中国期货市场有效性研究

本文介绍了期货市场有效性理论，利用Johansen市场拟合检测方法分析国内两个主要农产品期货品种——大豆和小麦的期货价格和现货价格表现，结果显示大豆的期货价格和现货价格较长时间是一致的，大豆期货市场是有效的．但大豆期货市场仅仅短期有效，小麦期货市场则是无效的。     

Efficiency in Currency Futures Markets SURE vs. FIML Estimates

The major aim of this paper is to determine the appropriate estimation technique for testing the market efficiency hypothesis. The weak and semi-strong forms of the market efficiency hypothesis have been tested for five actively traded futures currency markets for the period 1974-86. The test has been carried out under the assumption of a constant risk premium.     

中国农产品期货市场效率实证分析:1998-2002

本文旨在检验1998-2002年我国小麦和大豆期货市场效率并对农产品期货市场和现货市场做出相应评估.通过采纳Johansen协整检验方法,论文针对三种不同的现货价格以及预测跨度从1周到6个月不等的期货价格进行了正式统计检验.结果表明,我国大豆期货价格与现货价格之间存在长期均衡关系,大豆期货市场的短期效率相对较高.小麦期货市场缺乏效率,这可能应当归因于期货市场发展尚不成熟以及投机过度.     

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.     

Can Markets Learn to Avoid Bubbles?

One of the most striking results in experimental economics is the ease with which market bubbles form in a laboratory setting and the difficulty of preventing them. This article re-examines bubble experiments in light of the results of an earlier series of market experiments that show how learning occurs in markets characterized by an asymmetry of information between buyers and sellers, such as found in Akerlof's lemons model and Spence's signaling model. Markets with asymmetric information are incomplete because they lack markets for specific levels of product quality. Such markets either lump all qualities together (lemons) or using external indications of quality to separate them (signaling). Similarly, the markets used in bubble experiments are incomplete in that they are lacking a complete set of forward or futures markets, depriving traders of the information supplied by the prices in those markets. Preliminary experimental results suggest that the addition of a single forward market can sometimes mitigate bubble formation and this article suggests more extensive research in this direction is warranted. Market bubbles outside of the laboratory usually are found in markets in which forward and futures markets are either legally restricted or otherwise limited. Experimentation in markets with asymmetric information also indicates that the ability of subjects to learn how to send and receive signals can be enhanced by changing the way that market information is presented to them. We explore how this result might be used to help asset markets learn to avoid bubbles     

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     

Forecast Errors and Efficiency in the US Electricity Futures Market

In March 1996 the US introduced electricity futures contracts which provided for delivery at the California/Oregon border (COB) and Palo Verde switchyard. These were followed in July 1998 by contracts which provided for delivery of electrical energy into the Cinergy and Entergy systems, and in March 1999 by a contract for the Pennsylvania/New Jersey/Maryland (PJM) area. This paper employs the forecast error approach to study the informational efficiency of these markets (the model prediction and event studies approaches are not feasible). COB and Palo Verde spot and futures prices are stationary, while Cinergy spot and futures prices are I(1) and cointegrated (Entergy and PJM data were not utilised due to insufficient observations). All forecast errors, therefore, are stationary. Estimation is by instrumental variables in the presence of a lagged dependent variable and overlapping observations. For the period 1996 (04) to 1999 (12), with COB and Palo Verde data, the efficient markets hypothesis (EMH) is rejected. This outcome is confirmed by cointegration of the COB and Palo Verde futures prices. A significant M-GARCH term in the forecast error relationship for both contracts supports the view that a time-varying risk premium was present. A significant negative relationship between forecast errors and volume for the COB contract suggests that agents were still learning the true model driving this market, and that Stein's 'Bayesian error' was non-zero.
For the period 1998 (07) to 1999 (12), with COB, Palo Verde and Cinergy data, the EMH cannot be rejected. Finally, an attempt is made to relate this study to the recent electricity crisis in California.     

