| 商品期货成交量的“分享蛋糕”效应 |
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| 引用本文： | 宋军,赵鹰妍,凌若冰.商品期货成交量的“分享蛋糕”效应[J].系统工程理论与实践,2012,32(3):561-567. |
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| 作者姓名： | 宋军 赵鹰妍 凌若冰 |
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| 作者单位： | 1. 复旦大学 经济学院, 上海 200433;
2. 北京大学 光华管理学院, 北京 100871 |
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| 基金项目： | 国家自然科学基金(70701011);“985工程”三期整体推进社会科学研究项目(2011SHKXZD003) |
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| 摘 要： | 期货市场的风险溢价理论认为套期保值者向投机者转让风险溢价,使得期货价格偏离无套利均衡价格.对该理论进行了扩展,指出随着套期保值者转让的风险溢价增加,基差绝对值增加,吸引更多投机者进入市场分享"蛋糕",从而导致成交量增加.对中国商品期货四个代表性品种的检验在很大程度上支持了上述假设.
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| 关 键 词： | 基差 成交量 套期保值压力 |
| 收稿时间： | 2011-04-08 |
Cake-sharing effect in the trading volume of commodities futures |
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| SONG Jun
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ZHAO Ying-yan
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LING Ruo-bing.Cake-sharing effect in the trading volume of commodities futures[J].Systems Engineering —Theory & Practice,2012,32(3):561-567. |
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| Authors: | SONG Jun ZHAO Ying-yan LING Ruo-bing |
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| Institution: | 1. School of Economics, Fudan University, Shanghai 200433, China;
2. Guanghua School of Management, Peking University, Beijing 100871, China |
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| Abstract: | Risk premium theory predicts that the futures price deviates from the free-arbitrage price due to the risk premium transferred from hedgers to speculators.We expanded this theory.With more risk premium transferred from hedgers,the absolute value of basis increases and more speculators are attracted to the market,thus inducing an increase of volume.Empirical studies on four typical Chinese commodities futures basically support the hypothesis. |
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| Keywords: | basis volume hedging pressure |
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