Compared to the competitive model, the volume of trade is reduced, and hence is Pareto inefficient. The price effects of non-competitive trading depend on the convexity of marginal utility or cost function.     

Imperfect competition in agricultural markets: evidence from Ethiopia

Drawing upon unique transaction-level data from rural Ethiopia, this paper tests for general forms of imperfect competition among rural wholesale traders. These are key to the grain distribution system as they purchase from farmers and perform interregional trade. Tests show that traders in a typical source market engage in imperfectly competitive behavior in purchasing from farmers, driving down the price paid to farmers approximately 3%. In contrast, there is no conclusive evidence of imperfect competition among traders in the larger, more centrally located market studied. Thus, efficiency losses due to market structure are likely to be greatest in markets which also have poor road links and lesser volumes of marketed grain.     

Price Expectations and International Quota Trading: An Experimental Evaluation

This paper reports a preliminary experimental test of international quota trading on a market characterized by several dominant traders. Uncertain quota demand and supply imply true market-clearing prices that in general differ from an expected competitive quota price. However, in the experiment the expected price level emerges as a focal point on which the bulk of quota trade contracts are keyed. Thus, incomplete price discovery occurs.