期货市场与现货市场之间的价格研究--中国农产品市场的经验

本文借助于信息共享模型与波动溢出效应模型对我国大豆和小麦的期、现货市场之间的价格发现进行了多层次的实证研究,定量描述了期、现货市场在价格发现中作用的大小,深入刻画了我国农产品期、现货市场之间的动态关系.研究结果显示:大豆期、现货价格之间存在双向引导关系,小麦仅存在期货对现货的单向引导关系;期、现货市场均扮演着重要的价格发现角色,且期货市场在价格发现中处于主导地位;期、现货市场之间均存在双向波动溢出关系,但现货市场来自期货市场的波动溢出效应均强于期货市场来自现货市场的波动溢出效应;并且,随着期货市场的发展,期、现货市场之间的波动溢出程度均呈逐渐增强态势.     

碳排放权交易市场的信息流动关系——基于EUA市场和CER市场的实证研究

基于Granger因果关系检验方法和MGARCH-BEKK模型,从报酬溢出和波动溢出的角度,研究国际碳排放权交易市场中的主要商品———EUAs和sCERs各自的期货价格与现货价格之间以及两者的期货价格之间的信息流动关系。结果表明:两个市场的现货市场始终都处于价格信息中心,期货市场的价格发现功能较弱甚至未体现;信息波动溢出方面,EUA市场中期货市场处于波动信息中心,而CER市场中现货市场处于波动信息中心;EUA的期货市场与CER的期货市场之间存在相互的价格溢出效应与波动溢出效应,但EUA市场的期货价格对CER市场具有更大的波动溢出效应。     

Information Transmission Between NSE50 Spot and Derivative Platforms in India: An Empirical Study

In this study, we examine the information transmission process between spot, futures and options segments for the NIFTY 50 index. The data is used from 2003 to 2013. Empirical results show that the spot market leads the price discovery process followed by the futures market and then the options market. The spot market again leads in the volatility spillover process while options dominate the futures contracts. There is a univariate skewness spillover from spot as well as futures to the options platform. Further, long term bidirectional kurtosis spillover is observed between spot and futures with former playing a more dominant role.

     

A frequency domain causality investigation between futures and spot prices of Indian commodity markets

This paper examines the direction, strength and extent of causal relationship between futures and spot prices of Indian commodity markets using frequency domain approach of Breitung and Candelon (2006). Frequency domain analysis offers an effective alternative tool by examining the causality in frequency domain, whereas in traditional econometric causality analysis tools focus only on the time domain. Daily futures and spot price series on eight commodities from the Indian commodity exchanges (MCX and NCDEX) were examined for the period 3rd January, 2008 to 31st December, 2012. The results of frequency domain analysis suggest that there is a strong uni-directional relationship from futures to spot in almost all the selected commodities. This indicates that futures market has a powerful price discovery function in all the selected commodities; which in turn indicates the efficiency of Indian commodity futures market.     

中国棉花期货和现货市场的价格关系研究

期货市场和现货市场之间的价格发现功能一直是监管部门和投资者十分关心的问题。本文借助信息共享模型、脉冲响应函数和方差分解等方法,对中国棉花的期、现货市场间的价格关系进行实证研究,定量刻划了期、现货市场在价格发现中的作用。研究结果表明:棉花期、现货价格之间存在显著的双向引导关系;二者存在长期均衡关系;期、现货市场都扮演重要的价格发现角色,期货市场在价格发现中处于主导地位。     

期货价格收益率与波动性的实证研究——以中国上海与英国伦敦为例

采用协整模型、Granger因果关系检验、ECM模型及几种GARCH模型对中国上海与英国伦敦金属期货价格收益率和波动性做了研究.发现两市期货价格之间存在Granger因果关系、协整关系、同向变动关系和长期的共同趋势.采用ECM模型研究了两市的短期波动差异.GARCH类模型研究发现,两市波动性存在非对称性、溢出效应、杠杆效应.上海对伦敦市场的单向溢出效应显著存在.两市存在的利空消息均大于利多消息的作用,伦敦期货市场风险大于上海期货市场风险.     

