Empirical analysis of technical trading behaviour, margin trading, and market reaction to news in futures market

摘要

This thesis comprises three chapters. It focuses on a unique dataset of the full trans-\udaction records of traders in the Chinese futures market. Empirical techniques are\udused to analyse technical trading behaviour, margin trading, and market reactions\udto news in this market. Chapter 1, “Technical Trading Behaviour: Evidence from\udChinese Futures Market", creates a new computational method to capture technical\udtrading behaviour and finds technical trader's strategies can be classified in to 11\udgroups in Chinese rebar futures market. We use a simple model with macroeconomic news to filter pure technical traders from the unique data. Based on the estimation\udof 81000 technical trading rules, we find the potential technical strategies of each\udtrader and we use K-means clustering algorithm to classify them. The coordinates\udof each cluster summarize the technical trading characteristics of members in each\udgroup. High percentage of traders in each group would apply the similar and corres-\udponding strategies; Chapter 2, “Margin Trading: Hedonic Returns and Real Losses",\udfocus on margin trading in the Chinese rebar futures market. We find market parti-\udcipants have a positive chance of a large gain and a large chance of a small limited\udloss under the mechanism. This kind of hedonic returns looks like that of people\udwho play in a casino or buy lottery tickets. According to the unique dataset, we\udshow that both expected and observed losses are substantial and that the optimal\udportfolio never contains rebar futures. Based on the analysis of traders' behaviour,\udwe indicate that it is hard to rationalise their trading without a hedonic motive.\udTheir trading behaviour can be easily understood as form of entertainment, such as\udgambling; Chapter 3, “The Influence of Scheduled Macroeconomic Announcements\udon the Futures Market: Evidence from Commodity Futures in China", is a com-\udprehensive empirical analysis of the overall Chinese futures market, which covers\ud23 commodities futures to observe the relationship between futures and scheduled\udmacroeconomic news. We find the scheduled news affect commodity futures around\ud20 days before the announcements date and the following adjustment needs several\uddays around the announcement date to be absorbed. Different kinds of commodities\udfutures have different sensitivity levels to the scheduled news and this sensitivity\uddoes not depend on the trading activity. We also indicate the influence of scheduled\udnews can happen in any stages of a business cycle. We finally use 36070 traders in\udthe unique data to prove that market participants cannot make excess returns by\udfollowing macroeconomics news in Chinese futures market.