连续交易制度与市场深度和价格稳定的实证研究
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摘要
上期所于2013年7月5日以沪金、沪银期货市场为试点,施行连续交易制度。本文采用2012年7月至2015年12月两市场收盘价等日频数据数据,把样本分成制度施行前、施行短期和施行长期三个观察窗口,构建VAR、EGARCH模型,对制度对市场深度和价格稳定的影响进行了实证研究。研究表明:制度施行短期和长期内沪金市场深度分别是施行前的5.74倍和5.63倍,沪银市场则为11.18倍和8.25倍;制度施行短期内沪金市场投机率对沪金价格的一阶矩和二阶矩影响分别为施行前的37%和32%,长期内相应影响分别为施行前的52%和50%;制度施行短期内沪银市场相应影响分别为制度施行前的28%和25%,长期内相应影响分别为53%和37%;制度实施前后,两市场投机率对收益率均存在非对称效应;在制度实施前,两市场投机率对收益率影响的杠杆效应较为严重,施行短期内沪金杠杆效应消失,沪银杠杆效应得到明显减弱;施行长期内沪金杠杆效应重新出现,但明显弱于施行前的,沪银杠杆效应仍然存在,不过也明显弱于施行前的。
To reverse the development of Chinese futures market, Shanghai Futures Exchange implements continuous trading system on July 5, 2013, with gold futures market and silver futures market as the pilot. The enforcement of this system is very important in improving trading mechanisms for understanding precious metals' futures markets. The market volume and open interest are promoted significantly at the macroeconomic level after its enforcement, and the precious metals' futures markets become more and more prosperous, but at the same time, the speculation action increases. So how is the market microstructure, such as the market depth of and the price stability, affected seriously?In order to understand the impact of this system on the precious metals' futures market depth and price stability, the paper takes the daily closing price, the total trading volume, and total open interest of both Shanghai gold futures market and silver futures market between July 2012 and December 2015 as the sample. The sample was divided into three observation periods——period 1--system prior to implementation(from July 2, 2012 to July 4, 2013), period 2--short-term after the implementation of this system(from July 5, 2013 to July 4, 2014) and period 3--long-term after the implementation of this system(from July 5, 2014 to December 10, 2015). Firstly, in order to observe if there is a significant difference among trading volume, open interest, speculation rate among the three periods, we use mean homogeneity test way, and find that the trading volume, open interest and speculation rate are significantly higher those in period 2 and period 3, while market price gaps significantly decreases. Secondly, in order to observe if there is a significant difference about market depth among the three periods, we build a three-stage structural equation model. The result shows that compared with period 1, market depth has increased 5.74 times and 5.73 times in period 2 and period 3 respectively in Shanghai gold futures market, and has increased 11.18 times and 8.25 times in period 2 and period 3 respectively in Shanghai silver futures market. Thus, the market depth benefits more from the continuous trading system. Thirdly, we study the impact of speculation rate on price stability by building a three-stage EGARCH model. The result shows that in Shanghai gold futures market, compared with period 1, the impact of speculation on price based on first and second moment has fallen to 37% and 32% in period 2, and fallen to 52% and 50% in period 3. In Shanghai silver futures market, compared with period 1, the impact of speculation on price based on first and second moments has fallen to 28% and 25% in period 2, and fallen to 53% and 37% in period 3. Thus, after the enforcement of continuous trading system, speculation rate has increased, but its impact on price stability has been significantly reduced, so the continuous trading system is beneficial for market price stability. Finally, this paper studies the asymmetric effect of the speculation rate on the yield. The result shows that before or after starting the system, the effect of speculation on yield is asymmetric in both futures markets. In period 1, both markets have a serious lever effect of speculation on yield, but in period 2, lever effect disappears in Shanghai gold futures market and decreases significantly in Shanghai silver futures market. Besides, in period 3, lever effect appears again in Shanghai gold futures market, and still exists in Shanghai silver futures market, but both decrease much more than period 1. In summary, continuous trading system not only significantly increases China's futures market's transaction size and value of precious metals at the macro level, but also significantly increases the market depth at the micro level. Moreover, continuous trading system significantly reduces the impact of speculation on the price stability in the case of speculation rate being significantly increased, and the asymmetric effect of speculative rate yield. Thus, continuous trading system plays a crucial role in price stability.
