黄金期货市场有效性与微观特征关系研究
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摘要
选取2011至2015年日频数据,采用时变状态空间模型、结构方程模型,对上海黄金期货市场有效性与市场深度、市场流动性、噪声交易、投机率和信息非对称关系展开了深入研究。实证结果表明:黄金期货市场有效性渐进趋向弱势有效,于2014年末实现弱式有效。从宏观制度层面分析,平今仓免收手续费和连续交易制度是有效性提升的原因,从微观层面深入分析,市场流动性和市场深度才是提升有效性的根本原因,而信息非对称阻碍了市场有效性的形成,噪声交易和投机率对其无显著影响。市场深度和市场流动性间至相促进,市场有效性对噪声交易与投机率均具有抑制作用,市场深度对噪声交易和信息非对称产生抑制作用,投机率对市场深度和市场流动性存在微弱促进作用。
This paper investigates the relationships among market efficiency, market depth, market liquidity, noise trading, speculation and asymmetric information, based on time-varying state space model and structural equation model using the daily sample of Shanghai gold futures market from 2011 to 2015.We find that this market gradually tends to be weak efficiency in the long run, and achieved weak effectiveness at the end of 2014. From the macro level, the fee-free policy of flatting present position and continuous trading system are the reasons for the increase in market effectiveness. However, the deep analysis from the microeconomics perspective, shows that market liquidity and market depth are the root causes of effectiveness improvement, while asymmetric information is harmful to efficiency,and noise trading and speculation has no significant effect on it. Market depth and liquidity promote each other, and market efficiency obstructs both noise trading and speculation. Moreover, market depth decreases both noise trading and information asymmetry, and speculation weakly promotes market depth and liquidity.
This paper investigates the relationships among market efficiency, market depth, market liquidity, noise trading, speculation and asymmetric information, based on time-varying state space model and structural equation model using the daily sample of Shanghai gold futures market from 2011 to 2015.We find that this market gradually tends to be weak efficiency in the long run, and achieved weak effectiveness at the end of 2014. From the macro level, the fee-free policy of flatting present position and continuous trading system are the reasons for the increase in market effectiveness. However, the deep analysis from the microeconomics perspective, shows that market liquidity and market depth are the root causes of effectiveness improvement, while asymmetric information is harmful to efficiency,and noise trading and speculation has no significant effect on it. Market depth and liquidity promote each other, and market efficiency obstructs both noise trading and speculation. Moreover, market depth decreases both noise trading and information asymmetry, and speculation weakly promotes market depth and liquidity.
引文
[1]傅强,季俊伟,钟浩月.连续交易制度与价格发现功能一基于我国黄金期货市场的实证研究[J].数理统计与管理,2017, 36(6):1119-1130.
[2] Emerson R, Hall S G, Zalewska-Mitura A. Evolving market efficiency with an application to some bulgarian shares[J]. Economics of Planning, 1997, 30(2-3):75-90.
[3] Fama E F. Efficient capital markets:A review of theory and empirical work[J]. Journal of Finance,1970, 25(2):383-417.
[4] Zhang B, Li X M, He F. Testing the evolution of crude oil market efficiency:Data have the conn[J].Energy Policy, 2014, 68(68):39-52.
[5] Arjoon V. Microstructures, financial reforms and informational efficiency in an emerging market[J].Research in International Business&Finance, 2016, 36:112-126.
[6]李学峰,王芗兆宇,李佳明.噪声交易与市场渐进有效性[J].经济学(季刊),2013, 12(2):913-934.
[7]许涤龙,吕忠伟.深圳证券市场有效性的统计检验[J].数量经济技术经济研究,2003, 20(6):158-160.
[8]陈灯塔,洪永淼.中国股市是弱式有效的吗一基于一种新方法的实证研究[J].经济学(季刊),2003,3(4):97-124.
[9]张敏,陈敏,田萍.再论中国股票市场的弱有效性[J].数理统计与管理,2007, 26(6):1091-1099.
[10]何诚颖,程兴华.基于中国证券市场的有效性研究一以高B/M类上市公司为例[J].管理世界,2005,(11):145-151.
[11]张月飞,史震涛,陈耀光.香港与大陆股市有效性比较研究[J].金融研究,2006,(6):33-40.