沪铜期货市场价格发现的动态贡献——基于状态空间模型的实证研究

商品期货价格与现货价格的相互关系一直是学术界研究的热点,但大都基于静态的模型。本文从期货定价的持有成本理论出发,通过误差修正方程构建状态空间模型,利用卡尔曼滤波算法从动态的角度研究了2004-2012年期间我国沪铜期货市场价格发现的贡献。实证结果显示:2004-2012年,我国沪铜期货市场价格发现的贡献随着时间的变化而变化。2004-2008年逐步增强;2008年金融危机后,逐步下滑,到2010年,落后于现货市场;之后又有回升趋势。总体来看,沪铜期货市场在价格发现中处于主导地位,但具有明显的波动性。     

Time‐Varying Spot and Futures Oil Price Dynamics

In this paper, we investigate the role of crude oil spot and futures prices in the process of price discovery by using daily data over the period from January 1992 to September 2012. We provide evidence that futures markets play a more important role than spot markets, but their relative contributions turn out to be highly unstable, especially for the most deferred contracts. Furthermore, considering the time‐varying dynamics provides evidence of a smaller role for futures markets and a greater role for fundamental factors in driving oil prices during the global financial turmoil of 2007–2008. The implications of the main results for hedging and forecasting crude oil spot prices are also discussed.     

Financial frictions and the futures pricing puzzle

In perfect capital markets, the futures price of an asset should be an unbiased forecast of its realized spot price when the contract matures. In reality, futures prices are often higher for some assets and lower for others. However, there is no stability in the relationship between futures prices and the realized spot prices. This instability has been a puzzle in the existing financial literature. The key to this puzzle may lie in the nature of the model and the lack of market imperfections. In this study, we take a theoretical approach in a dynamic multi-period environment. We incorporate competition between disparate economic agents and impose financial frictions (i.e., imperfections) that are in the form of hedging and borrowing limits on them. Our model gives rise to multiple equilibria, each with unique market clearing prices, with the market switching between these equilibria. Our analysis incorporates a comprehensive consideration of the risks faced by the futures markets participants (i.e., speculators and hedgers) and leads to a better understanding of the puzzle.     

Cointegration and price discovery in US corn cash and futures markets

Using prices from 182 cash markets from seven states and the Chicago Board of Trade futures, we investigate cointegration and price discovery for corn. Analysis based on cash–futures pairs reveals that cointegration holds for 52 cash markets and failures tend to happen farther away from futures delivery locations. Cash generally are as important as futures prices as information sources in the long run and cash to futures information flow is most likely in the short run. Contributions to price discovery also are measured quantitatively for cointegrated cases. Analysis based on state-level cash prices indicates bidirectional information flow between cash and futures prices under a bivariate model, and futures to cash information flow under the octavariate model with all cash and the futures series. Comparisons of the two models show that including local cash markets in a price relationship model highlights cointegration and the futures’ price discovery role and could benefit cash price forecasting. Finally, evidence of nonlinear causality is found.     

The linkages,persistence, asymmetry in the volatility,the price discovery and efficiency,and the effect of the US subprime mortgage financial crisis on the spot and the futures market’s returns: the case of India

This article examines the effects of persistence, asymmetry and the US subprime mortgage crisis on the volatility of the returns and also the price discovery, efficiency and the linkages and causality between the spot and futures volatility by using various classes of the ARCH and GARCH models, and through the Granger’s causality. We have used two indices: one for spot and the other for futures, for the daily data from 12 June 2000 to 30 September 2013 from Nifty stock indices. We have then tested for ARCH effects, and subsequently employed various models of the ARCH and GARCH conditional volatility. The GARCH(1,1) model is found to be significant, and it implies that the returns are not autocorrelated and have ‘short memory’. It supports the hypothesis of the efficiency of the markets. The negative ‘news’ has more significant effect on volatility, corroborating the ‘leverage impact’ in finance on market volatility. We have also tested the volatility spillover effects. The two methods we employed support the spillover effects and the causality is bidirectional. We also have used the dummy variable for the US subprime mortgage financial crisis and found that they are statistically significant. Indian stock market is thus integrated to the world stock markets.     

