外文翻譯--股指期貨中的投資者結(jié)構(gòu)與價(jià)格發(fā)現(xiàn)

1、<p>　　1658單詞，9770英文字符，2900漢字</p><p>　　出處：Bohl M T, Salm C A, Schuppli M. Price discovery and investor structure in stock index futures[J]. Journal of Futures Markets, 2011, 31(3):282–306.</p><

2、;p>　　PRICE DISCOVERY AND INVESTOR STRUCTURE IN STOCK INDEX FUTURES</p><p>　　MARTIN T. BOHL，CHRISTIAN A. SALM，MICHAEL SCHUPPLI</p><p>　　Previous literature on price discovery in stock index fu

3、tures and spot markets neglects the role of different investor groups. This study relates time-varying spotfutures linkages studied within a VECM-DCC-GARCH framework to changes in the investor structure of the futures ma

4、rket over time. Empirical results suggest that during the dominance of presumably uninformed private investors, the futures market does not contribute to price discovery. By contrast, there is evidence of information flo

5、ws f</p><p>　　INTRODUCTION </p><p>　　Since the introduction of stock index futures trading, extensive research has been devoted to the question of whether index futures trading contributes to th

6、e efficiency of the underlying stock markets in terms of price discovery. Under frictionless markets, new information should be impounded simultaneously in futures and spot prices. In reality, however, futures markets ar

7、e likely to incorporate market-wide information more efficiently than spot markets because of their inherent leverage, low </p><p>　　Thus, futures markets under investigation in previous literature are typic

8、ally dominated by institutional investors. In the finance literature, institutions are usually presumed to be well-informed, rational investors, whereas individuals are viewed as uninformed or driven by sentiment and beh

9、avioral biases. A large body of empirical literature on institutional and individual trading supports this view. Because of limited information processing capacity, individuals seem to pick stocks based on </p>&l

10、t;p>　　We investigate this issue in the case of the Polish WIG20 index futures market, which offers a unique investor structure. While foreign and domestic institutional investors constantly account for about two third

11、s of spot trading volume, the futures market is dominated by domestic private individuals. These supposedly unsophisticated investors accounted for 75?80% of annual futures trading volume between 1998 and 2004. However,

12、a change in mutual fund regulation in the fall of 2004 triggered a co</p><p>　　Our empirical investigation uses a vector error correction model with a multivariate DCC-GARCH extension VECM-DCC-GARCH. This se

13、tup allows us to jointly analyze lead?lag relationships in returns, volatility transmission, and conditional correlation between the two markets. We find that under the dominance of presumably unsophisticated individual

14、investors in the futures market, price discovery occurs mainly in the spot market, which is dominated by foreign and domestic institutional investors. B</p><p>　　Private investors are often perceived as less

15、 sophisticated, whereas informed trading is usually attributed to professional institutional investors. Therefore, the observed change in the investor structure of the futures market, i.e. the initial dominance of presum

16、ably uninformed individual investors and the rise in institutional trading after 2005 provides a promising setting for an investigation of price discovery and investor structure. </p><p>　　CONCLUSIONS </p

17、><p>　　Previous literature has extensively analyzed price discovery and lead? lag relationships between stock index futures and spot markets for example, Boothet al., 1999; Chou & Chung, 2006; Covrig et al.

18、, 2004; Gaul & Theissen,2008; Stoll & Whaley, 1990; Wahab & Lashgari, 1993. There is a widespread evidence that futures trading contributes to price discovery and thus to the efficiency of stock markets. It i

19、s important to notice that most of the markets under investigation in existing studies are si</p><p>　　股指期貨中的投資者結(jié)構(gòu)與價(jià)格發(fā)現(xiàn)</p><p>　　MARTIN T. BOHL* CHRISTIAN A. SALM MICHAEL SCHUPPLI </p>&l

20、t;p>　　過去的文獻(xiàn)中對在股指期貨中的價(jià)格發(fā)現(xiàn)和現(xiàn)貨市場中忽視了不同投資者群體的作用。隨著時(shí)間的推移,這項(xiàng)研究涉及的時(shí)間變量的期貨在期貨市場的投資者結(jié)構(gòu)中以VECM-DCC-GARCH模型的框架內(nèi)一個(gè)向量誤差修正模型研究。實(shí)證研究結(jié)果表明,據(jù)推測在不知情的個(gè)人投資者中,優(yōu)勢期貨市場不利于價(jià)格發(fā)現(xiàn)。與此相反有證據(jù)表明從信息流向期貨現(xiàn)貨市場和顯著增進(jìn)兩地市場的條件相關(guān)投資者的份額,交易量增加。我們得到了一個(gè)有新意的新興期貨市場。20

