中美大豆期货市场套期保值效率比较研究

套期保值是大豆期货市场的基本功能之一,套期保值效率是反映期货市场运行质量的重要指标。为掌握我国大豆期货市场的运行状况,探究我国与美国在期货市场方面存在的差距,本文运用中美大豆期货、现货价格数据和相关计量实证模型,对中美两国大豆期货市场套期保值效率进行了比较研究。通过研究得出:中美两国大豆期货市场套期保值效率存在较大差异。本文通过分析产生差异的原因,有针对性地提出了提高我国大豆期货市场套期保值效率的政策建议。     

中美股指期货与股票市场价格发现功能研究

针对目前在股指期货市场价格发现研究中,大多局限于单个市场研究,而缺乏对多个市场间研究的现状,借助向量误差修正模型对中国和美国的股指期货市场和现货市场之间的价格发现功能进行实证研究。实证结果表明长期内现货价格引导股指期货价格。而短期两市场价格存在双向格兰杰因果关系,两国得出短期价格领先滞后关系略有不同,我国短期股指期货的价格发现功能更有优势。     

我国石油期货市场价格发现功能及波动溢出效应研究

有效的期货市场对现货市场具有明显的价格预期作用,投资者凭借此能够规避现货市场价格风险,实现石油产品套期保值.为探究我国石油期货市场是否已达弱势有效,借助协整分析、双变量EGARCH模型、Garbade-Silber模型等计量方法,对我国石油期货市场价格发现功能进行分析,研究结果表明:我国石油期货市场与现货市场之间存在协整、双向格兰杰因果关系及波动溢出效应,期货市场价格发现贡献度低于现货市场,期货价格参考性较低,难以发挥规避风险等作用,同时也无力争夺国际定价权.基于此,提出了构建有效的石油期货市场运行机制的对策建议.     

中国玉米期货主力合约和近月合约套期保值效果研究

本文在构造出大连商品交易所玉米期货主力合约价格和近月合约价格时间序列后,首先对它们与玉米现货价格的协整关系进行了检验,并进一步研究了两者套期保值效果的不同。研究发现:中国DCE玉米期货的近月合约套期保值效果明显优于主力合约套期保值效果,但两者均远远低于发达期货市场的套期保值效果。这一结果对于企业正确利用期货市场和交易所进一步开展促进期货市场功能发挥工作都具有重要的现实意义。     

美国大豆期货市场与现货市场价格传导关系研究

对美国大豆期货市场与现货市场价格传导关系的实证分析表明,美国大豆期货市场与现货市场相关性较强,期货市场与现货市场之间存在显著的长期均衡关系;期货市场和现货市场存在误差校正机制,当偏离两者的长期均衡关系时,重新回到原有均衡关系的调整速度较快;期货市场与现货市场相互引导,但现货市场的引导作用大于期货市场.文章提出,发现价格和套期保值是期货市场最基本的功能,这些功能的发挥与现货市场的发展密切相关.期货市场的产生与发展并不是对现货市场的替代,而且在完善的市场体系中,现货市场对期货市场具有较强的引导作用,现货市场发展的程度是影响期货市场功能发挥程度的关键因素.不断改善现货市场环境,加强现货市场建设,是促进期货市场快速发展的现实选择.     

中国期货市场套期保值功能的实证研究

期货市场的风险管理功能,即套期保值功能,对于国民经济的稳定发展有着重要的意义。本文介绍了目前主流的最优套期保值比率确定方法,并通过对我国期货市场中沪深300股指期货套期保值与农产品套期保值效果的实证研究与绩效对比,发现由于缺乏规范发达的现货交易市场提供准确的现货价格,大宗商品的期现价格联动效应不佳,导致商品期货套期保值比率的确定不能像股指期货一样使用科学的计量方法,套期保值效果远不能与股指期货相提并论。最后结论是要想充分发挥商品期货市场套期保值功能为实体经济保驾护航就必须解决大宗商品期现价格联动不佳的问题,在全国范围内建立和期货类似的规范的现货交易体系以此来提供与期货价格有着良好联动关系的现货价格是一条可走之路。     

