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首页> 外文会议>2006年中国国际金融年会 >Effects of Auctions Trading Mechanisms on Futures Price Behavior——Empirical Evidence from Soybeans Futures Market in Dalian
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Effects of Auctions Trading Mechanisms on Futures Price Behavior——Empirical Evidence from Soybeans Futures Market in Dalian

机译：拍卖交易机制对期货价格行为的影响-基于大连大豆期货市场的经验证据

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Firstly, the paper analyzes the nature of distributions of returns of the open price generated by call auctions and that of returns of the close price by continuous auctions in Dalian Soybeans Futures Market, and empirically finds: (1) that there are significant differences between the distribution of open-to-open returns and that of close-to-close returns, on average, variance and dispersion of the former are greater than those of the latter, its tail fatter, and its kurtosis thinner; (2) that it is more likely that the open price of soybeans futures violates against the efficient market hypothesis than the close price; (3) that an overshooting effect is more likely in the opening than at the close; (4) that the volatility ratio puzzle (or the variance ratio puzzle) exists in Dalian soybeans futures market. Secondly, the above empirical findings are not simply attributed to auctions trading mechanisms, and made a further explanation from auctions trading mechanisms, and information accumulation and diffusion. Then,the paper aims at the cause of the volatility ratio puzzle, and makes a further empirical analysis using high-frequent data, and finds that trading in the opening has more noises of price than the subsequent one, and that a great deal of information accumulating in non-trading period of the previous night does not spread gradually along with trading, and does diffuse rapidly after the opening. This means that the volatility ratio puzzle in Dalian soybeans futures market is not caused by information accumulation and diffusion, but mainly by auctions trading mechanisms, which indicates auctions trading mechanisms do have the effects on soybeans futures price behavior. Therefore, we suggest that the present close call auctions should be reformed into open call auctions, and the time for call auctions should prolong suitably; and that nighttime electronic trading should be developed as soon as possible and non-trading time should be reduced.
机译：首先，本文分析了大连大豆期货市场公开竞价产生的开盘价收益分布和连续竞价产生的收盘价收益分布特征，并通过实证发现：（1）大连大豆期货市场之间存在显着差异。平均而言，开盘收益和接近收盘收益的分布，前者的方差和离散度大于后者，后者的尾部更肥大，峰度更薄; （2）大豆期货的开盘价比收盘价更可能违反有效的市场假设; （3）开盘时比收盘时更有可能出现超调现象; （4）大连大豆期货市场存在波动率难题（或方差比率难题）。其次，以上实证研究结果不仅仅归因于拍卖交易机制，还从拍卖交易机制以及信息的积累和扩散作了进一步的解释。然后，本文针对波动率之谜的原因，并使用高频数据进行了进一步的实证分析，发现开盘交易比随后的交易具有更多的价格噪音，并且有大量的信息。前一天晚上的非交易时段中的累积不会随交易逐渐扩散，而是在开盘后迅速扩散。这意味着大连大豆期货市场的波动率之谜不是由信息积累和扩散引起的，而是主要由拍卖交易机制引起的，这表明拍卖交易机制的确对大豆期货价格行为产生了影响。因此，我们建议将目前的近距离拍卖方式改为开放式拍卖方式，并适当延长拍卖时间。并且应尽快开发夜间电子交易，并减少非交易时间。

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