21、10 Wiley Periodicals, Inc. Jrl Fut Mark </p><p><b>　　簡介 </b></p><p>　　由于股指期貨交易的推出,作者一直致力于研究指數(shù)期貨的交易是否有利于在價(jià)格發(fā)現(xiàn)方面效率的基礎(chǔ)股票市場上的問題。在無摩擦的市場,在有新信息出現(xiàn)的同時(shí),應(yīng)被扣押在期貨和現(xiàn)貨價(jià)格中。但在現(xiàn)實(shí)中,期貨市場可能納入由于其固有的杠桿作用,

22、低交易成本,以及缺乏限制比整個(gè)現(xiàn)貨市場的信息更有效地新興市場。大量文獻(xiàn)證實(shí),期貨機(jī)構(gòu)在尋找成熟的市場,股指期貨通常會導(dǎo)致現(xiàn)貨市??場,這意味著一個(gè)發(fā)現(xiàn)價(jià)格的很大一部分需要在期貨市場上才能有所顯示,例如在美國(Chou & Chung, 2006; Hasbrouck, 2003; Koutmos & Tucker, 1996; Pizzi, Economopoulos, & O’Neill, 1998; Stol

23、l & Whaley, 1990; Wahab & Lashgari, 1993),英國(Tse, 1999; Brooks, Rew, & Ritson, 2001,日本 Covrig, Ding, & Low, 2004; Iihara, Kato, & Tokunaga, 1996,或者德國Booth, So, & Tse, 1999; Gaul & </p>

24、<p>　　因此,根據(jù)以往文獻(xiàn)研究為主的期貨市場是典型由機(jī)構(gòu)投資者市場。在金融文獻(xiàn)中,機(jī)構(gòu)投資者通常推定為消息靈通的,理性的投資者,而個(gè)人投資者會看作是無知或偏見的情緒和以行為為導(dǎo)向的投資者。大量的實(shí)證文獻(xiàn)中的機(jī)構(gòu)和個(gè)人買賣交易支持這一觀點(diǎn)。個(gè)人投資者由于有限的信息處理能力,基于引人注目的事情來決定自己的選擇(Barber & Odean, 2008; Seasholes & Wu, 2007)。此外,個(gè)人投資

25、者容易產(chǎn)生行為偏差。例如,他們可能會表現(xiàn)出受到整體大盤的影響(Dhar & Zhu, 2006; Kim & Nofsinger, 2007; Odean, 1998)。因?yàn)樗麄兊臎Q策是情緒驅(qū)動的,會有個(gè)人的“傻瓜”行為的投資者,當(dāng)投資證券投資基金(Frazzini & Lamont, 2008)或購買股票。因此,他們失去的買賣機(jī)會會比機(jī)構(gòu)投資者更復(fù)雜(Barber, Lee, Liu, & Odean,

26、 2009; Grinblatt & Keloharju, 2000)。機(jī)構(gòu)一致認(rèn)為機(jī)構(gòu)投資者知情情況優(yōu)于個(gè)人的概念,Nofsinger and Sias (1999年)之間找到一個(gè)能積極的</p><p>　　我們調(diào)查樣本是能提供一個(gè)獨(dú)特的投資者結(jié)構(gòu)的波蘭WIG20指數(shù)期貨市場。雖然國外和國內(nèi)機(jī)構(gòu)投資者約占了三分之二個(gè)現(xiàn)貨交易量,但期貨市場主要由國內(nèi)的個(gè)人投資者。這些所謂不成熟的投資者從1998年到20