[12]朱孔来,李静静.中国股票市场有效性的复合评价[J].数理统计与管理,2013, 32(1):145-154.
[13]张林,李荣钧,刘小龙.基于小波领袖多重分形分析法的股市有效性及风险检测[J].中国管理科学,2014,22(6):17-26.
[14]徐梅,申来凤.基于符号时间序列方法的金融异常波动与市场有效性关系分析[J].数理统计与管理,2015,34(2):357-366.
[15] Shiller R J. Do stock prices move too much to be justified by subsequent changes in dividends?[J].American Economic Review, 1980, 71(3):421-436.
[16] Long J B D, Shleifer A, Summers L H, et al. Noise trader risk in financial markets[J]. Journal of Political Economy, 1990, 98(4):703-738.
[17]刘毅,李景华.噪声交易者在金融市场的长期存在性研究[J].管理评论,2012, 24(7):36-41.
[18] Kyle A S. Continuous auctions and insider trading[J]. Econometrica, 1985, 53(6), 1315-1335.
[19] Wang F A. Informed arbitrage with speculative noise trading[J]. Journal of Banking&Finance,2010, 34(2):304-313.
[20] Gao P, Liang P J. Informational feedback, adverse selection, and optimal disclosure policy[J]. Journal of Accounting Research, 2013, 51(5):1133-1158.
[21] Han B, Tang Y, Yang L. Public information and uninformed trading:Implications for market liquidity and price efficiency[J]. Journal of Economic Theory, 2016, 163:604-643.
[22]陈很荣,吴冲锋.基于噪声交易理论的对策博弈分析[J].预测,2001,20(1):40-43.
[23] Peri M, Vandone D, Baldi L. Internet, noise trading and commodity futures prices[J]. International Review of Economics&Finance, 2014, 33(10):82-89.
[24] Ibikunle G, Gregoriou A, Hoepner A G F, et al. Liquidity and market efficiency in the world's largest carbon market[J]. British Accounting Review, 2016, 48(4):431-447.
[25] Sukpitak J, Hengpunya V. The influence of trading volume on market efficiency:The DCCA approach[J]. Physica A Statistical Mechanics&Its Applications, 2016, 458:259-265.
[26]张倩,冯芸.套期保值还是投机—基于中国上市公司的实证分析[J].中国工业经济,2014,(12):143-155.
[27]韩立岩,尹力博.投机行为还是实际需求?一国际大宗商品价格影响因素的广义视角分析[J].经济研究,2012,(12):83-96.
[28]田利辉,谭德凯.原油价格的影响因素分析:金融投机还是中国需求?[J].经济学(季刊),2015,(2):961-982.
[29]侯晓鸿,曾继民,李一智.市场弱型有效检验方法研究一兼论我国商品期货市场效率[J].管理工程学报,2000, 14(1):69-70.
[30]张小艳,张宗成.期货市场有效性理论与实证检验[J].中国管理科学,2005, 13(6):1-5.
[31]赵玉,祁春节.中国大豆期货市场有效吗?一基于事件分析法的研究[J].经济评论,2010,(1):114-123.
[32]黄健柏,汤建.中国金属期货市场的渐进有效性分析[J].求索,2011,(8):45-46.
[33]王晋忠,胡晓帆.中国国债期货的市场有效性研究[J].经济评论,2015,(6):55-68.
[34] Hall E, Zalewska-Mitura A. Evolving market efficiency with an application to some bulgarian shares[J]. Economics of Planning, 1997, 30(2-3):75-90.
[35]龙海明,凌炼,谭聪杰,等.城乡收入差距的区域差异性研究一基于我国区域数据的实证分析[J].金融研究,2015,(3):83-96.
[36]许香存,李平,曾勇.中国股票市场开放式集合竞价对波动性影响的实证研究[J].金融研究,2007,(7):151-164.
[37]王志强,吴世农.我国股票市场透明度变革效应研究[J].管理科学学报,2008, 11(5):110-119.
[38]史金凤,刘维奇.印花税调整政策对股票市场效率的影响分析[J].数理统计与管理,2014, 33(1):170-180.
[39]徐剑刚,唐国兴.期货波动与交易量和市场深度关系的实证研究[J].管理科学学报,2006,(2):69-75.