On the Endogeneity of Market Power in Emissions Markets

Previous approaches on market power in emissions trading markets rely on the existence of a subset of competitive players. In this paper, I relax this assumption and treat market power as an endogenous concept which depends on the initial allocation of allowances. All parties realize their potential influence on the market price. This approach allows a clear comparative statics analysis of the impact of the allowance allocation on the efficiency of markets. I provide specific examples that illustrate the implications that stem from the proposed modeling approach relative to previous models.     

Testing the efficiency of the futures market for crude oil in the presence of a structural break

The efficiency of the futures market for crude oil has been the subject of significant study, with the basis regression representing a popular methodology. However, the parameters of this model are subject to a structural break, casting doubt on any conclusion regarding the efficiency of the futures market. To address this problem, this article employs a simple generalization which is capable of testing the efficiency of a futures market in the presence of a structural break. Using this approach, strong evidence of inefficiency is found in the one month futures contract for West Texas Intermediate for the period between 1985 and 2013, which is otherwise not detected.     

FUTURES MARKET EFFICIENCY,THE UNBIASEDNESS HYPOTHESIS AND VARIANCE-BOUNDS TESTS: THE CASE OF THE FTSE-100 FUTURES CONTRACT*

The efficiency of futures markets is critical to their price discovery role. This paper investigates the joint hypothesis of market efficiency and unbiasedness of futures prices for the FTSE-100 stock index futures contract. Unlike previous studies, it tests for both long-run and short-run efficiency using cointegration and error correction models. Variance-bounds tests are developed and utilized for examining the question of efficiency. Results show that the market is efficient and provides an unbiased estimate of future spot prices for one and two months away from expiration. However, for three and more months away from expiration this is not the case, which has implications for the users of this market.     

我国商品期货市场节约社会试错成本研究

随着市场经济的发展,对期货市场功能的认识不断深化。文章在总结已有研究的基础上提出了价格发现是期货市场基本功能的观点,并将价格发现功能归结到微观上的套期保值、投机、套利和宏观上的节约社会试错成本。文章通过南华期货商品综合指数与PPI的关系检验,证实我国商品期货市场起到了节约社会试错成本的作用。为更好地发挥这一功能,应大力推进期货市场建设,完善商品期货体系,推出权威合理的商品期货指数。     

Information,Pricing and Efficiency in Cash and Futures Markets: The Case of Hogs

The price leadership roles among hog cash and futures markets are assessed to locate points of price discovery and to examine flows of information among these markets. Several years of data are analyzed using lead/lag causality analysis and strength of linear causality measures. Although significant instantaneous relationships exist among hog cash and futures markets, one-way causality tests indicate that generally the futures market dominates cash hog markets in the price discovery process.     

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。     

股指期货在风险管理中的应用

股指期货属于金融期货的一种,是以股票市场的股票价格指数为标的物的期货合约.在很多发达的股票市场乃至资本市场中,股指期货扮演着规避风险、套期保值的重要角色.在利用股指期货对股票组合进行套期保值时,可能面临各种风险,其中,基差风险是套期保值者面临的最主要风险.利用向量误差修正模型可以估计最小风险套期保值比,为投资者综合选择风险最小的套期保值策略提供了现实的、可操作的定量分析工具.     

中国棉花期货和现货市场的价格关系研究

期货市场和现货市场之间的价格发现功能一直是监管部门和投资者十分关心的问题。本文借助信息共享模型、脉冲响应函数和方差分解等方法,对中国棉花的期、现货市场间的价格关系进行实证研究,定量刻划了期、现货市场在价格发现中的作用。研究结果表明:棉花期、现货价格之间存在显著的双向引导关系;二者存在长期均衡关系;期、现货市场都扮演重要的价格发现角色,期货市场在价格发现中处于主导地位。     

股指期货限制交易对定价效率影响研究*——基于跨市场信息传递视角的实证

从跨国金融市场信息传递的视角对中国2015年股灾中股指期货限制交易政策实施前后的中美市场实证分析表明：股指期货的限制交易政策极大地增强了美国市场对中国市场的影响，尤其是在下跌行情中的影响更大。分位数回归显示美国市场的交易活动对中国市场开盘价的影响呈“V”型特征，美国市场的微小波动都会引起中国市场的巨大波动，限制交易措施实施后，在下跌行情中来自美国市场的负冲击对中国市场的影响变得更大。这一实证研究的政策含义在于：为了增强股指期货市场的定价效率，金融监管层在市场稳定后应放开股指期货的限制交易，并通过降低准入门槛和合约大小等措施提高市场的开放程度。此外，监管层和国内投资者不能忽视美国股指期货对国内市场的影响。     