To reverse the development of Chinese futures market, Shanghai Futures Exchange implements continuous trading system on July 5, 2013, with gold futures market and silver futures market as the pilot. The enforcement of this system is very important in improving trading mechanisms for understanding precious metals' futures markets. The market volume and open interest are promoted significantly at the macroeconomic level after its enforcement, and the precious metals' futures markets become more and more prosperous, but at the same time, the speculation action increases. So how is the market microstructure, such as the market depth of and the price stability, affected seriously?In order to understand the impact of this system on the precious metals' futures market depth and price stability, the paper takes the daily closing price, the total trading volume, and total open interest of both Shanghai gold futures market and silver futures market between July 2012 and December 2015 as the sample. The sample was divided into three observation periods——period 1--system prior to implementation(from July 2, 2012 to July 4, 2013), period 2--short-term after the implementation of this system(from July 5, 2013 to July 4, 2014) and period 3--long-term after the implementation of this system(from July 5, 2014 to December 10, 2015). Firstly, in order to observe if there is a significant difference among trading volume, open interest, speculation rate among the three periods, we use mean homogeneity test way, and find that the trading volume, open interest and speculation rate are significantly higher those in period 2 and period 3, while market price gaps significantly decreases. Secondly, in order to observe if there is a significant difference about market depth among the three periods, we build a three-stage structural equation model. The result shows that compared with period 1, market depth has increased 5.74 times and 5.73 times in period 2 and period 3 respectively in Shanghai gold futures market, and has increased 11.18 times and 8.25 times in period 2 and period 3 respectively in Shanghai silver futures market. Thus, the market depth benefits more from the continuous trading system. Thirdly, we study the impact of speculation rate on price stability by building a three-stage EGARCH model. The result shows that in Shanghai gold futures market, compared with period 1, the impact of speculation on price based on first and second moment has fallen to 37% and 32% in period 2, and fallen to 52% and 50% in period 3. In Shanghai silver futures market, compared with period 1, the impact of speculation on price based on first and second moments has fallen to 28% and 25% in period 2, and fallen to 53% and 37% in period 3. Thus, after the enforcement of continuous trading system, speculation rate has increased, but its impact on price stability has been significantly reduced, so the continuous trading system is beneficial for market price stability. Finally, this paper studies the asymmetric effect of the speculation rate on the yield. The result shows that before or after starting the system, the effect of speculation on yield is asymmetric in both futures markets. In period 1, both markets have a serious lever effect of speculation on yield, but in period 2, lever effect disappears in Shanghai gold futures market and decreases significantly in Shanghai silver futures market. Besides, in period 3, lever effect appears again in Shanghai gold futures market, and still exists in Shanghai silver futures market, but both decrease much more than period 1. In summary, continuous trading system not only significantly increases China's futures market's transaction size and value of precious metals at the macro level, but also significantly increases the market depth at the micro level. Moreover, continuous trading system significantly reduces the impact of speculation on the price stability in the case of speculation rate being significantly increased, and the asymmetric effect of speculative rate yield. Thus, continuous trading system plays a crucial role in price stability.
引文
[1]靳玉英,周兵.新兴市场国家金融风险传染性研究[J].国际金融研究,2013,5:49-62.
[2]尹力博,柳依依.黄金是稳定的避险资产吗?--基于宏观经济不确定性的视角[J].国际金融研究,2015,7:87-96.
[3]滑冬玲.发达国家发展中国家和转轨国家金融脆弱性成因对比:基于制度视角的分析[J].管理评论,2014,8:90-105.
[4]傅强,丁俊峰,季俊伟.夜盘交易制度对我国白银期货市场的影响--基于ARMA-EGARCH模型的实证研究[J].价格理论与实践,2015,12:148-150.
[5]黄卓,李超.上海黄金期货波动率的实证分析--基于夜盘交易推出对黄金期货价格影响机制研究[J].价格理论与实践,2015,2:94-96.
[6]Osborne MFM.Brownian Motion in the Stock Market[J].Operations Research,1959,7:145-173.
[7]Crouch RL.The volume of transactions and price changes on the New York stock exchange[J].Financial Analysts Journal,1970,26:104-109.
