关键词: 持仓额,预测能力,信息含量

Abstract: The subject of this paper is to study whether the total futures market positioning has the ability to predict the financial asset prices, as well as what information the market positioning has reflected and implied. Based on China’s commodities futures market data, this paper conducts a study by constructing the growth rate factors of market positioning. The results indicate that the total market positioning factor has a significant ability to predict the yield rate of commodity futures, the excess return of bonds and the short-term interest rate. However, the market positioning factor of the single commodity market is weaker in this ability; and the stronger the speculativeness of the commodity futures is, the more intense the degree of noise influence on the predictive ability of market positioning factors will be. Meanwhile, the predictive ability of market positioning factors may be derived from the market speculative factors (expressed by the ratio of trading volume and positions), basis, inflation factor and expectation factor; and the market speculative factor is the key one.

Key words: market positioning; predicting ability; information content