文章基本信息

标题：ANALYSIS ON INFLOWS OF INDEX INVESTORS AND DETERMINANTS OF FUTURES PRICE
本地全文：下载
作者：YONGJI ZHANG ; QINGBIN MENG ; YIN SUN 等
期刊名称：Journal of Theoretical and Applied Information Technology
印刷版ISSN：1992-8645
电子版ISSN：1817-3195
出版年度：2013
卷号：47
期号：1
页码：326-333
出版社：Journal of Theoretical and Applied
摘要：In this paper, based on a description of the four major players of commodity spot and futures markets, we establish a multi-phase equilibrium model of price determination, and then analyze the influence of the entry of a large number of index investors on the risk premium, inventory management, and different traders� positions of commodity futures. The result shows that, the correlation between the stock market and commodity futures markets, the index investors� entering and demanding for commodity spot both are important factors to decide the price of the commodity futures market and the trader behavior. The empirical results also support this view.
关键词：Commodity Future Market; Index Trader; Risk Premium; Position