基金持仓与商品期货价格关系的实证研究———以铜期货市场为例

200899:100026788(2008)09200102101,1,1,2(11,100080;21,100080):,,Granger.,Granger,.,.,Granger,.:;Granger;;:F83019:ATherelationshipbetweenfundsandfuturesprices:AnempiricalstudybasedonthecopperfuturesmarketLIYi1,BUHui1,WANGShou2yang1,2(11SchoolofManagement,GraduateUniversityofChineseAcademyofSciences,Beijing100080,China;21AcademyofMathematicsandSystemsScience,ChineseAcademyofSciences,Beijing100080,China)Abstract:Inrecentyears,risingcopperfuturespricesandderivativeriskeventsrelatedtocopperfuturesmarketshavedrawnattentiontotheroleinternationalfundsplayinpricefluctuations.Tobetterunderstandtherelationshipbetweenthefundsstrategyandcopperfuturesprices,thepaperstudiestheCommodityFuturesTradingCommission(CFTC)sCommitmentsofTraders(COT)forcopperfuturescontractsandemploysGrangercausalityteststodetermineifrelationshipsbetweenfundspositionsandmarketpricesexist.Empiricalresultsshowthatpositivereturnsresultinanincreaseinnoncommercialnetlongpositions,whiletradersnetpositionsdonotleadmarketreturnsingeneral.Furthermore,theresultsofinstantaneousGrangerCausalityindicatethatthereexistsinstantaneousGrangercausalitybetweennetpositionsheldbyfundsandreturns.Keywords:copperfuturesmarket;Grangercausality;commitmentsoftraders;futuresfunds:2007202206:;:(1974-),,,:,;(1981-),,,:,;(1958-),,,.12001,,.2006,.,(LME)134400P,5118800P.,,,2001.,.,.2005,.,,?,?,,.,..,.,LME,.,,LME.,(CommodityFuturesTradingCommission,CFTC).CFTC,,(CommitmentsofTradersreport,COT),,.,COT,,.,,COT(),,;.,,.,COT,,.,.,COT.,Hartzmark(1991)Leuthold(1994)(forecastingability)[1,2].,;,.Wang(2002)[3].,.Buchanan(2001)[4].,.,Sanders(2004),Granger,Granger,[5].,COT,.,,.,(2003,2004)[6,7].COT,LME,COT.,.:COT;;Granger;.2CFTCCFTC,.,.,,CFTC.CFTC.CFTC.CFTC,(COT).COT,(Reportable)(Non2reportable).CFTC,(Commercial)(Non2119:CFTC,http:PP).,,[2,5,8,9].(Managedfutures),..,(long)(short)(spreading),.:[NCL+NCS+2(NCSP)]+[CS+CL]+[NRL+NRS]=2(TOI)[5],NCL,NCS,NCSP;CLCS;NRLNRS;TOI(totalopeninterest)..CFTC,.,.,COT.,;,COT,COT,.,COT,,,.,;,,[10].,.,EderingtonLee(2002)[11].,;,CFTC,(CTA)[5].,.,.3(COMEX),.200111,20001420061024,,.,356.,CFTCCOT.COT,().COMEX.,;,,.,.,.,.,,,,,.,.Pt,Rt:Rt=ln(ptPpt-1)..,2.,(CL+CS)P2(TOI).(thepercentnetlong,PNL),.,PNL(CL-CS)P(CL+CS).Sanders2120089[NCL-NCS]P[NCL+NCS+2(NCSP)][NCL+NCS+2(NCSP)]P2(TOI)(2004)[5]..1.,,5716%.(),2916%.,1218%.,.,.,,.