An empirical study of the relationship between the amount of the difference between long and short positions in the main contract and futures prices

摘要

This paper selects Zhengzhou cotton futures as the object of study, applies VAR model to research the predictive relationship between the amount of the difference between long and short positions in the main contract and futures prices. The results show that VAR model can fit the correlation of the amount of the difference between long and short positions in the main contract and futures prices, and Granger causality test results indicate that the amount of the difference between long and short positions in the main contract is a significant impact on futures prices, but it does not show futures prices are significant Granger causality on the amount of the difference between long and short positions in the main contract. According to Granger results, you can see that the amount of the difference between long and short positions in the main contract has a strong following impact on futures prices, the movement of the amount of the difference between long and short positions in the main contract will lead to follow-up movement of futures prices in lag six and lag seven periods in the opposite direction. Investors can adjust the investment strategy based on the results of this study.