中国商品期货市场效率问题研究
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摘要
一国期货市场的效率高低是判断一国期货市场发展成熟和完善程度的主要标准。提高期货市场效率，让期货市场的功能得到充分发挥，是我们发展和完善期货市场的根本目的。一个高效率的期货市场应该有以下特点：①期货价格应与现货价格保持基本一致，不存在套利空间；②期货市场应对信息进行了充分反映，收益可测性不强；③期货市场不存在固定的、持久的获利机会；④期货市场不存在人为操纵；⑤期货市场的价格运行能为宏观经济政策提供参考信号。本文据此构建了一个期货市场效率评价体系，在此基础上对中国商品期货市场的效率进行了较为全面的分析和评价。
本文通过构建面板数据就中国连豆期货市场的期货价格是否为现货价格的无偏预测这一问题进行了实证研究。PCSE的估计结果发现，在距合约到期日4个月的时间内中国连豆期货价格均是现货价格的无偏预测。但是，本文也发现无论是历史的大豆现货价格还是期货价格对当期的现货价格都有影响。
本文利用分位回归法对中国连豆期货市场的同期与跨期量价关系进行了实证研究。结果表明，连豆期货的同期价格收益与交易量表现为关于零收益率的对称“V”形量价关系，表明在连豆期货市场上的利多利空信息得到了同等程度的反应；连豆期货市场也存在一定的跨期量价关系，表现为滞后一期的交易量对当期收益率有一定的影响，这种量价关系表明连豆期货的价格收益具有一定的可测性。
本文利用GARCH模型对中国商品期货市场的沪铜、沪铝、连豆、郑麦(强麦)四个期货品种的周日历效应、季度效应以及假日效应进行了实证分析。结果发现，四个期货品种的价格收益和价格波动均不存在系统性的周日历效应、季度效应，但是价格波动存在明显的假日效应。进一步分析表明，这是由于多空双方假前出于规避风险考虑进行平仓操纵，而在假后对休市时累积的新信息进行了消化和吸收的“仓位调整”所致。
发生市场操纵事件即表明导致市场低效因素的存在。本文对发生在近年来中国商品期货市场上的市场操纵(嫌疑)进行案例分析，结合市场操纵有关理论，认为品种数量少、投资者结构不合理、法制法规不健全是导致中国期货市场操纵事件发生和市场低效的主要原因。
本文选取南华期指(NFI)为研究样本对中国商品期货指数与中国CPI的互动关系进行了实证研究，发现中国商品期货市场目前还不能对中国CPI起到引导作用，即不能为中国货币政策的制定和调整提供先行的参考依据。而同期的美国期指(CRB)却能够引导美国CPI。我们认为这表现为中国商品期货市场没有有效发挥其信号功能，究其原因主要是中国商品期货市场还缺少对CPI产生重大影响的期货品种。
根据各方面实证研究的结果，本文认为中国期货市场上还有导致市场低效的因素存在。由此从加强信息披露、加强投资者教育、培育多元化的投资主体、建立高效的市场稳定机制、逐步增加期货市场品种、进一步完善现货市场等方面提出了有针对性的对策建议。
纵观全文，本文主要在以下方面进行了一定程度的创新：①以现有的理论为基础，构建了一个现实的、可操纵的商品期货市场效率评价框架；②使用面板修正标准差的OLS估计方法(PCSE)对中国连豆的期货价格对现货价格的预测能力进行了实证研究；③运用分位回归方法对中国连豆期货的价格收益和交易量之间的同期和动态关系，得出了与以往文献不同的实证结论；④对中国商品期货指数与中国消费品物价指数(CPI)的动态关系进行了实证研究，考察了中国商品期货市场的信号功能。
The efficiency is the core and foundation of financial markets. Improving the futures market efficiency so as to make the market runs well, is our fundamental purpose of developing futures market. An efficient futures market should have the following characteristics: (1) futures prices and spot prices should remain basically consistent, or with no arbitrage opportunity; (2) the futures market should reflect the available information, and the earnings is non- predictable; (3) there exists no fixed, long-lasting profit opportunities; (4) the futures market does not allow market manipulation exist; (5) the futures market can provide a signal for the macro-economic policy. In this study, a framework to evaluate the futures market efficiency is constructed based this five points, and is used to broadly analyze and evaluate the efficiency of Chinese commodity futures market.
Firstly, whether the futures price of soybean in China is the unbiased prediction to the spot price of soybean has been studied by constructing panel data and using OLS estimator with panel corrected standard errors(PCSE). The results show that the futures price of soybean in China is the unbiased spot price prediction within 4 months before expiration. At the same time, the history of both the soybean spot price and futures price has an obvious impact to the current spot prices of soybean.
