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_李艺.pdf

2008 9 9 : 1000-6788( 2008) 09-0010- 10 ) ) ) 1 1 1,2 李 艺 , 部 慧 , 汪寿阳 ( 11 , 100080; 21 , 100080) : , , Granger . , Granger , . , . , Granger , . : ; Granger ; ; : F83019 : A The relationship etween funds and futures prices: An empirical study ased on the copper futures market 1 1 1,2 LI Yi , BU Hui , WANG Shou-yang ( 11School of Management, Graduate University of Chinese Academy of Sciences, Beijing 100080, China; 21Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100080, China) Abstract: In recent years, rising copper futures prices and derivative risk events related to copper futures markets have drawn attention to the role international funds play in price fluctuations. To etter understand the relationship etween the fund. s strategy and copper futures prices, the paper studies the Commodity Futures Trading Commission ( CFTC) . s Commitments of Traders ( COT) for copper futures contracts and employs Granger causality tests to determine if relationships etweenfunds. positions and market prices exist. Empirical results show that positive returns result in an increase in noncommercial net long positions, while traders. net positions do not lead market returns in general. Furthermore, the results of instantaneous Granger Causality indicate that there exists instantaneous Granger causality etween net positions held y funds and returns. Key words : copper futures market; Granger causality; commitments of traders; futures funds 1 2001, , . 2006 , . , ( LME)