FUTURES MARKET EFFICIENCY,THE UNBIASEDNESS HYPOTHESIS AND VARIANCE-BOUNDS TESTS: THE CASE OF THE FTSE-100 FUTURES CONTRACT*

The efficiency of futures markets is critical to their price discovery role. This paper investigates the joint hypothesis of market efficiency and unbiasedness of futures prices for the FTSE-100 stock index futures contract. Unlike previous studies, it tests for both long-run and short-run efficiency using cointegration and error correction models. Variance-bounds tests are developed and utilized for examining the question of efficiency. Results show that the market is efficient and provides an unbiased estimate of future spot prices for one and two months away from expiration. However, for three and more months away from expiration this is not the case, which has implications for the users of this market.     

Information Linkages between Chinese and World Copper Futures Markets

In this paper, we examine the price discovery process and volatility spillover effects in informationally linked futures markets. Using synchronous trading information from the Shanghai Futures Exchange (SHFE), the New York Mercantile Exchange (NYMEX), and the London Metal Exchange (LME) for copper futures from 2000 to 2012, we show that the cointegration relationships of these futures markets changed during 2006–2008. The results indicate that there is a bidirectional relationship in terms of price and volatility spillovers between the LME and NYMEX and the SHFE, with a stronger effect from the LME and NYMEX to the SHFE (versus the effect from the SHFE to the LME and NYMEX) prior to 2006. Our results also highlight the increasingly prominent role of the SHFE in the price formation process and cross-volatility spillover effects since 2008. Finally, we show that volatility spillover has important implications for constructing optimized portfolios for copper investors.     

Introducing the mini-futures contract on Ibex 35: implications for price discovery and volatility transmission

This paper analyzes the effects of the introduction of the mini-futures contract in the Spanish stock index futures market. The objective of the paper is twofold: (a) to analyze the potential destabilizing effect of the mini futures trading activity on the distribution of spot returns, and (b) to test whether the mini futures contract significantly contributes to the price discovery process. A non-parametric approach is used to estimate the density function of spot return conditional to both spot and futures trading volume. Empirical findings using 15-min intraday data reveal that the mini futures trading activity enhances the price discovery function of the derivative market and does not destabilize spot prices. A preliminary version of this paper has been previously published as a working paper of the Instituto Valenciano de Investigaciones Económicas, WP-EC 2004-13. M. Illueca and Juan A. Lafuente acknowledge financial support from Spanish ministry of Science and Technology through grants SEJ-2005-02776, and both SEJ2006-14354 and BEC-2003-03965, respectively.     

Non-storables, Simultaneity and Price Determination: The Australian (Finished) Live Cattle Market

Empirical studies of simultaneous rational expectations (RE) models of spot and futures markets for non-storable commodities, such as finished live cattle, are rare. Indeed, only two countries, the US and Australia, have produced data sets for the study of such markets. This paper develops, and presents estimates of a simultaneous RE model of the live cattle market in Australia, the world's leading beef exporting country. The model contains functional relationships for short hedgers and short speculators, long hedgers and long speculators, and consumers, and is completed with a spot price equation and market clearing identity. Augmented Dickey-Fuller and Phillips-Perron tests for unit roots are executed, and Johansen cointegration tests are employed to investigate whether the I(1) variables are cointegrated. Structural equations are estimated by maximum likelihood when ARCH effects are present, by instrumental variables in the absence of serial correlation, and by non-linear least squares when a correction for autocorrelation is required. The estimates of all structural parameters are significant at the five per cent level. Post-sample, the model forecasts spot and futures prices with per cent RMSE's of 4.4 per cent and 2.5 per cent, respectively. In forecasting the spot price, the model outperforms but not significantly, a random walk, an ARIMA model, and a lagged futures price as a predictor of the spot price. The outcome of this last comparison implies that the efficient markets hypothesis cannot be rejected.     

