| With transformation of industrial structure and deepening reform of financial market,the variety and participants' structure of commodity futures market in China present diversification and complexity.Attracted by the leveraged trading of futures,a large number of speculative traders flocked to the commodity futures market,and the impact of their participation on the market will be transmitted to the hedgers through price fluctuations.Therefore,from both the perspective of government regulation and market development,it is important to study the relationship between speculative forces and market volatility and reveal the relative strength of these two types of investors in the market.Long-term data in six commodity futures(RB.SHF,AL.SHF,ZN.SHF,CU.SHF,AG.SHF,and RU.SHF)are studied in this paper,from Jan.2013 to Jul.2018,so as to discuss the different behaviors of the both speculators and hedgers through the change of daily position.The volatility of futures price is measured in three methods,that is the interval income volatility of the futures price,the OHLC volatility and RV based on the intraday five minute high-frequency.Besides,in order to seek for the micro relationship between intraday fluctuation and position,the ARIMA model is used to further decompose the daily speculation,the change of the holding capacity and the change of the net order into the predictable part and the unpredictable part.The study finds that the model's interpretation of volatility is significantly enhanced after adding the classified account position data,and in the long-term measurement,the proportion of speculative positionshad a significant positive impact on the volatility;the regression model based on the high-frequency volatility found the unpredictable part of speculative positions has a significant positive correlation with volatility,which means that relation between changes in speculative positions and volatility mainly lies on the non-historical information of current position changes. |
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