Research On The Heterogeneous Participants And The Quality Of Futures Markets

With the development of transaction technology,the internet and the trend of securitization of the entire national economy,the basic functions of the futures market are no longer purely shelters for hedging and providing risk management and hedging instruments,but also the ease of transactions and the diversification of needs.Factors lead to the prevalence of speculation in the futures market.Against this background,futures market speculation has gradually evolved into a market function beyond the necessary liquidity support in satisfying the role of hedging and price discovery,and the futures contract has been transformed into an investment product.Futures market participants have heterogeneity due to their different objectives and strategies,transaction costs and transaction constraints.For example,hedging targets risk transfer,delivery motives point to hedgers rather than speculators,and regulators impose hedging positions and hedge limits on hedging and speculation.The heterogeneity of market participants leads the futures market price to fluctuate around the theoretical price.For a long time,the opinion of the general public on speculation has always held a derogatory tone,even vocal opposition.However,speculation itself is heterogeneous.Therefore,this paper creatively studies the relationship between heterogeneous participants in the futures market and the quality of the market through theoretical models and empirical studies from three aspects: the heterogeneity of the speculators,the heterogeneity of the delivery methods and the heterogeneity of the transaction mechanism.First,the heterogeneity of speculators.On the one hand,according to the speculator's trading strategy,the speculative behavior is divided into intraday speculation,mid-term speculation and long-term speculation.This paper constructs the theoretical model of heterogeneous traders in the futures market and uses the data of China's commodity futures and stock index futures to empirically study the effects of different heterogeneous speculators on the quality of the futures market.On the other hand,taking into account whether speculators will manipulate the market price,speculation is divided into manipulative speculation and competitive speculation.This paper constructs a theoretical model of futures market manipulation and uses the data of China's commodity futures to empirically study the influence of manipulative speculation on the futures market quality.Second,the heterogeneity of delivery methods.This paper constructs a theoretical model of futures market manipulation with different delivery methods(physical delivery and cash delivery),studies the differentiated impact of manipulation speculation on market quality under different underlying asset spot markets characteristics,and empirically studies the effects of manipulation speculation on futures market qualityThird,the heterogeneity of trading mechanisms.Based on the heterogeneity of trading constraints between different traders,this paper constructs a theoretical model of futures market manipulation under the asymmetric trading mechanism and uses the data of China's commodity futures to empirically study the impact of heterogenous position constraints and transaction costs between different traders on market quality.The theoretical model and the empirical study found that: First,different types of speculation have different effects on market volatility.The speculation on the day will always increase market volatility.The impact of value speculation on the market volatility is related to the futures delivery mode and the demand and supply characteristics of the spot market.Second,in the futures market,the manipulation behavior will distort and aggravate the futures and spot prices,exacerbate the market volatility,damage to the futures market price discovery,bring the welfare loss to the market participant,and the degree of these influence degree are related to the supply and demand characteristic of the underlying assets;Third,the asymmetric transaction mechanism existence will increase the probabiltity of manipulative behavior to occur,and the manipulative behavior always had a negative impact on the market.In summary,the regulatory authorities need to take into account the heterogeneity of participants to improve the quality of the futures market,considering the heterogeneity of speculation,the heterogeneity of the delivery method and the heterogeneity of the trading mechanism on the market quality into the development process of regulatory policy.In addition,for different futures varieties,the regulatory authorities need to take into consideration the supply and demand characteristics of the underlying asset during the policy making process,so as to realize sub-traders,sub-categories and sub-types of supervision.In particular,regulatory measures targeting speculation should not be applied on a one-size-fits-all basis and should be treated as differently as possible from speculative heterogeneity,in order to avoid unanticipated market effects of regulatory measures to prevent risky incidents.