Secondly, empirical study has been carried out to the spot and dynamic relationship between volume and return of Chinese soybean futures market by quantile regression method. The results show that the spot relationship between volume and return of Chinese soybean futures takes a symmetric "V"-shape which yields zero return. This is evidence indicating that good and bad news reacts on almost same degree in soybean futures market. Another result is that the dynamic relationship between volume and return exist in Chinese soybean futures market, which suggests that the lagging-one-day trading volume has impact on current return, presents the same "V"-shape as the spot one. So, the presence of the dynamic relationship between volume and return suggest that soybean futures price has certain predictability.
Thirdly, we tests the presence of the day-of-the-week effect, the quarter effect, the holiday effect on Chinese commodity futures markets returns and conditional variance(volatility)using the GARCH model, taking copper, aluminum, soybean, wheat futures as samples. Results obtained indicate that the returns and volatility of the all futures do not show the day-of-the-week effect as well as and the quarter effect systematicly. However, the volatility of the all futures do show evidence of the holiday effect. Further analysis shows that the inventory adjustment of both long position and short-seller induce the holiday effect of the price volatility. Our evidence is that the open interest decrease significantly on the day before the holiday, and increase significantly on the day after the holiday. The presence of the holiday effect suggest that Chinese futures market and the international futures market has a strong correlation, and Chinese futures market lack the pricing power in the world.
Fourthly, the events of manipulation in Chinese commodity futures market which occurred in recent years are analyzed. The results suggest that less of the futures products, the unreasonable of the investor structure, and inadequate laws and regulations are the main reasons which lead to manipulation, and thus low-efficiency.
Finally, we refer to the Nanhua Futures Index (NFI) as a sample of Chinese commodity futures index, and study the dynamic relationship between NFI and the Consumer Price Index (CPI) of China. We found that NFI can not play a guiding role to Chinese CPI, that is to say that NFI can not provide the reference for the formulation and adjustment of Chinese monetary policy. However, our empirical result shows that American futures index CRB can guide the CPI of USA. The lack of the variety in Chinese futures market and the price-regulation in our country are the main reasons which cause the market not to effectively play its signaling function.
According to the empirical results, we find that there exist many factors which restrict the improving of Chinese futures market efficiency. So, we provide some policy suggestions, such as enforcing information disclosure and education of the investors, breeding the multiple market participants, introducing the efficient stabilization mechanism, increasing the number of the futures products, promoting the marketlization reform further, and so on.
This paper may have several innovation as fallows: (1) it established a realistic and operable framework for evaluation of the information efficiency of commodity futures market; (2) it used OLS estimator with PCSE to study whether the futures price is the unbiased prediction to the spot price; (3) it used quantile regression method to analyze the spot and dynamic relationship between volume and return of futures market; (4) it studied the dynamic relationship between NFI and Chinese CPI for the first time in China.
本文通过构建面板数据就中国连豆期货市场的期货价格是否为现货价格的无偏预测这一问题进行了实证研究。PCSE的估计结果发现，在距合约到期日4个月的时间内中国连豆期货价格均是现货价格的无偏预测。但是，本文也发现无论是历史的大豆现货价格还是期货价格对当期的现货价格都有影响。
本文利用分位回归法对中国连豆期货市场的同期与跨期量价关系进行了实证研究。结果表明，连豆期货的同期价格收益与交易量表现为关于零收益率的对称“V”形量价关系，表明在连豆期货市场上的利多利空信息得到了同等程度的反应；连豆期货市场也存在一定的跨期量价关系，表现为滞后一期的交易量对当期收益率有一定的影响，这种量价关系表明连豆期货的价格收益具有一定的可测性。
本文利用GARCH模型对中国商品期货市场的沪铜、沪铝、连豆、郑麦(强麦)四个期货品种的周日历效应、季度效应以及假日效应进行了实证分析。结果发现，四个期货品种的价格收益和价格波动均不存在系统性的周日历效应、季度效应，但是价格波动存在明显的假日效应。进一步分析表明，这是由于多空双方假前出于规避风险考虑进行平仓操纵，而在假后对休市时累积的新信息进行了消化和吸收的“仓位调整”所致。
发生市场操纵事件即表明导致市场低效因素的存在。本文对发生在近年来中国商品期货市场上的市场操纵(嫌疑)进行案例分析，结合市场操纵有关理论，认为品种数量少、投资者结构不合理、法制法规不健全是导致中国期货市场操纵事件发生和市场低效的主要原因。
本文选取南华期指(NFI)为研究样本对中国商品期货指数与中国CPI的互动关系进行了实证研究，发现中国商品期货市场目前还不能对中国CPI起到引导作用，即不能为中国货币政策的制定和调整提供先行的参考依据。而同期的美国期指(CRB)却能够引导美国CPI。我们认为这表现为中国商品期货市场没有有效发挥其信号功能，究其原因主要是中国商品期货市场还缺少对CPI产生重大影响的期货品种。
根据各方面实证研究的结果，本文认为中国期货市场上还有导致市场低效的因素存在。由此从加强信息披露、加强投资者教育、培育多元化的投资主体、建立高效的市场稳定机制、逐步增加期货市场品种、进一步完善现货市场等方面提出了有针对性的对策建议。
纵观全文，本文主要在以下方面进行了一定程度的创新：①以现有的理论为基础，构建了一个现实的、可操纵的商品期货市场效率评价框架；②使用面板修正标准差的OLS估计方法(PCSE)对中国连豆的期货价格对现货价格的预测能力进行了实证研究；③运用分位回归方法对中国连豆期货的价格收益和交易量之间的同期和动态关系，得出了与以往文献不同的实证结论；④对中国商品期货指数与中国消费品物价指数(CPI)的动态关系进行了实证研究，考察了中国商品期货市场的信号功能。
