石油期货价格与交易头寸的关系分析

本文采用多空头寸比值的新处理方法,保持了头寸变化的方向。研究发现:石油期货价格引导了投资资金顺势而为,是推动两种期货交易净头寸变动的格兰杰原因;两类期货交易净头寸不是推动或平抑石油价格的手段,两类场内期货交易者都是价格接受者,其交易活动不能成为石油期货价格变动的显著推动力,说明石油期货市场并没有因为投机而失去价格发现功能。     

Intertemporal volatility and price interactions between Australian and Japanese spot and futures stock index markets

Previous studies have examined causality within and between different spot and futures markets with a motivation to discover market comovements, price leadership effects, and, more recently, volatility spillovers across markets. However, the empirical framework within which this is accomplished tends not to analyze explicitly foreign spillover effects upon a spot–futures relationship, which may significantly alter the equilibrium between these markets. This will then have a direct impact upon the estimation of dynamic risk adjustments that occur from the interaction between these markets. This article develops a quadvariate simultaneous-equation EC-ARCH model with an emphasis on volatility spillovers as a better alternative methodology to evaluate these relationships from a different perspective. This model is applied to examine the interaction between the Australian and Japanese spot and futures stock index markets, which allows for an Australian or Japanese futures trader to analyze the impact of foreign cash and futures markets, as well as the local cash market, on the local futures market in a single coherent framework. This type of analysis is not possible using previous paradigms, because they allow the trader only to examine the impact of local cash and foreign futures markets in separate settings. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 523–540, 1999