期转现与中国商品期货市场功能关系研究
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摘要
期转现是期货市场中重要的交割结算方式,期转现可以让商品交易商通过一次交易中同时完成期货交易和现货交易。本文使用我国期货市场大豆、小麦、天然胶三个期货品种在2000-2006年的数据,使用生存分析的方法估计期转现执行久期,同时利用加速失效时间模型对影响期转现交易生存时间的因素作了估计。
已有有关期货市场的文献很少涉及到有关期转现的研究,大多文献主要是针对交易,几乎没有模型是研究每日间或每年间交易商的动态交易策略。在一些期货市场中,总交易量与不断增长的期转现的交易量相关性引起了期货监管机构对期转现交易会不会降低期货市场的流动性的关注。
对期转现数据的深入分析表明期转现交易量在总交易量中所占的比例、期转现交易量和期转现的平均交易规模和期转现的执行时间都随交割月和年度不同而变化。期转现交易的生存时间(即久期)表明期转现的生存时间因不同品种而异。在与商品交易商的交流中发现,交易商往往是在市场上涨时以当日的低价执行期转现交易,交易商最大化隐含在限价交易中的嵌入期权的价值,而当执行期转现时,这个隐含的价格通常是由卖方确定的。搜索模型可以用来检验这种期权价值的下降,使用AFT模型来测算这些变量与期转现执行久期的相关性,这些相关性大多与预期一致,然而,如果按年或交割月分组数据,三个市场都有很大的不同。此外,本文的研究得出这样的结论,企业对期货市场的利用更多是缘于减少交易的机会成本,而不是缘于对风险的厌恶。
本文对我国期货市场与现货市场之间的价格引导关系、波动性引导关系与期转现进行了实证研究。从期、现货市场之间的波动性关系而言,橡胶期、现货市场之间的波动性均存在双向引导关系,期货市场对现货市场的波动性引导作用均较强;大豆市场仅存在期货市场波动性对现货市场的单向引导作用;而小麦期、现货市场之间的波动性不存在任何引导关系。在对期转现与期货市场的日流动性和波动性的研究中,本文借鉴混合分布假设理论(the Mixture Distribution Hypothesis,MDH),按照交易行为将期货市场的持仓量划分为转为现货的持仓和不转为现货的持仓后,不转为现货的持仓量与波动性的关系更为显著,而转为现货的持仓量与波动性呈很弱的负相关关系。大豆、小麦和天然胶的期转现交易行为均与期货市场的波动性是负相关关系,说明期转现交易可以减小期货市场的波动性,起到稳定期货市场的作用。
An Exchange for Physicals (EFPs) is an important pattern of delivery, and it allows commercial traders to perform a physical and a futures transaction simultaneously with the same trading partner. This dissertation makes use of data about every one of EFPs on the soybean, rubber and wheat futures markets in China, between 2000 and 2006, and survival analyze to estimate the duration of executing EFPs. An Accelerated Failure Time (AFT) model is used to estimate the effect of several economic variables on the timing of EFP transactions.
The existing literature on futures markets contains few references to EFPs beyond nothing that they involve a transaction away from an exchange itself. In fact, there are no models that aim to understand the dynamic properties of these transactions from day to day or year to year. Increased EFPs volume relative to total trading volume in some futures markets has attracted the attention of the department of intendance, which worries that EFPs reduce liquidity by taking trading volume from the trading pit, let alone to determine whether the prospect of a later EFP encourages commercial firms to use the futures markets in the first place.
A deeper analysis of the EFP data provided shows that not only the proportion of EFPs to total volume, but also the volume of EFPs itself, the average size of the EFPs and the timing of their execution differs from month to month and year to year. Timing of EFP transactions, also known as duration, shows variation across commodities. Interviews with commercial traders showed their inclination to execute their EFPs at the lows of the day when the market was bullish. Traders maximize the value of the embedded option implicit in a price-fixing transaction in which the seller usually decides when to execute the EFPs. A search model is proposed to test the declining value of the option. It is tested using an Accelerated Failure Time (AFT) model to calculate the elasticties of duration to contemporaneous values of a set of variables. These elasticizes show the expected signs in most cases. However, if calculating them by year or delivery month, non-trivial differences are found in each of the three markets. The prospect of a later EFP encourages commercials to initiate the futures position. In addition, the findings of this study support the perspective that commercial firms’use of futures markets results more from commercial opportunities tempered by transaction costs than risk aversion, as commonly thought.
This dissertation demonstrates the relation between EFPs and lead relation about price and volatility in the spot-futures markets in China. In terms of Volatility, there are bi-directional lead relations in Spot- futures of Rubber, and futures market volatility lead effect to the spot market more than vice versa. In addition, soybean market is only futures market Unitary Volatility lead effect to the spot market, there is no volatility lead relation in wheat's spot- futures market. Meanwhile, the article Systematically Studied the Volatility effect on trading Volume and empty volume to spot- futures market in view of market information.
We make use of the MDH (Mixture Distribution Hypothesis) theory, when making an analysis of open interest of futures markets. We could compartmentalize open interest into probable open interest of exchange for physical and improbable open interest of exchange for physical in term of this theory. There is a prominence positive relation between improbable open interest of exchange for physical and volatility. So a conclusion that negative relation between EFPs and volatility on the soybean, rubber and wheat futures markets, and EFPs is effective on reducing the volatility of futures markets.
