【摘要】 为考察基金操作行为与铜期货价格之间的关系,利用美国商品期货交易委员会公布的交易商持仓报告提供的持仓信息,采用Granger因果检验方法分析了国际基金操作行为与国际铜期货价格之间的关系.结果表明,价格收益率正向Granger影响基金净多持仓,即收益率上升会引起基金净多持仓的增加.但一般而言,交易商包括基金的净持仓并不引领价格变化.另一方面,瞬时Granger因果检验的结果显示,基金净持仓与期货价格之间存在互相影响、互为因果的关系.更多还原

【Abstract】 In recent years,rising copper futures prices and derivative risk events related to copper futures markets have drawn attention to the role international funds play in price fluctuations.To better understand the relationship between the fund’s strategy and copper futures prices,the paper studies the Commodity Futures Trading Commission(CFTC)’s Commitments of Traders(COT) for copper futures contracts and employs Granger causality tests to determine if relationships between funds’ positions and market prices exist.Empirical results show that positive returns result in an increase in noncommercial net long positions,while traders’ net positions do not lead market returns in general.Furthermore,the results of instantaneous Granger Causality indicate that there exists instantaneous Granger causality between net positions held by funds and returns.更多还原