期貨交易人集中度，避險壓力與風險溢酬分析

Traders' Concentration, Hedging Pressure, and Risk Premium in Futures Markets

10.6656/MR.202307_42(3).CNI002

劉家宏(Chia-Hung Liu)；陳佑倫(Yu-Lun Chen)；鍾明希(Min-Hsi Chung)；張雅凱(Ya-Kai Chang)

期貨 ； 集中度 ； 風險溢酬 ； 避險壓力 ； Futures ； Concentration ； Risk premium ； Hedging pressure

管理評論

42卷3期（2023 / 07 / 01）

17 - 36

繁體中文;英文

研究目的：本文的研究目的是在探討2010年至2018年美國期貨市場的風險溢酬與交易人集中度之關係，過去文獻對期貨風險溢酬的衡量著重在避險者的避險行為。研究設計／方法：本研究提供新的衡量指標，以交易人集中度衡量期貨市場上交易人握有的資訊含量多寡。研究結果：第一，交易人集中度不但對許多期貨商品皆能解釋其價格變化，而且與避險壓力互不衝突，證明交易人集中度與避險壓力在衡量期貨風險溢酬時同時存在。第二，交易人集中度與避險壓力指標對期貨風險溢酬沒有短期的影響，隨著計算期間的拉長，兩項指標對期貨風險溢酬的解釋能力會有所增加。研究限制／啟發：交易人集中度並無區分本業與非本業交易人類型，因此最大交易人可能是歸類在本業也可能是非本業類別。理論／實務／社會意涵：交易人集中度提供了另一種解釋期貨風險溢酬的指標，有些無法以避險壓力解釋的期貨商品，可以透過交易人集中度預測期貨風險溢酬的變化。創見／價值：對於市場投資人在設定期貨投資策略，與政策制定者設立交易規則，以防止市場操縱，將提供許多實質幫助，也有利期貨市場建立一個更有效率、更加公平的交易環境。

Purpose - This study explores the relationship between market concentration and risk premiums in the U.S. futures markets from 2010 to 2018. When studying the determinants of risk premiums in futures markets, existing literature focuses mainly on the risk-averse behavior of hedgers. Design/methodology/approach - This study provides a new measure of market concentration, which measures the amount of information content held by traders in futures markets. Findings - 1. Market concentration and hedging pressure coexist in explaining the determinants of risk premiums in various futures markets. 2. Market concentration and hedging pressures have no short-term impact on futures risk premiums. As the holding period increases, the impact of market concentration and hedging pressures on futures risk premiums will increase. Research limitations/implications - Market concentration does not distinguish between commercial and non-commercial traders, so the largest traders may be classified as either commercial or non-commercial traders. Practical implications/Social implications - Market concentration provides an alternative measure of risk premiums in the futures markets. For some futures products that cannot be explained by hedging pressure, changes in risk premiums can be predicted through market concentration. Originality/value - This study will provide a lot of practical help for market investors who set up investment strategies and policymakers who establish trading rules to prevent market manipulation, thereby helping establish a more efficient and fair trading environment in futures markets.

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