论文部分内容阅读
本文运用结构断点测算法,识别了原油期货价格的结构性转变过程,进而针对投资者聚合问题,创新性地从交易行为的实质出发,研究了五类异质投资者情绪在每个结构转变阶段分别对原油期货市场收益和收益波动的冲击效应。研究发现:原油期货价格在近十年呈现出三次明显的结构性转变,其动态轨迹表现为四个不同阶段;投资者情绪是影响原油期货市场收益的重要系统性因素,其冲击效应在四个阶段由大到小依次为高位震荡期、金融危机期、泡沫破裂期以及泡沫累积期;原油期货市场存在稳定的杠杆效应,在高位震荡期表现尤为突出;管理基金的投机活动已使其成为原油期货价格变动的引导者,生产批发商是市场上最坚定的套期保值者,互换交易商并非借套保之名行投机之实;投资者情绪波动是构成原油期货市场风险的显著性因素,管理基金代表的投机力量起到了稳定市场的作用。
In this paper, structural break-point method is used to identify the structural transformation process of crude oil futures prices. In the light of the problem of investor aggregation, this paper studies the five types of heterogeneous investors’ emotions in every structural change Stage respectively, the impact of crude oil futures market earnings and earnings volatility. The research shows that the crude oil futures price has shown three obvious structural changes in the recent ten years and its dynamic trajectory shows in four different stages. The investor sentiment is an important systemic factor that affects the returns of the crude oil futures market, and its impact effect is in four The stages from high to low were high and volatile periods, the financial crisis, the bubble burst period and the bubble accumulation period. The crude oil futures market had a stable leverage effect, especially in the period of high and volatile shocks. The management fund’s speculative activities have turned it into crude oil Futures price guide, production and wholesalers is the market’s most stalwart hedgers, exchange traders do not speculation by the name of hedging speculation; investor sentiment volatility is the composition of the crude oil futures market risk factors , The speculative power of the management fund representatives played a stabilizing role in the market.