[8]Morgan I.G.Stock prices and heteroskedasticity[J].Journal of Business,1976,49:496-508.
[9]Westerfield R.The distribution of common stock prices changes:an application of transactions time and subordinated stochastic models[J].Journal of Financial and Quantitative Analysis,1977,12(5):743-765.
[10]Tauchen GE.,Pitts M.The price variability-volume relationship on speculative markets[J].Econometrica,1983,51(2):485-505.
[11]Karpoff JM.The relation between price changes and trading volume:Asurvey[J].Journal of Financial and quantitative Analysis,1987,22(1):109-126.
[12]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.
[13]钱争鸣,郭鹏辉.上海证券交易市场量价关系的分位回归分析[J].数量经济技术经济研究,2007,10:141-150.
[14]戴毓,周德群.我国燃料油期货收益、交易量关系的实证研究[J].系统工程,2008,7:35-39.
[15]王良,冯涛.中国ETF基金交易量与价格之间的波动溢出效应[J].系统工程理论与实践,2011,11:2043-2051.
[16]Kyle A.Continuous auctions and insider trading[J].Econometrica,1985,53(6):1315-1336.
[17]Bessem BH.,Segiun PJ.Price volatility,trading volume,and market depth:Evidence from futures markets[J].Journal of Financial and Quantitative Analysis,1993,28(1):21-39.
[18]刘海龙,仲黎明,吴冲锋.股票流动性的度量方法[J].系统工程理论与实践,2003,1:16-21.
[19]郦金梁,雷曜,李树憬.市场深度、流动性和波动率--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.
[20]Alexander M.,Lukas M.Profits and speculation in intra-day foreign exchange trading[J].Journal of Financial Markets,2006,9:223-245.
[21]Giulio C.,Giovanna P.Oil price dynamics and speculation[J].Energy Economics,2010,32(2):363-372.
[22]Matteo M.,Marcella N.,Ilaria V.Modelling futures price volatility in energy markets:is there a role for financial speculation?[J].Energy Economics,2016,53:220-229.
[23]Claudio M.Oil price dynamics,macro-finance interactions and the role of financial speculation[J].Journal of Banking&Finance,2013,37:206-226.
[24]许年行,洪涛,吴世农,徐信忠.信息传递模式、投资者心理偏差与股价“同涨同跌”现象[J].经济研究,2011,4:135-146.
[25]张婷,于瑾,吕东锴.新兴市场投资者情绪与价值溢价异象--基于中国内地、香港和台湾地区的比较分析[J].国际金融研究,2013,1:87-95.
[26]韩立岩,尹力博.投机行为还是实际需求?--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.
[27]陈明华,张彦,徐银良,刘华军.金融投机因素对国际油价波动的动态影响分析--基于动态随机一般均衡(DSGE)视角[J].宏观经济研究,2014,11:119-126.
[28]谢飞,韩立岩.投机还是实需:国际商品期货价格的影响因素分析[J].管理世界,2012,10:71-82.
[29]Rothig A.Currency Futures and Currency Crises[D].2004,Department of Ecnomics,Darmstadt University of Technology.
[30]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.
[31]高铁梅.计量经济分析与建模[M].北京:清华大学出版社.2009.
[32]Marshall BR.,Nguyen NH.,Visaltanachoti N.Commodity Liquidity Measurement and Transaction Costs[J].Reviews of Financial Studies,2012,25(2):599-638.
[33]Robert KK.,Ben U.Oil prices,Speculation,and Fundamentals:Interpreting Causal Relations among Spot and Futures Prices[J].Energy Economics,2009,31:550-558.
(1)来源于《人民日报》2014年7月2日第10版,标题为“上海白银期货成交量全球居首”。
[2]尹力博,柳依依.黄金是稳定的避险资产吗?--基于宏观经济不确定性的视角[J].国际金融研究,2015,7:87-96.
[3]滑冬玲.发达国家发展中国家和转轨国家金融脆弱性成因对比:基于制度视角的分析[J].管理评论,2014,8:90-105.
[4]傅强,丁俊峰,季俊伟.夜盘交易制度对我国白银期货市场的影响--基于ARMA-EGARCH模型的实证研究[J].价格理论与实践,2015,12:148-150.
