【摘要】 近年来,国际市场商品价格走高,而国际基金作为重要影响因素之一受到了广泛关注。我们选取有代表性的大豆期货为研究对象,根据CFTC公布的COT报告,采用Granger因果检验等方法,来分析国际期货市场的交易商行为,特别是国际基金行为与国际期货价格之间的关系。实证分析结果表明:非商业(基金)持仓与收益率正相关,商业持仓与收益率负相关;收益率对交易商持仓变化有单向因果关系;而基金持仓对价格的影响主要是当期影响,并且这种影响会很快被市场吸收进而消失。更多还原

【Abstract】 In recent years, the fluctuations of futures prices and resultant risks have drawn attentions to the role international funds play in price fluctuations. Therefore, we study the Commodity Futures Trading Commission (CFTC)’s Commitments of Traders (COT) report of soybean futures and employ Granger causality tests to examine the relationships between funds’ positions and market prices. A positive correlation between returns and positions held by noncommercial traders (funds), and a negative correlation between commercial positions and market returns, are found. Moreover, positive returns result in an increase in noncommercial net long position, and a decrease in commercial net long in the following week. However, traders’ net long positions do not lead market returns in general. Furthermore, the results of instantaneous Granger causality test show that there exists bilateral instantaneous Granger causality between net long positions held by funds and returns.更多还原