大豆期货与现货市场价格传导的中美比较

本文利用相关性、Johansen协整检验、误差修正模型检验、Granger因果检验以及Hasbrouck方差分解等方法从多角度实证分析了中国大豆期货市场与现货市场价格传导,并与美国大豆市场进行了比较。结果表明：中国期货市场与现货市场相关性较大,但低于美国大豆市场;期货市场和现货市场之间存在显著的长期均衡关系,这与美国大豆市场表现一致;期货市场和现货市场均存在误差校正机制,怛中国期货市场和现货市场价格在偏离两者的长期均衡关系重新回到原有均衡关系的调整速度低干美国大豆市场;中美两国期货市场与现货市场均相互引导,但中国大豆市场上期货市场的引导作用大干现货市场,而美国大豆市场上现货市场的引导作用大于期货市场。     

中美棉花期现货市场价格之间传导关系的实证分析

本文利用共聚合法、误差修正模型、格兰杰因果检验、方差分解和脉冲响应函数等方法对中美棉花期现货市场价格之间的价格传导关系进行了系统分析。结果表明:中美两国之间棉花期现货市场价格均存在长期的整合关系,但美国棉花期现货市场价格偏离均衡价格时,在短期内较易恢复长期均衡;中美两国棉花期现货市场价格相互引导,中国棉花期货市场价格对美国棉花期货市场价格的传导程度较高;短期内中国棉花现货市场价格对美国和世界棉花价格的传导程度较高,长期内美国棉花现货市场在价格传导中占据主导地位。     

美国汽油期货价格发现功能实证研究及对我国的启示

纽约商业交易所汽油期货是美国发展较为成熟的成品油期货品种之一,其在预测未来汽油价格、指导生产经营和减少价格波动风险方面发挥着重要作用。本文采用Garbade-Silber模型等方法对纽约商业交易所汽油期货价格发现功能进行检验,结果表明:美国汽油期货与现货价格存在长期均衡关系,汽油期货价格引导现货价格,汽油期货的价格发现功能为68%。随着我国成品油定价机制市场化程度的加深以及成品油价格形成机制的不断完善,我国亟需成立成品油期货市场以平抑市场价格波动带来的风险。     

PTA期现价格动态关系实证研究

以郑州期货交易所PTA期货和进口、国产PTA现货为研究对象,利用格兰杰因果检验、协整检验、误差修正模型等方法,分析了我国PTA期货市场与现货市场长期均衡关系和短期动态关联关系。结果表明:国内的现货PTA价格和期货PTA价格是互相引导的;PTA期货价格对现货价格的影响强于现货价格对期货价格的影响;短期来看PTA期货价格与现货价格之间存在协整关系;长期来看PTA期货价格与现货价格保持着长期的均衡关系。以上研究表明,我国PTA期货市场已基本具备市场价格发现功能和一定的价格自我约束机制。     

大连铁矿石期货价格传导关系的实证研究

针对大连铁矿石期货市场价格传导关系,基于协整检验、格兰杰因果关系检验、Garbade-Silber模型、误差修正模型和脉冲响应分析进行实证研究,研究结果表明期货和现货价格满足协整关系,存在误差纠正机制,但偏离长期均衡时调整速度较慢,期货市场对现货市场具有单向引导作用,铁矿石期货有效发挥了价格发现功能。     

股指期货与股指现货市场间的价格发现功能的实证研究

本文利用协整检验、向量误差修正模型以及脉冲响应和方差分解方法,对我国股指期货市场与股指现货市场间的价格发现功能进行了实证研究。研究结果表明,我国股指期货市场与股指现货市场存在长期均衡关系,在价格发现方面,股指现货市场起主导作用,股指现货市场的价格变化能够引导股指期货市场的价格变化。     

中美玉米期货市场功能效率比较

价格发现与套期保值是期货市场的基本功能,能够反映期货市场的运行效率。通过对比中美贸易摩擦前后期货市场的价格发现和套期保值功能,分析中美玉米期货市场效率间的差距,探究我国玉米期货市场运行效率低的原因。利用格兰杰(Granger)因果分析、协整检验、分位信息份额模型、套期保值比率及绩效分析方法,定量对中美两国2013—2019年玉米期货及现货的数据进行分析,结果表明,中国玉米期货市场存在较强的价格发现功能,但套期保值绩效不佳。使用前沿分位信息份额模型和滚动格兰杰因果法分析中美两国期现货市场动态关系的区别,发现中国仅存期货市场对现货市场的单向引导,而美国在中美贸易摩擦前表现为玉米期现货市场具有相近的引导能力,套期保值效率较高,中美贸易摩擦增强了其现货市场对期货市场的引导能力,降低了期货市场运行效率。从期现货市场双向引导关系视角来看,中国玉米期货市场效率低的原因主要是现货市场的信息不完全、发展不完善,期现货市场缺少长期稳定的双向引导关系抑制了期货市场功能发挥。中国应全面加强期货市场建设,提升期货市场定价效率,推动农产品期货市场快速健康发展。     

