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。     

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。     

中美小麦期货价格与现货价格传递关系的比较研究

为研究我国小麦期货市场价格发现功能的发挥程度及此功能对现货市场价格的影响,本文运用Johansen协整检验、误差修正模型、脉冲响应函数和方差分解等对中美小麦期货与现货价格传递关系进行了实证研究。结果显示：中美两国国内小麦期货与现货价格之间均存在明显的双向引导关系和长期均衡关系;我国小麦期货价格和现货价格对一个标准差信息冲击的反应均稍强于美国;我国小麦期货市场价格发现功能的发挥程度要优于美国。     

股指期货与现货市场溢出效应及动态关系研究——基于中、美、日、香港等市场的实证分析

本文运用BEKK-MGARCH-VAR和DCC-MGARCH模型分别实证分析了中国、美国、日本及香港等地股指期货与现货市场收益率均值和波动的溢出效应以及两市相关系数的动态(时变)特征,研究发现:四个国家(地区)股指期货与现货市场收益率间均存在双向均值溢出效应;四个国家(地区)股指期货与现货市场间均存在双向波动溢出效应;新兴经济体的指数期货与现货市场间的动态相关系数波动较小,而发达国家指数期货与现货市场间的动态相关系数波动较为明显。最后,对当前中国政策当局规范股指期货市场,警惕期现两市之间的波动传导效应,以确保股指期货和现货两市的稳定提出政策建议。     

基于高频数据的动力煤与焦煤价格联动效应研究

近年来,我国金融创新不断加速,各类金融衍生产品不断涌现,其中煤炭期货备受关注。我国动力煤与焦煤现货价格之间存在着长期的"同涨同跌"现象,为此文章尝试通过VAR、BEKK-GARCH等模型,从均值溢出效应和波动溢出效应两方面,对动力煤期货市场与焦煤期货市场之间是否存在价格联动效应进行探讨,并以此为切入点研究两个市场之间的信息传导机制,对我国煤炭期货市场之间的运行情况进行窥探。结果表明动力煤与焦煤期货价格序列之间存在长期稳定的均衡关系,两者的收益率序列之间存在显著的双向均值溢出效应和双向波动溢出效应。     

中国与国际大豆期货市场波动溢出效应分析

文章采用多元GARCH(MGARCH)模型,研究中国、美国和日本大豆期货市场的相关性和波动溢出效应。结果表明:在样本研究期间,大连、芝加哥和东京大豆期货交易市场之间存在正相关,大连大豆期货市场与芝加哥大豆期货的相关性要小于东京谷物交易所大豆期货与芝加哥大豆期货的相关性;大连、芝加哥和东京大豆期货交易所存在双向的波动溢出效应;在三个市场中,大连大豆期货的新息冲击和自身波动溢出值最小,但在统计上不显著,可能与目前大连期货市场受管制和相对封闭等因素有关;三个大豆期货市场市场均不存在波动持续性。     

我国粮食市场价格波动特征——基于ARCH类模型的实证分析

基于1998年1月9日至2012年12月14日全国小麦、玉米和大豆的批发价格指数周数据,利用ARCH类模型对我国小麦、玉米和大豆的市场价格波动特征进行实证分析。研究结果表明:在5%的显著性水平下,小麦、玉米和大豆的市场价格波动具有明显的时变性和集簇性;玉米市场具有高风险、高回报的特征;小麦的市场价格波动具有非对称性;玉米市场与大豆市场之间存在显著的双向价格波动溢出效应。     

中美玉米期货市场对现货市场价格影响的实证分析

本文利用协整检验、Granger因果检验以及Garbade-Silber(GS)模型检验等方法,从多角度实证分析了中国玉米期货市场与现货市场价格关系,并与美国玉米市场进行了比较。结果表明:中国期货市场和现货市场之间存在长期均衡关系,这与美国玉米市场表现一致;中国玉米期货市场价格单向引导现货市场价格,而美国玉米期货市场与现货市场价格相互引导;期货市场价格在中国玉米市场的价格发现中起主要作用,而美国玉米现货市场与期货市场的引导作用基本持平。     

中美白糖期货市场价格发现功能的比较研究——基于2006—2008年的时间序列数据

本文运用协整分析、Granger因果检验、误差修正模型、信息共享模型、方差分解模型和脉冲响应函数,对2006—2008年中美两国白糖期现货市场价格之间的长短期变动关系进行了计量分析与横向对比。研究发现,我国白糖期货市场价格发现功能已初步显现,但我国白糖期货市场中期货价格对现货价格的引导作用与美国的成熟市场还存在较大差距,我国白糖期货市场价格发现功能的发挥水平还有待提高。     

股指期货与现货市场间波动溢出效应探究

本文采用2010年8月至2011年1月间沪深300股指期货与现货交易5分钟数据,通过建立DCC-MGARCH模型考察我国股票指数市场与股票现货市场的动态相关性。并通过建立BEKK-MGARCH模型考察两市场波动率之间的溢出效应。实证结果表明,从短期来看,沪深300股指期货市场波动与现货市场波动之间存在相互溢出效应,而且会在长期产生持久的影响。     

Price discovery and volatility spillover in spot and futures markets: evidences from steel-related commodities in China

The price discovery and spillover effect are significant indicators in futures markets. This study examines the price discovery and spillover effects using vector error correction model and generalized autoregressive conditional heteroskedastic for seven types of steel products in Chinese spot and futures markets. The results show that the price discovery exists in all of steel futures market. It is also confirmed that futures prices in all items are mainly leading spot prices via permanent-transitory and information share. In the results of spillover effects, it is found that wire rod, coking coal, coke and silico-manganese have the effects between spot and futures market. In rebar market, there is the spillover effect from spot to futures. This information about futures prices can help the market participants to make decisions when they predict the spot prices.     

The forecasting approach to efficiency in the wool market

This paper develops and presents estimates of a simultaneous equations model of the Australian wool market, the world's largest producer and exporter of fine wool. The model contains functional relationships for unhedged inventories, consumption of raw wool, and the activities of both hedgers and speculators in wool futures. Expectations are represented by the adaptive hypothesis. This model extends the work of Leuthold and Hartmann (1979) and Leuthold and Garcia (1988) by including expectations in the spot-futures model, and that of Goss and Giles (1986) by including composite equations for hedger-speculators, extending the expectations hypothesis to the consumption equation, and by using the model to test the efficient markets hypothesis. Wald tests and likelihood ratio tests for unit roots in wool cash prices are conducted and in no case can the hypothesis of a single unit root be rejected. Estimation is by three stage least squares, with correction for first order serial correlation. The model provides good intra- and post-sample forecasts of most variables, especially of unhedged inventories and consumption of wool, both important spot market relationships. The model-derived forecast of the spot price is inferior to the forecast implicit in the futures price, although a compositive predictor clearly outperforms the futures price as an anticipation of subsequent cash prices. Nevertheless, it is suggested that the efficient markets hypothesis should not be rejected, because there is evidence that futures market agents are learning to use the information contained in the model.     

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。     

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.     

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.     

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.     

中国农产品期货市场效率实证分析:1998-2002

本文旨在检验1998-2002年我国小麦和大豆期货市场效率并对农产品期货市场和现货市场做出相应评估.通过采纳Johansen协整检验方法,论文针对三种不同的现货价格以及预测跨度从1周到6个月不等的期货价格进行了正式统计检验.结果表明,我国大豆期货价格与现货价格之间存在长期均衡关系,大豆期货市场的短期效率相对较高.小麦期货市场缺乏效率,这可能应当归因于期货市场发展尚不成熟以及投机过度.     

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.