The efficiency is the core and foundation of financial markets. Improving the futures market efficiency so as to make the market runs well, is our fundamental purpose of developing futures market. An efficient futures market should have the following characteristics: (1) futures prices and spot prices should remain basically consistent, or with no arbitrage opportunity; (2) the futures market should reflect the available information, and the earnings is non- predictable; (3) there exists no fixed, long-lasting profit opportunities; (4) the futures market does not allow market manipulation exist; (5) the futures market can provide a signal for the macro-economic policy. In this study, a framework to evaluate the futures market efficiency is constructed based this five points, and is used to broadly analyze and evaluate the efficiency of Chinese commodity futures market.
Firstly, whether the futures price of soybean in China is the unbiased prediction to the spot price of soybean has been studied by constructing panel data and using OLS estimator with panel corrected standard errors(PCSE). The results show that the futures price of soybean in China is the unbiased spot price prediction within 4 months before expiration. At the same time, the history of both the soybean spot price and futures price has an obvious impact to the current spot prices of soybean.
Secondly, empirical study has been carried out to the spot and dynamic relationship between volume and return of Chinese soybean futures market by quantile regression method. The results show that the spot relationship between volume and return of Chinese soybean futures takes a symmetric "V"-shape which yields zero return. This is evidence indicating that good and bad news reacts on almost same degree in soybean futures market. Another result is that the dynamic relationship between volume and return exist in Chinese soybean futures market, which suggests that the lagging-one-day trading volume has impact on current return, presents the same "V"-shape as the spot one. So, the presence of the dynamic relationship between volume and return suggest that soybean futures price has certain predictability.
Thirdly, we tests the presence of the day-of-the-week effect, the quarter effect, the holiday effect on Chinese commodity futures markets returns and conditional variance(volatility)using the GARCH model, taking copper, aluminum, soybean, wheat futures as samples. Results obtained indicate that the returns and volatility of the all futures do not show the day-of-the-week effect as well as and the quarter effect systematicly. However, the volatility of the all futures do show evidence of the holiday effect. Further analysis shows that the inventory adjustment of both long position and short-seller induce the holiday effect of the price volatility. Our evidence is that the open interest decrease significantly on the day before the holiday, and increase significantly on the day after the holiday. The presence of the holiday effect suggest that Chinese futures market and the international futures market has a strong correlation, and Chinese futures market lack the pricing power in the world.
Fourthly, the events of manipulation in Chinese commodity futures market which occurred in recent years are analyzed. The results suggest that less of the futures products, the unreasonable of the investor structure, and inadequate laws and regulations are the main reasons which lead to manipulation, and thus low-efficiency.
Finally, we refer to the Nanhua Futures Index (NFI) as a sample of Chinese commodity futures index, and study the dynamic relationship between NFI and the Consumer Price Index (CPI) of China. We found that NFI can not play a guiding role to Chinese CPI, that is to say that NFI can not provide the reference for the formulation and adjustment of Chinese monetary policy. However, our empirical result shows that American futures index CRB can guide the CPI of USA. The lack of the variety in Chinese futures market and the price-regulation in our country are the main reasons which cause the market not to effectively play its signaling function.
According to the empirical results, we find that there exist many factors which restrict the improving of Chinese futures market efficiency. So, we provide some policy suggestions, such as enforcing information disclosure and education of the investors, breeding the multiple market participants, introducing the efficient stabilization mechanism, increasing the number of the futures products, promoting the marketlization reform further, and so on.
This paper may have several innovation as fallows: (1) it established a realistic and operable framework for evaluation of the information efficiency of commodity futures market; (2) it used OLS estimator with PCSE to study whether the futures price is the unbiased prediction to the spot price; (3) it used quantile regression method to analyze the spot and dynamic relationship between volume and return of futures market; (4) it studied the dynamic relationship between NFI and Chinese CPI for the first time in China.
引文
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