[40] SariR, Hammoudeh S, Chang C L, et al. Causality between market liquidity and depth for energy and grains[J]. Energy Economics, 2012, 34(5):1683-1692.
[41]郦金梁,雷曜,李树憬.市场深度、流动性和波动率一沪深300股票指数期货启动对现货市场的影响[J].金融研究,2012,(6):124-138.
[42] Yakov A. Illiquidity and stock returns:Cross-section and time-series effects[J]. Journal of Financial Markets, 2002, 5(1):31-56.
[43] Houweling P, Mentink A, Vorst T. Comparing possible proxies of corporate bond liquidity[J]. Journal of Banking&Finance, 2005, 29(6):1331-1358.
[44] Karolyi G A, Lee K H, Van Dijk M A. Understanding commonality in liquidity around the world[J]. Journal of Financial Economics, 2012, 105(1), 82-112.
[45] Chiu C L, Lee M C, Lin C M, et al. Studies on the effect of trading volume and return volatility on call warrants and underlying stocks in Taiwan[J]. Quarterly Journal of Business&Economics,2005, 44(1-2):29-43.
[46]何茵,徐忠,邹浩.人民币境外期货市场投机与境内即期汇率的稳定性[J].世界经济,2011,(1):3-16.
[47] Stock J, Watson M. Testing for common trends[J]. Publications of the American Statistical Association, 1988, 83(404):1097-1107.
[2] Emerson R, Hall S G, Zalewska-Mitura A. Evolving market efficiency with an application to some bulgarian shares[J]. Economics of Planning, 1997, 30(2-3):75-90.
[3] Fama E F. Efficient capital markets:A review of theory and empirical work[J]. Journal of Finance,1970, 25(2):383-417.
[4] Zhang B, Li X M, He F. Testing the evolution of crude oil market efficiency:Data have the conn[J].Energy Policy, 2014, 68(68):39-52.
[5] Arjoon V. Microstructures, financial reforms and informational efficiency in an emerging market[J].Research in International Business&Finance, 2016, 36:112-126.
[6]李学峰,王芗兆宇,李佳明.噪声交易与市场渐进有效性[J].经济学(季刊),2013, 12(2):913-934.
[7]许涤龙,吕忠伟.深圳证券市场有效性的统计检验[J].数量经济技术经济研究,2003, 20(6):158-160.
[8]陈灯塔,洪永淼.中国股市是弱式有效的吗一基于一种新方法的实证研究[J].经济学(季刊),2003,3(4):97-124.
[9]张敏,陈敏,田萍.再论中国股票市场的弱有效性[J].数理统计与管理,2007, 26(6):1091-1099.
[10]何诚颖,程兴华.基于中国证券市场的有效性研究一以高B/M类上市公司为例[J].管理世界,2005,(11):145-151.
[11]张月飞,史震涛,陈耀光.香港与大陆股市有效性比较研究[J].金融研究,2006,(6):33-40.
[12]朱孔来,李静静.中国股票市场有效性的复合评价[J].数理统计与管理,2013, 32(1):145-154.
[13]张林,李荣钧,刘小龙.基于小波领袖多重分形分析法的股市有效性及风险检测[J].中国管理科学,2014,22(6):17-26.
[14]徐梅,申来凤.基于符号时间序列方法的金融异常波动与市场有效性关系分析[J].数理统计与管理,2015,34(2):357-366.
[15] Shiller R J. Do stock prices move too much to be justified by subsequent changes in dividends?[J].American Economic Review, 1980, 71(3):421-436.
[16] Long J B D, Shleifer A, Summers L H, et al. Noise trader risk in financial markets[J]. Journal of Political Economy, 1990, 98(4):703-738.
[17]刘毅,李景华.噪声交易者在金融市场的长期存在性研究[J].管理评论,2012, 24(7):36-41.
[18] Kyle A S. Continuous auctions and insider trading[J]. Econometrica, 1985, 53(6), 1315-1335.
[19] Wang F A. Informed arbitrage with speculative noise trading[J]. Journal of Banking&Finance,2010, 34(2):304-313.
[20] Gao P, Liang P J. Informational feedback, adverse selection, and optimal disclosure policy[J]. Journal of Accounting Research, 2013, 51(5):1133-1158.