我国油菜籽期货价格与现货价格关系研究——基于我国油菜籽临储政策取消前后对比

基于2013年～2016年我国油菜籽期货价格与现货价格每日数据,运用ADF检验、协整检验、Granger因果关系检验、脉冲响应函数及方差分解等方法,分析了我国油菜籽临储政策取消前后油菜籽期货价格与现货价格关系的变化情况.研究发现:油菜籽临储政策取消前,我国油菜籽期货价格与现货价格之间不存在相互引导关系;临储政策取消后,我国油菜籽期货价格与现货价格之间存在长期的均衡关系,油菜籽期货价格单向引导油菜籽现货价格,我国油菜籽期货市场逐渐发挥其价格发现功能.最后,为促进我国油菜籽市场更好地发展提出了相关对策建议.     

中外石油期货价格发现功能对比研究

本文采用Garbade-Silber模型和方差分解的方法,从价格引导和长期均衡两个方面,对比研究了美国、英国和中国的石油期货价格发现功能。研究表明:石油期货价格和现货价格存在着长期均衡关系,美国石油期货价格发现功能最强、英国次之、新兴的中国市场最弱。针对我国与发达国家在石油期货价格发现功能上的差距,本文指出我国应从提高期货市场活跃度、创新石油期货品种、打破石油垄断和健全相关法律法规等方面提高我国石油期货市场交易活跃度,更好地发挥期货的价格发现功能。     

我国黄金期货和现货市场价格波动的实证研究

期货市场作为在现货市场上高度组织化和规范化而形成的市场形式,其价格发现的功能起到促进现货市场价格合理完善的作用.2008年1月9号上海期货交易所推出黄金期货合约以来,黄金期货市场已经运行了四年多的时间.本文通过对我国黄金期货市场和现货市场的价格发现机制进行实证检验,分析我国黄金期货市场是否起到对黄金现货市场价格引导和发现的作用.实证结果表明:黄金期货价格和黄金现货价格存在长期协整关系.在短期,黄金现货价格变动对黄金期货价格变动的影响强于期货价格变动对现货价格的影响.我国黄金期货市场运行效率还有待提高,其价格发现功能有待进一步改善.     

The relative efficiency of commodity futures markets

The ability of futures markets to predict subsequent spot prices has been a controversial topic for a number of years. Empirical evidence to date is mixed; for any given market, some studies find evidence of efficiency, others of inefficiency. In part, these apparently conflicting findings reflect differences in the time periods analyzed and the methods chosen for testing. A limitation of existing tests is the classification of markets as either efficient or inefficient with no assessment of the degree to which efficiency is present. This article presents tests for unbiasedness and efficiency across a range of commodity and financial futures markets, using a cointegration methodology, and develops a measure of relative efficiency. In general, the findings suggest that spot and futures prices are cointegrated with a slope coefficient that is close to unity, so that the postulated long-run relationship is accepted. However, there is evidence that the long-run relationship does not hold in the short run; specifically, changes in the spot price are explained by lagged differences in spot and futures prices as well as by the basis. This suggests that market inefficiencies exist in the sense that past information can be used by agents to predict spot price movements. A measure of the relative degree of inefficiency (based on forecast error variances) is then used to compare the performance of different markets. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 413–432, 1999     

Illiquidity transmission from spot to futures markets

We develop a model of illiquidity transmission from spot to futures markets that formalizes the derivative hedge theory of Cho and Engle (1999). The model shows that spot market illiquidity does not translate one to one to the futures market but, rather, interacts with price risk, liquidity risk, and the risk aversion of the market maker. The model's predictions are tested empirically with data from the stock market and markets for single-stock futures and index futures. The results support our model and show that the derivative hedge theory provides an explanation for the liquidity link between spot and futures markets.     

Metal prices made in China? A network analysis of industrial metal futures

In addition to being the world's greatest consumer and producer of industrial metals, China now also features the most actively traded industrial metal futures contracts worldwide. To examine China's role in the global price formation process of industrial metal futures markets, we use a sample of 29 futures contracts traded on exchanges in the United States, the United Kingdom, India, and China. We estimate vector autoregressive models and conduct variance decompositions, which are then visualized in the form of networks. The results indicate that China, despite its role as key actor in both real and financial industrial metal markets, is a price taker.     