玉米期货市场的有限套利证实研究

通过构建2011年1月至2016年12月玉米期货与现货价格序列,对玉米在期货市场和现货市场上的期期价差、期现价差分别与市场利率进行向量自回归和格兰杰因果检验发现,期期价差、期现价差与利率之间均存在反向变动关系;利率既不是玉米期期价差变动的格兰杰原因,也不是期现价差变动的格兰杰原因,表明玉米期货市场、期货市场与现货市场之间存在有限套利。     

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。     

中国棉花期货市场定价效率研究

近些年棉花价格受供需差额影响大幅度波动,很多没有预计到价格变化的棉纺织企业由于缺乏库存,面临更高的生产成本而不得不停止生产。人们越来越关注棉花期货市场价格对未来现货价格的预测能力。本文先叙述中国棉花市场的发展状况,然后运用协整分析、格兰杰因果检验等方法研究中国棉花期货价格与现货价格的关系,分析中国棉花期货市场的定价效率。研究发现中国棉花期货市场价格与现货价格具有长期的稳定关系,中国棉花期货市场定价对现货市场有引导作用。     

中美棉花期货市场功能比较分析

笔者利用共聚合法、误差修正模型、格兰杰因果检验、方差分解和脉冲响应函数以及基差分析、套期保值效果值、成交量、交割率等方法,对中美棉花期货市场发现价格功能和回避风险功能发挥程度进行了比较分析。结果表明:中国棉花期货市场发现价格功能发挥情况相对于美国更好一些,而美国棉花期货市场回避风险功能发挥情况要好于中国。     

Causality in the VIX futures market

This study examines the price‐discovery function and information efficiency of a fast growing volatility futures market: the Chicago Board of Option Exchange VIX futures market. A linear Engle–Granger cointegration test with an error correction mechanism (ECM) shows that during the full sample period, VIX futures prices lead spot VIX index, which implies that the VIX futures market has some price‐discovery function. But a modified Baek and Brock nonlinear Granger test detects bi‐directional causality between VIX and VIX futures prices, suggesting that both spot and futures prices react simultaneously to new information. Quarter‐by‐quarter investigations show that, on average, the estimated parameters are not significantly different from zero, thus providing further evidence supporting information efficiency in the VIX futures market. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark     

Trading protocols and price discovery: Implicit transaction costs in Indian single stock futures

We show how trading protocols impede the price discovery process in single stock futures as implicit trade costs outweigh explicit costs. Despite the trade volume dominance, trade costs advantage and leverage efficiency in futures markets, single stock futures account for only 35% of the price discovery vis-á-vis the spot market. Futures market's informational efficiency is adversely affected by market frictions in the form of marketwide position limits, minimum contract values, and margin requirements.     

最低收购价政策改革背景下小麦期货市场价格发现功能再检验

通过构建最低收购价政策影响下小麦期现货市场的价格传导机制的理论框架,并选取2015年我国小麦最低收购价政策改革前后两个时期各4年的周度数据,使用ADF单位根检验、Johansen协整检验、Granger因果关系检验和方差分解对最低收购价政策改革背景下小麦期货市场的价格发现功能进行实证研究。研究结果表明:无论是强麦还是普麦,最低收购价政策改革对于小麦期货价格与现货价格均衡关系的形成均具有促进作用;在最低收购价政策改革之前,强麦期货市场不具有价格发现功能,之后这种功能才得以形成,同时普麦期货市场的价格发现功能变得更为显著;小麦期货市场的影响力强于现货市场,在价格发现功能中占据主导作用。     

Futures market hedging efficiency in a new futures exchange: Effects of trade partner diversification

This paper uses transaction data to examine hedging efficiency in a new futures exchange; the Fish Pool salmon futures exchange in Norway. The paper utilizes data on firm-level exporter/importer transaction prices to quantify firm-level futures hedging efficiency. This allows us to address heterogeneity in hedging efficiency and basis risk at the firm level. The main result of this paper shows that larger firms with greater trade partner diversification have lower basis risk. Such firms align their internal transaction price closer to the common spot price in the market, which encourages greater futures market participation. Results are discussed in light of recent declines in participation in the salmon futures exchange.     