已有有关期货市场的文献很少涉及到有关期转现的研究,大多文献主要是针对交易,几乎没有模型是研究每日间或每年间交易商的动态交易策略。在一些期货市场中,总交易量与不断增长的期转现的交易量相关性引起了期货监管机构对期转现交易会不会降低期货市场的流动性的关注。
对期转现数据的深入分析表明期转现交易量在总交易量中所占的比例、期转现交易量和期转现的平均交易规模和期转现的执行时间都随交割月和年度不同而变化。期转现交易的生存时间(即久期)表明期转现的生存时间因不同品种而异。在与商品交易商的交流中发现,交易商往往是在市场上涨时以当日的低价执行期转现交易,交易商最大化隐含在限价交易中的嵌入期权的价值,而当执行期转现时,这个隐含的价格通常是由卖方确定的。搜索模型可以用来检验这种期权价值的下降,使用AFT模型来测算这些变量与期转现执行久期的相关性,这些相关性大多与预期一致,然而,如果按年或交割月分组数据,三个市场都有很大的不同。此外,本文的研究得出这样的结论,企业对期货市场的利用更多是缘于减少交易的机会成本,而不是缘于对风险的厌恶。
本文对我国期货市场与现货市场之间的价格引导关系、波动性引导关系与期转现进行了实证研究。从期、现货市场之间的波动性关系而言,橡胶期、现货市场之间的波动性均存在双向引导关系,期货市场对现货市场的波动性引导作用均较强;大豆市场仅存在期货市场波动性对现货市场的单向引导作用;而小麦期、现货市场之间的波动性不存在任何引导关系。在对期转现与期货市场的日流动性和波动性的研究中,本文借鉴混合分布假设理论(the Mixture Distribution Hypothesis,MDH),按照交易行为将期货市场的持仓量划分为转为现货的持仓和不转为现货的持仓后,不转为现货的持仓量与波动性的关系更为显著,而转为现货的持仓量与波动性呈很弱的负相关关系。大豆、小麦和天然胶的期转现交易行为均与期货市场的波动性是负相关关系,说明期转现交易可以减小期货市场的波动性,起到稳定期货市场的作用。
An Exchange for Physicals (EFPs) is an important pattern of delivery, and it allows commercial traders to perform a physical and a futures transaction simultaneously with the same trading partner. This dissertation makes use of data about every one of EFPs on the soybean, rubber and wheat futures markets in China, between 2000 and 2006, and survival analyze to estimate the duration of executing EFPs. An Accelerated Failure Time (AFT) model is used to estimate the effect of several economic variables on the timing of EFP transactions.
The existing literature on futures markets contains few references to EFPs beyond nothing that they involve a transaction away from an exchange itself. In fact, there are no models that aim to understand the dynamic properties of these transactions from day to day or year to year. Increased EFPs volume relative to total trading volume in some futures markets has attracted the attention of the department of intendance, which worries that EFPs reduce liquidity by taking trading volume from the trading pit, let alone to determine whether the prospect of a later EFP encourages commercial firms to use the futures markets in the first place.
A deeper analysis of the EFP data provided shows that not only the proportion of EFPs to total volume, but also the volume of EFPs itself, the average size of the EFPs and the timing of their execution differs from month to month and year to year. Timing of EFP transactions, also known as duration, shows variation across commodities. Interviews with commercial traders showed their inclination to execute their EFPs at the lows of the day when the market was bullish. Traders maximize the value of the embedded option implicit in a price-fixing transaction in which the seller usually decides when to execute the EFPs. A search model is proposed to test the declining value of the option. It is tested using an Accelerated Failure Time (AFT) model to calculate the elasticties of duration to contemporaneous values of a set of variables. These elasticizes show the expected signs in most cases. However, if calculating them by year or delivery month, non-trivial differences are found in each of the three markets. The prospect of a later EFP encourages commercials to initiate the futures position. In addition, the findings of this study support the perspective that commercial firms’use of futures markets results more from commercial opportunities tempered by transaction costs than risk aversion, as commonly thought.
This dissertation demonstrates the relation between EFPs and lead relation about price and volatility in the spot-futures markets in China. In terms of Volatility, there are bi-directional lead relations in Spot- futures of Rubber, and futures market volatility lead effect to the spot market more than vice versa. In addition, soybean market is only futures market Unitary Volatility lead effect to the spot market, there is no volatility lead relation in wheat's spot- futures market. Meanwhile, the article Systematically Studied the Volatility effect on trading Volume and empty volume to spot- futures market in view of market information.
We make use of the MDH (Mixture Distribution Hypothesis) theory, when making an analysis of open interest of futures markets. We could compartmentalize open interest into probable open interest of exchange for physical and improbable open interest of exchange for physical in term of this theory. There is a prominence positive relation between improbable open interest of exchange for physical and volatility. So a conclusion that negative relation between EFPs and volatility on the soybean, rubber and wheat futures markets, and EFPs is effective on reducing the volatility of futures markets.
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