[21] Han B, Tang Y, Yang L. Public information and uninformed trading:Implications for market liquidity and price efficiency[J]. Journal of Economic Theory, 2016, 163:604-643.
[22]陈很荣,吴冲锋.基于噪声交易理论的对策博弈分析[J].预测,2001,20(1):40-43.
[23] Peri M, Vandone D, Baldi L. Internet, noise trading and commodity futures prices[J]. International Review of Economics&Finance, 2014, 33(10):82-89.
[24] Ibikunle G, Gregoriou A, Hoepner A G F, et al. Liquidity and market efficiency in the world's largest carbon market[J]. British Accounting Review, 2016, 48(4):431-447.
[25] Sukpitak J, Hengpunya V. The influence of trading volume on market efficiency:The DCCA approach[J]. Physica A Statistical Mechanics&Its Applications, 2016, 458:259-265.
[26]张倩,冯芸.套期保值还是投机—基于中国上市公司的实证分析[J].中国工业经济,2014,(12):143-155.
[27]韩立岩,尹力博.投机行为还是实际需求?一国际大宗商品价格影响因素的广义视角分析[J].经济研究,2012,(12):83-96.
[28]田利辉,谭德凯.原油价格的影响因素分析:金融投机还是中国需求?[J].经济学(季刊),2015,(2):961-982.
[29]侯晓鸿,曾继民,李一智.市场弱型有效检验方法研究一兼论我国商品期货市场效率[J].管理工程学报,2000, 14(1):69-70.
[30]张小艳,张宗成.期货市场有效性理论与实证检验[J].中国管理科学,2005, 13(6):1-5.
[31]赵玉,祁春节.中国大豆期货市场有效吗?一基于事件分析法的研究[J].经济评论,2010,(1):114-123.
[32]黄健柏,汤建.中国金属期货市场的渐进有效性分析[J].求索,2011,(8):45-46.
[33]王晋忠,胡晓帆.中国国债期货的市场有效性研究[J].经济评论,2015,(6):55-68.
[34] Hall E, Zalewska-Mitura A. Evolving market efficiency with an application to some bulgarian shares[J]. Economics of Planning, 1997, 30(2-3):75-90.
[35]龙海明,凌炼,谭聪杰,等.城乡收入差距的区域差异性研究一基于我国区域数据的实证分析[J].金融研究,2015,(3):83-96.
[36]许香存,李平,曾勇.中国股票市场开放式集合竞价对波动性影响的实证研究[J].金融研究,2007,(7):151-164.
[37]王志强,吴世农.我国股票市场透明度变革效应研究[J].管理科学学报,2008, 11(5):110-119.
[38]史金凤,刘维奇.印花税调整政策对股票市场效率的影响分析[J].数理统计与管理,2014, 33(1):170-180.
[39]徐剑刚,唐国兴.期货波动与交易量和市场深度关系的实证研究[J].管理科学学报,2006,(2):69-75.
[40] SariR, Hammoudeh S, Chang C L, et al. Causality between market liquidity and depth for energy and grains[J]. Energy Economics, 2012, 34(5):1683-1692.
[41]郦金梁,雷曜,李树憬.市场深度、流动性和波动率一沪深300股票指数期货启动对现货市场的影响[J].金融研究,2012,(6):124-138.
[42] Yakov A. Illiquidity and stock returns:Cross-section and time-series effects[J]. Journal of Financial Markets, 2002, 5(1):31-56.
[43] Houweling P, Mentink A, Vorst T. Comparing possible proxies of corporate bond liquidity[J]. Journal of Banking&Finance, 2005, 29(6):1331-1358.
[44] Karolyi G A, Lee K H, Van Dijk M A. Understanding commonality in liquidity around the world[J]. Journal of Financial Economics, 2012, 105(1), 82-112.
[45] Chiu C L, Lee M C, Lin C M, et al. Studies on the effect of trading volume and return volatility on call warrants and underlying stocks in Taiwan[J]. Quarterly Journal of Business&Economics,2005, 44(1-2):29-43.
[46]何茵,徐忠,邹浩.人民币境外期货市场投机与境内即期汇率的稳定性[J].世界经济,2011,(1):3-16.
[47] Stock J, Watson M. Testing for common trends[J]. Publications of the American Statistical Association, 1988, 83(404):1097-1107.
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