| After more than 20 years of exploration,China's futures market has developed rapidly.In recent years,China's futures market has gradually stepped into a healthy and stable development track from disorder to order.At present,China's four major futures exchanges have basically covered the main varieties of commodity futures and financial futures.With the increasing scale of market transactions,China has gradually grown into the world's largest agricultural product futures market and the largest commodity futures market,and has maintained a relatively large number of varieties such as nickel,copper,gold,silver,screw steel,power coal and stock index futures High international influence.At present,the academia has put the impact of information on the stock market into the research perspective.The biggest difference between futures and stocks is that the duration of futures contracts is limited,so when analyzing the impact of news information on commodity futures prices,it is bound to add the consideration of maturity.This paper focuses on the analysis of commodity futures trading and the relationship between price information sensitivity and maturity,and then explores the time trajectory of relevant indicators in the contract life cycle.Based on the above,this paper uses the tools of web crawler,emotion analysis and measurement software to carry out an exploratory quantitative research on price information sensitivity: first,the fixed effect panel data model is used to study the maturity mode of futures contract trading under the influence of multiple market factors;second,by crawling the futures news information of Dongfang fortune,the paper studies the futures market in the future On the basis of price volume relationship,the paper studies the relationship between price news information sensitivity and maturity time of futures contract directly;thirdly,it constructs PTM peak index,analyzes the leading lag relationship among trading volume,position and sensitivity peak respectively,and tests whether there is maturity effect in China's commodity futures market.The empirical results show that,firstly,the trading volume and positions of copper,screw steel,soybean meal and cotton are all quadratic function with the time of maturity.Secondly,from the perspective of dynamic evolution,this paper observes that the price news sensitivity and maturity time of four commodity futures,except methanol,show an inverted U-shaped relationship,and the daily news flow and information content of the underlying assets of futures contracts are significantly related to the daily closing price of futures.Finally,through the horizontal comparison,we find that the sensitivity of commodity futures to trading activities is different: the price information sensitivity of copper futures and screw steel futures lags behind the index of trading activities,while the price information sensitivity of agricultural products futures and methanol futures is relatively leading.In addition,the maturity effect of commodity futures is not obvious in China,and the sensitivity model in China is not inclined to maturity,that is,the contract at the peak of sensitivity may have higher volatility.On the whole,the spot price,market information and trading situation will affect the volatility of futures price,so investors can better determine which contracts are more likely to generate higher volatility through this method.This will help enterprises to analyze the external market environment and avoid losses due to large price fluctuations in the hedging process,so as to provide relevant reference for the trend of commodity futures contract related indicators and arbitrage in the contract cycle. |
PDF Full Text Request