Dynamic Relationships among GCC Stock Markets and Nymex Oil Futures

Daily relationships among stock markets of the Gulf Cooperation Council (GCC) members, excluding Qatar, form two equilibrium relationships with varying predictive power. The Saudi market leads, followed by Bahrain and United Arab Emirates. Kuwait, which is dominated by momentum traders, and Oman have the weakest links with the other GCC markets. Only the Saudi index can predict—and be predicted by—New York Mercantile Exchange oil futures prices. Therefore these markets are candidates for diversified regional portfolios at the country level. The trading day effect is weak for all GCC markets and oil futures prices but remains consistent with findings for the U.S. stock market. (JEL C22 , F3 , Q49 )     

The forecasting approach to efficiency in the wool market

This paper develops and presents estimates of a simultaneous equations model of the Australian wool market, the world's largest producer and exporter of fine wool. The model contains functional relationships for unhedged inventories, consumption of raw wool, and the activities of both hedgers and speculators in wool futures. Expectations are represented by the adaptive hypothesis. This model extends the work of Leuthold and Hartmann (1979) and Leuthold and Garcia (1988) by including expectations in the spot-futures model, and that of Goss and Giles (1986) by including composite equations for hedger-speculators, extending the expectations hypothesis to the consumption equation, and by using the model to test the efficient markets hypothesis. Wald tests and likelihood ratio tests for unit roots in wool cash prices are conducted and in no case can the hypothesis of a single unit root be rejected. Estimation is by three stage least squares, with correction for first order serial correlation. The model provides good intra- and post-sample forecasts of most variables, especially of unhedged inventories and consumption of wool, both important spot market relationships. The model-derived forecast of the spot price is inferior to the forecast implicit in the futures price, although a compositive predictor clearly outperforms the futures price as an anticipation of subsequent cash prices. Nevertheless, it is suggested that the efficient markets hypothesis should not be rejected, because there is evidence that futures market agents are learning to use the information contained in the model.     

THE LEAD–LAG RELATION BETWEEN THE S&P500 SPOT AND FUTURES MARKETS: AN INTRADAY-DATA ANALYSIS USING A THRESHOLD REGRESSION MODEL

In this paper we examine the lead–lag interaction between the futures and spot markets of the S&P500 using the threshold regression model on intraday data. The use of threshold variables to model the changes in the regression structure with respect to different market conditions enables us to investigate the lead–lag interaction in a data-based approach and avoid stratifying the data arbitrarily. Using the basis as the threshold variable, we find that the short-selling restrictions in the spot market reduce the effect of the spot index as the leading variable. To study the effect of market-wide information on the interaction between the spot and futures markets, we use the coefficient of determination in the regression of the S&P500 on the Morgan–Stanley Composite Index-US and the Major Market Index as the threshold variable. We find that the lead effect of the futures market over the spot market is stronger when there is more market-wide information. On the other hand, the lead effect of the cash market over the futures market is weaker when there is more market-wide information. In addition, we also use the lagged 45-min return of the spot market as the threshold variable. We find that the lead effect of the spot market is stronger in periods of directionless trading than in periods of good or bad markets.     

Price and volatility dynamics between securitized real estate spot and futures markets

This study is among the first to examine the price, volatility and covariance dynamics between securitized real estate spot and futures markets. It provides a distinctive and yet complementary perspective on the predictability of real estate spot return and spot volatility based on the information from the spot market alone. The results show that for the EPRA/NAREIT Europe index, the spot market tends to lead its futures market in the long run during the sample period, which can be attributed to a rather illiquid real estate futures market in sharp contrast with a voluminous spot market. Furthermore, we find the V-shaped asymmetric effect of the basis on the futures market volatility, which represents the primary channel of strong volatility transmission between securitized real estate spot and futures markets during the whole sample and the post-crisis period. This sheds light on the hedging effectiveness for the REIT index.