Effects of Auctions Trading Mechanisms on Futures Price Behavior——Empirical Evidence from Soybeans Futures Market in Dalian

摘要

Firstly, the paper analyzes the nature of distributions of returns of the open price generated by call auctions and that of returns of the close price by continuous auctions in Dalian Soybeans Futures Market, and empirically finds: (1) that there are significant differences between the distribution of open-to-open returns and that of close-to-close returns, on average, variance and dispersion of the former are greater than those of the latter, its tail fatter, and its kurtosis thinner; (2) that it is more likely that the open price of soybeans futures violates against the efficient market hypothesis than the close price; (3) that an overshooting effect is more likely in the opening than at the close; (4) that the volatility ratio puzzle (or the variance ratio puzzle) exists in Dalian soybeans futures market. Secondly, the above empirical findings are not simply attributed to auctions trading mechanisms, and made a further explanation from auctions trading mechanisms, and information accumulation and diffusion. Then,the paper aims at the cause of the volatility ratio puzzle, and makes a further empirical analysis using high-frequent data, and finds that trading in the opening has more noises of price than the subsequent one, and that a great deal of information accumulating in non-trading period of the previous night does not spread gradually along with trading, and does diffuse rapidly after the opening. This means that the volatility ratio puzzle in Dalian soybeans futures market is not caused by information accumulation and diffusion, but mainly by auctions trading mechanisms, which indicates auctions trading mechanisms do have the effects on soybeans futures price behavior. Therefore, we suggest that the present close call auctions should be reformed into open call auctions, and the time for call auctions should prolong suitably; and that nighttime electronic trading should be developed as soon as possible and non-trading time should be reduced.