A Note: The CSCE cheddar cheese cash and futures price long-term equilibrium relationship revisited

In the early 1990s, after four decades of relying on government mandated minimum price supports and public stockholding to achieve price risk management, the United States dairy industry is undertaking a shift to a market clearing equilibrium system. A potentially important component of this new structure is the development of an operational futures market for selected milk and dairy products. In June of 1993 the Coffee, Sugar, & Cocoa Exchange introduced a contract on Cheddar Cheese. As the production of cheese represents over one third of the use of raw milk in the United States, this contract has the potential of serving as an important price risk management tool. Using unit root and cointegration techniques, Fortenbery and Zapata studied the cheese cash-futures relationship over the period June 1993–July 1995. They reach the conclusion that the cash and futures markets, during the period of their analysis, had not established an economic equilibrium relationship. F&Z raise the important question as to whether the cheddar cheese market is in some sense “slow” to develop or whether there something fundamentally amiss. The work of F&Z provides an important initial step toward understanding the cash–futures relationship. This research revisits the existence of a cointegrating relation using a much longer time period and additional time-series statistical tests. The results of this study suggest that the data support the establishment of an equilibrium relationship in the cheese markets and therefore provide support for the use of the futures market as a price risk management tool by the dairy industry. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 233–244, 1999     

The information flow and market efficiency between the U.S. and Chinese aluminum and copper futures markets

This study examines the information flow and market efficiency between the metallurgical futures markets of the United States and China over a ten‐year span from 1999 to 2009. There were structural breaks in the aluminum and copper futures price series for the New York Mercantile Exchange (NYMEX) and Shanghai Futures Exchange (SHFE) between 2006 and 2008. The New York and Shanghai markets are cointegrated, indicating an equilibrium relationship between the two markets. Trading strategies are implemented to explore the error‐correction process. The overall results show that U.S. and Shanghai futures prices are closely related and both markets are comparably efficient on a daily basis. The U.S. market does not appear to be more efficient than the Chinese market in incorporating information into prices. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark     

Return and volatility transmission between China's and international crude oil futures markets: A first look

We examine return and volatility transmission between the newly established crude oil futures in China and international major crude oil futures markets using intraday data. For the first time, we document evidence for cointegration relationships among these oil futures markets. Both China's and Oman's oil futures markets react to deviations from their long-run equilibrium with West Texas Intermediate and Brent oil futures. There is also new evidence for asymmetric volatilities and correlations across these oil futures markets. Furthermore, the Chinese oil futures have stronger linkages with the international major futures markets than Oman futures.     

双循环新发展格局下农产品市场整合关系异质性研究：新结构经济学视角

在双循环新发展格局的背景下，文章以新结构经济学理论为指导，选取中国苹果优势主产区现货市场和期货市场数据，运用可解决内生性问题的自回归分布滞后模型和误差修正模型，从空间结构和时间结构两个维度检验中国苹果市场整合关系，并从生产要素结构视角揭示市场整合异质性的产生原因。研究表明：(1)从主产区内部结构看，环渤海湾产区山东、辽宁和河北市场之间存在长期分割现象，黄土高原产区陕西、甘肃和山西市场之间也存在长期分割现象；(2)从主产区外部结构看，山东和陕西市场之间处于长期整合状态；(3)从时间结构看，期货市场与山东、陕西现货市场存在长期整合关系，期货市场与其他省份的现货市场不存在长期整合关系。     

中国黄金期货与现货市场的相关性及其套期保值研究

通过构建VAR-DCC-MVGARCH模型,检验2008—2011年中国黄金期货与现货市场的相关性,并分析最小化资产组合风险的最优套期保值率及其绩效,结果表明:黄金市场仅存在着现货收益率对期货收益率的单向影响;收益率的波动间具有高度正相关的时变特征;动态套期保值组合能够有效地规避黄金现货的投资风险。     

The cost of carry model and regime shifts in stock index futures markets: An empirical investigation

This article examines empirically the dynamic relationship between spot and futures prices in stock index futures markets employing a class of nonlinear, regime‐switching‐vector‐equilibrium‐correction models, which is novel in this context. Using data for the S&P 500 and the FTSE 100 over the post‐1987 crash period, it is shown that a long‐run relationship between spot and futures prices exists, which implies mean reversion of the basis. After providing strong evidence against the hypothesis of linear dynamics in the relationship under investigation, regime‐switching‐vector‐equilibrium‐correction models for spot and futures price movements are developed and shown to capture well the time‐series properties of our data, consistent with a large theoretical and empirical literature. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:603–624, 2000.