[12],,.PNL,PNL,(),3017%,PNL-4213%()7515%().,(),.130.576-0.1290.0790.193(,)(0.404,0.750)(-0.558,0.273)30.2960.1640.0810.307(,)(0.114,0.468)(-0.423,0.755)30.1280.2550.0170.202(,)(0.090,0.210)(-0.130,0.686):5%.Granger[13],AugmentedDickey2Fuller(ADF),RtPNL,2.2PNLADFPNLPNLPNLt2-12.15167-3.25308-4.051546-2.369613p0.00000.01790.00130.15121%5%10%t-3.448622-2.869488-2.571072,PNLPNLADF5%,PNL1%.5%,.PNL10%ADF,10%.4411,.,.,200511().,LME,,.319200589,1221,2005620062,.3PNL(2000.1.4-2006.10.24)-0.161330.09830.14233(2005.6.7-2006.2.28)-0.201330.176330.026:310%;335%.40.4261049018963283540.0246659943969040.296848065204878010.081138782193915967:(2005.6.7-2006.2.28),(2000.1.4-2006.10.24).3,PNL10%.PNL()PNL,PNL.,,(),.,..,PNL,,,.,(4),,,(),4216%,2916%,().,PNL(3).41241211GrangerGranger(Granger,1969,1980)Granger,[14,15].,XY,nn,YnnYt(t=1,,n),Xn+1n+1X,n-YnY.,,n.,:F(Xn+1|n)F(Xn+1|(n-Yn))(1)YXGranger.YX,YX.,YnXn+1,YXGranger.,n,,,nJn.:F(Xn+1|Jn)F(Xn+1|(Jn-Yn))(2)Jn,YX,Jn,YX(primafaciecausality).,,,.(Granger,1969)[14],Xt,Yt,4120089:,http:PPnews.xinhuanet.comPstockP2005211P22Pcontent3815375.htm.Xt=mj=1ajXt-j+mj=1bjYt-j+tYt=mj=1cjXt-j+mj=1djYt-j+t(3)t,t,E[ts]=0=E[ts],st,t,s,E[ts]=0.m,.bj,YX;cj,XY;,XY,(feedback).F[16].,(3),YX,H0:b1=b2==bm=0,:F=(RSSR-RSSUR)PmRSSURP(n-k)F(m,n-k),RSSR(YX),RSSUR,mY,k,n.,Granger(InstantaneousCausality)(Granger,1969)[14],(1)F(Xn|n)F(Xn|(n-Yn)),YX,YX.Xt+b0Yt=mj=1ajXt-j+mj=1bjYt-j+tYt+c0Xt=mj=1cjXt-j+mj=1djYt-j+t(4)41212GrangerGranger2.,Granger2.,.,,.5GrangerPNLGrangerPNLGrangerPNLGrangerPNLGranger1234F9.16618330.0541811.3574330.002080.002650.816090.000830.96367F0.614140.838241.367370.43210.541690.433340.256140.64949F0.796410.670761.060350.722180.496540.570470.365990.53929F0.962240.552340.769680.48620.428280.697440.545540.74588:335%.3,PNLGranger.(5).1((3)m=1),PNLGrangerPNLGranger,1,PNL519Eviews.,;,,PPNLGranger,P.,,PPNL.,.,,.Granger:H0:j=0;j=1,2,,n,:PNLt=+mi=1iPNLt-i+nj=1jRt-j+t(5)(m,n)i=1,2,,12;j=1,2,,12,AIC(Akaikesinformationcriteria).,LM(Lagrangemutiplier),,.White,,White(heteroskedasticconsistentcovarianceestimator).6PNLGranger(m,n)2,12,1F0.85724.662p0.35520.03150.85724.66233p0.35450.030833(-)(+)33:(m,n)(5);pj=0,PjFWaldp,,PNLGranger;PNL.(+)(-)j;310%,335%.(5).Wald,6.Fp6.Wald,PNL.,PNLGranger,PNLGranger.,().,,,.,.,,PNLGranger,,,,,.,,PNLGranger,H0:j=0,Pj,Rt=+mi=1iRt-i+nj=1jPNLt-j+t(6),,,7.,10%,,PNLGranger.,,,.,,Granger(InstantaneousCausality).(5)(6),,.H0:j=0,j=0,1,,nH0:j=0,j=0,1,,n,PNLt=+mi=1iPNLt-i+0Rt+nj=1jRt-j+t6120089Rt=+mi=1iRt-i+0PNLt+nj=1jPNLt-j+t(7)7Granger(m,n)2,22,1F0.6991850.101005p0.49770.75081.398370.101005p0.4970.7506:(m,n)(6);pj=0,PjFWaldp.,Granger;10%3.8GrangerPNLGrangerPNLGrangerF16.19834.298p0.0000.00032.39668.596p0.0000.000(