27、04年約占了75-80%的年期貨交易量。然而在2004年秋天共同基金的變化,引發(fā)了監(jiān)管機(jī)構(gòu)大量增加股票指數(shù)期貨交易,造成了個(gè)人投資者的份額下降到2008年的53%。這次在期貨市場投資者結(jié)構(gòu)的轉(zhuǎn)變?yōu)槲覀儗ν顿Y者群體不斷變化的市場中價(jià)格發(fā)現(xiàn)功能的實(shí)證提供了有關(guān)證據(jù)。 </p><p>　　我們的實(shí)證調(diào)查是使用帶有一個(gè)向量誤差修正模型的多元DCC - GARCH模型擴(kuò)展(VECM ? DCC - GARCH模型)。這種

28、設(shè)置可以讓我們分析股指期貨市場的回報(bào)關(guān)系、波動性傳播超前滯后關(guān)系和兩個(gè)市場之間的相關(guān)性。我們發(fā)現(xiàn),在優(yōu)勢還不成熟的個(gè)人投資者期貨市場,價(jià)格發(fā)現(xiàn)主要發(fā)生在現(xiàn)貨市場,主要原因是因?yàn)楝F(xiàn)貨市場由國外和國內(nèi)機(jī)構(gòu)投資者為主體。相比之下,生長在期貨市場的機(jī)構(gòu)投資者的影響在后來的期間恰逢加強(qiáng)信息流量期貨現(xiàn)貨價(jià)格在糾錯(cuò)和波動溢出效應(yīng)方面。此外,有條件的期貨和現(xiàn)貨之間的相關(guān)性明顯高于機(jī)構(gòu)交易后的值。這些發(fā)現(xiàn)為監(jiān)管機(jī)構(gòu)的利益在新興市場,決定引入或??不引入股

29、指期貨的決定。我們的期貨交易研究結(jié)果顯示,從提高效率的預(yù)期來看取決于成熟的市場參與者。允許告知制度投資者買賣期貨合約可能從這個(gè)新興市場提高價(jià)格信號質(zhì)量。這將使期貨交易執(zhí)行理想的價(jià)格發(fā)現(xiàn)功能。 </p><p>　　圖1 隨著時(shí)間的推移WIG20現(xiàn)貨和期貨市場投資者群體的交易量。 </p><p>　　私人投資者往往被看作是不太復(fù)雜,而知情交易通常被認(rèn)為是專業(yè)的機(jī)構(gòu)投資者。因此,在期貨市場投

30、資者結(jié)構(gòu)的變化觀察中,即不知情的個(gè)人投資者的初始在2005年之后為調(diào)查的價(jià)格發(fā)現(xiàn)和投資者構(gòu)成在機(jī)構(gòu)交易提供了一個(gè)有前途的愿景。 </p><p><b>　　結(jié)論 </b></p><p>　　過去的文獻(xiàn)已經(jīng)廣泛的分析了價(jià)格發(fā)現(xiàn)和超前滯后關(guān)系下的股價(jià)指數(shù)期貨和現(xiàn)貨市場表現(xiàn)(例如,Boothet al., 1999; Chou & Chung, 2006; Co

31、vrig et al., 2004; Gaul & Theissen,2008; Stoll & Whaley, 1990; Wahab & Lashgari, 1993)。有一種普遍的證據(jù)表明,期貨交易有助于價(jià)格發(fā)現(xiàn),從而增加了股票市場的效率。重要的是我們要看到,大部分的市場的現(xiàn)有的研究調(diào)查因?yàn)橥顿Y者結(jié)構(gòu)類似而存在相似性。在大多數(shù)情況下,期貨市場的特點(diǎn)是高市場交易份額。事實(shí)上,以前的文獻(xiàn)忽視了潛在投資者結(jié)構(gòu)的影

32、響,特別是以占主導(dǎo)地位的個(gè)人投資者在相對價(jià)格發(fā)現(xiàn)股指期貨市場和現(xiàn)貨市場作出的貢獻(xiàn)。本研究旨在填補(bǔ)這一空白,我們之間的信息流研究了波蘭藍(lán)籌股指數(shù)WIG20及其在買賣期貨市場的華沙證券交易所,并且涉及到了我們的結(jié)果的變化的投資者結(jié)構(gòu)期貨市場。在1998-2004年期間,大概是不了解情況私人投資者約占期貨交易量的80%。對于此樣本期間,我們發(fā)現(xiàn)價(jià)格發(fā)現(xiàn)主要發(fā)生在現(xiàn)貨市場上,而在期貨市場的貢獻(xiàn)率仍然相當(dāng)?shù)汀?2005-2</p>