Quantile information share

This paper presents a new method to estimate Hasbrouck-type market information share in price discovery. The prevailing market information share is calculated on the basis of conditional mean. We propose a conditional quantile regression approach to obtain a new market information share measure, quantile information share, which varies across the combinations of different price quantiles. The method is illustrated with two data sets, one on the spot and futures markets in pricing S&P 500 equity index, and the other on price discovery for a cross-listed stock.     

Volatility spillover effects and cross hedging in corn and crude oil futures

Using a volatility spillover model, we find evidence of significant spillovers from crude oil prices to corn cash and futures prices, and that these spillover effects are time‐varying. Results reveal that corn markets have become much more connected to crude oil markets after the introduction of the Energy Policy Act of 2005. Furthermore, when the ethanol–gasoline consumption ratio exceeds a critical level, crude oil prices transmit positive volatility spillovers into corn prices and movements in corn prices are more energy‐driven. Based on this strong volatility link between crude oil and corn prices, a new cross‐hedging strategy for managing corn price risk using oil futures is examined and its performance is studied. Results show that this cross‐hedging strategy provides only slightly better hedging performance compared with traditional hedging in corn futures markets alone. The implication is that hedging corn price risk in corn futures markets alone can still provide relatively satisfactory performance in the biofuel era. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark     

Do small traders contribute to price discovery? Evidence from the Hong Kong Hang Seng Index markets

Using one‐contract‐size trades in the Mini Hang Seng Index futures to proxy the activities of small traders, this study empirically investigates the information contribution of small futures traders to price discovery on the Hang Seng Index (HSI) markets. Estimated with the models of Gonzalo, J., and Granger, C. W. J. ( 1995 ) and Hasbrouck, J. ( 1995 ), the results show that small traders contribute about 16.8% to price discovery, a disproportionately high share considering their relatively low trading volume. The results also indicate that the Hang Seng Index futures (HSIF) market still has the largest information share (about 71.0%), whereas the HSI spot market has a 12.2% share. Our results suggest that small traders are not uninformed in the HSIF markets, and play an important role in price discovery. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:156–174, 2010     

上海燃料油期货价格发现功能研究——基于GS模型的实证分析

本文选择相关系数、协整检验、误差修正模型、Granger因果检验、Garbade-Silber模型对上海燃料油期货市场价格发现功能发挥和价格引导情况进行递进、全面的分析,实证结果显示上海燃料油期货价格与国内现货价格之间存在协整关系,燃料油期货价格发现功能得到一定程度发挥,但仅存在现货价格对期货价格的单向引导关系,且在价格发现功能中,现货价格起着决定性的作用。     

Price discovery in commodity derivatives: Speculation or hedging?

We investigate whether commodity futures or options markets play a more important role in the price discovery process in the six most actively traded markets: crude oil, natural gas, gold, silver, corn, and soybeans. Using new information leadership techniques, we report new evidence and report that both markets make a meaningful contribution to price discovery in recent times; however, on average, options lead futures in reflecting new information for a majority of these commodities. We find that increased speculation, rather than hedging activity, in commodity derivatives is a key determinant of price discovery in the options markets.     

Price discovery and investor structure in stock index futures

Previous literature on price discovery in stock index futures and spot markets neglects the role of different investor groups. This study relates time‐varying spot‐futures linkages studied within a VECM‐DCC‐GARCH framework to changes in the investor structure of the futures market over time. Empirical results suggest that during the dominance of presumably uninformed private investors, the futures market does not contribute to price discovery. By contrast, there is evidence of information flows from futures to spot markets and a significant increase in conditional correlation between both markets as institutional investors' share in trading volume increases. We derive implications for the design of emerging futures markets. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark31:282–306, 2011