中国黄金期货与黄金现货价格的实证分析

意旨探索中国黄金现货价格对黄金期货价格形成的作用机制。借助ADL模型和共同因子贡献法进行实证分析,研究了中国黄金期货价格与黄金现货价格的关系。研究表明,中国黄金期货价格与现货价格长期趋势是一致的,但是短期存在比较大的偏差,同时中国黄金期货和现货价格波动率序列之间有较高的依存度。由此中国黄金期货市场已具备一定规避风险的功能。     

The empirical study on price discovery of cornstarch futures market in China

This article aims at exploring the performance of the price discovery function of cornstarch futures market in China. In order to test the stationarity of the cash and futures prices of cornstarch, the augmented Dickey–Fuller test is applied. Both prices are integrated of order one. Then, the Johansen cointegration test is conducted to test the cointegrating relationship between those two prices. Finally, the Granger causality test is performed to observe the direction of causality. The evidence shows that there is a long-run relationship between cash and futures prices and the futures price Granger causes cash price. As a whole, price discovery of cornstarch market in China is present although it is a newly emerged market.     

Price Discovery and Efficiency of Indian Agricultural Commodity Futures Market: An Empirical Investigation

This study examines the price discovery process and relative efficiency of ten most liquid agricultural commodities’ futures contracts, traded on the largest agricultural commodity exchange of India (National Commodity and Derivative Exchange Limited). Three different common factor methodologies—component share method (Gonzalo and Granger in J Bus Econ Stat 13:27–35, 1995), information share method (Hasbrouck in J Financ 50:1175–1199, 1995), and modified information share method (Lien and Shrestha in J Futures Mark 29:377–395, 2009)—have been employed to determine the extent of price discovery contribution by spot and futures markets. The sample consists of daily data for the period from January 1, 2009 to October 20, 2015. Stationarity and Cointegration test results reveal that spot and futures prices are integrated and cointegrated for all commodities. The price discovery results show that the futures market leads the spot market in case of six commodities, i.e., castor seed, coriander, cottonseed oilcake, soy oil, sugarM and turmeric. Whereas, in the case of four commodities (chana (chickpea), guar seed, jeera, and mustard seed), price discovery takes place in the spot market. Therefore, it could be inferred that futures market is more efficient in price discovery of agricultural commodities. Policymakers could use these results to design futures contracts on other commodities or to plan concrete policies to curb speculation without hampering the efficiency of the agricultural commodity derivatives market.

     

Price and volatility dynamics between securitized real estate spot and futures markets

This study is among the first to examine the price, volatility and covariance dynamics between securitized real estate spot and futures markets. It provides a distinctive and yet complementary perspective on the predictability of real estate spot return and spot volatility based on the information from the spot market alone. The results show that for the EPRA/NAREIT Europe index, the spot market tends to lead its futures market in the long run during the sample period, which can be attributed to a rather illiquid real estate futures market in sharp contrast with a voluminous spot market. Furthermore, we find the V-shaped asymmetric effect of the basis on the futures market volatility, which represents the primary channel of strong volatility transmission between securitized real estate spot and futures markets during the whole sample and the post-crisis period. This sheds light on the hedging effectiveness for the REIT index.     

异质信念、投机均衡与农产品期货定价*

农产品期货市场套利并不充分,交易者也不是完全理性的。本文假设农产品期货市场有限套利、交易者异质信念并遵循“经验法则”预期,构建了农产品期货投机均衡定价模型,并认为集中竞价规则下产生的农产品期货价格是由交易者的预期决定的;前期期货价格水平、现货价格和前期期货价格的变动趋势、不同类型交易者的比例结构及其预期模式共同影响农产品期货价格的形成与波动;基本分析法交易者占主导地位的农产品期货市场具有更高的套期保值与价格发现效率。针对中国七种主要农产品期货的实证结果显示,农产品期货投机均衡定价模型对解释中国农产品期货价格的形成与波动是有效的。这意味着在期货行情系统中实时披露现货价格信息,培育和引导交易者运用基本分析法预测期货价格走势,有助于提升农产品期货市场的效率。