An Empirical Research Of The Relationship Between Influential Seats And Commodity Futures Price

The study of Price-Volume Relationship in financial markets has always been regarded as an important method to understand market structure and the form of information dissemination.Three major commodity futures exchanges in China publicize the detailed trading and positions of the top 20 members on both sides of the long and short contracts every day.These members represent the mainstream funds in the market.This paper chooses threaded steel,natural rubber,PTA and corn futures for study.We use the trading information of the top 20 members every day to construct impact index,representing the degree of speculation in trading,in order to identify the"influential seats"in each future market,and explore the correlation between trading behavior of "influential seats" represented by Long-short Imbalance(LSI)and price as well as their information superiority.This paper successively uses linear regression model and VAR model to analyze the relationship between LSI of"influential seats" and prices.The empirical results show that besides the weak influence of "influential seats" in the natural rubber market,LSI of some "influential seats" in the threaded steel,PTA and corn futures markets has a significant impact on the futures prices of the next period.This paper also uses Probit model to analyze the information superiority of "influential seats" compared with other institutions.It is found that some futures companies have significant information superiority in threaded steel and PTA futures markets respectively.The average correct probability of their trading behavior for forecasting the next day's futures price is 4%-7%higher than that of other companies.Finally,based on LSI of "influential seats",this paper constructs CTA strategy.The backtesting results show that the strategy performs well in the threaded steel futures market,which has reference significance for actual investment.