[5]黄卓,李超.上海黄金期货波动率的实证分析--基于夜盘交易推出对黄金期货价格影响机制研究[J].价格理论与实践,2015,2:94-96.
[6]Osborne MFM.Brownian Motion in the Stock Market[J].Operations Research,1959,7:145-173.
[7]Crouch RL.The volume of transactions and price changes on the New York stock exchange[J].Financial Analysts Journal,1970,26:104-109.
[8]Morgan I.G.Stock prices and heteroskedasticity[J].Journal of Business,1976,49:496-508.
[9]Westerfield R.The distribution of common stock prices changes:an application of transactions time and subordinated stochastic models[J].Journal of Financial and Quantitative Analysis,1977,12(5):743-765.
[10]Tauchen GE.,Pitts M.The price variability-volume relationship on speculative markets[J].Econometrica,1983,51(2):485-505.
[11]Karpoff JM.The relation between price changes and trading volume:Asurvey[J].Journal of Financial and quantitative Analysis,1987,22(1):109-126.
[12]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.
[13]钱争鸣,郭鹏辉.上海证券交易市场量价关系的分位回归分析[J].数量经济技术经济研究,2007,10:141-150.
[14]戴毓,周德群.我国燃料油期货收益、交易量关系的实证研究[J].系统工程,2008,7:35-39.
[15]王良,冯涛.中国ETF基金交易量与价格之间的波动溢出效应[J].系统工程理论与实践,2011,11:2043-2051.
[16]Kyle A.Continuous auctions and insider trading[J].Econometrica,1985,53(6):1315-1336.
[17]Bessem BH.,Segiun PJ.Price volatility,trading volume,and market depth:Evidence from futures markets[J].Journal of Financial and Quantitative Analysis,1993,28(1):21-39.
[18]刘海龙,仲黎明,吴冲锋.股票流动性的度量方法[J].系统工程理论与实践,2003,1:16-21.
[19]郦金梁,雷曜,李树憬.市场深度、流动性和波动率--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.
[20]Alexander M.,Lukas M.Profits and speculation in intra-day foreign exchange trading[J].Journal of Financial Markets,2006,9:223-245.
[21]Giulio C.,Giovanna P.Oil price dynamics and speculation[J].Energy Economics,2010,32(2):363-372.
[22]Matteo M.,Marcella N.,Ilaria V.Modelling futures price volatility in energy markets:is there a role for financial speculation?[J].Energy Economics,2016,53:220-229.
[23]Claudio M.Oil price dynamics,macro-finance interactions and the role of financial speculation[J].Journal of Banking&Finance,2013,37:206-226.
[24]许年行,洪涛,吴世农,徐信忠.信息传递模式、投资者心理偏差与股价“同涨同跌”现象[J].经济研究,2011,4:135-146.
[25]张婷,于瑾,吕东锴.新兴市场投资者情绪与价值溢价异象--基于中国内地、香港和台湾地区的比较分析[J].国际金融研究,2013,1:87-95.
[26]韩立岩,尹力博.投机行为还是实际需求?--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.
[27]陈明华,张彦,徐银良,刘华军.金融投机因素对国际油价波动的动态影响分析--基于动态随机一般均衡(DSGE)视角[J].宏观经济研究,2014,11:119-126.
[28]谢飞,韩立岩.投机还是实需:国际商品期货价格的影响因素分析[J].管理世界,2012,10:71-82.
[29]Rothig A.Currency Futures and Currency Crises[D].2004,Department of Ecnomics,Darmstadt University of Technology.
[30]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.
[31]高铁梅.计量经济分析与建模[M].北京:清华大学出版社.2009.
[32]Marshall BR.,Nguyen NH.,Visaltanachoti N.Commodity Liquidity Measurement and Transaction Costs[J].Reviews of Financial Studies,2012,25(2):599-638.
[33]Robert KK.,Ben U.Oil prices,Speculation,and Fundamentals:Interpreting Causal Relations among Spot and Futures Prices[J].Energy Economics,2009,31:550-558.
(1)来源于《人民日报》2014年7月2日第10版,标题为“上海白银期货成交量全球居首”。