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.     

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。     

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.     

期货价格与未来现货价格的关系——基于大连商品交易所的经验研究

文章研究了大豆、豆粕和玉米的现货价格与期货价格之间的关系。尤其是研究了是否期货价格是未来现货价格无偏的预测值。玉米有很强的证据反对期货价格是未来现货价格无偏预测的原假设,而大豆和豆粕部分地接受了原假设,这部分地被市场深度所解释。此外,通过比较期货价格、天真预测和ARIMA模型,发现它们分别适用于预测豆粕、大豆及玉米的未来现货价格。     

对中国沪铜期货市场定价效率的实证分析

期货市场的定价效率关系到期货市场各项功能的有效发挥,是评价期货市场有效性的核心指标。通过借助协整分析方法对中国沪铜市场期现价格之间的关系进行实证分析可以有效地评价中国沪铜期货市场的价格发现能力,而误差修正模型的建立则有助于考察在均衡关系下沪铜期货价格对现货价格的长期调节。实证结果显示,中国沪铜期货市场具有较强的定价效率,对现货价格做出合理预测,最佳预测区间应在一个月内,并且沪铜期货价格在短期内影响现货价格背离原有趋势向长期均衡收敛。     

中国铜期货市场的配置效率研究

配置效率是期货市场整体效率研究的重要基石。本文通过协整检验、格兰杰因果关系检验、误差修正模型、状态空闻模型,检验期货市场配置效率的实现性和实现效度。研究结果表明：我国期货市场投机因素是存在的;期货价格和现货价格的运动方向基本一致;我国铜期货市场价格发现功能已基本具有;期货价格对现货价格的静态引导系数为0．9877,短期动态系数08809;2007年至今,我国期货市场配置效力达到理想稳定状态。     

中国铜期货市场的配置效率研究

配置效率是期货市场整体效率研究的重要基石.本文通过协整检验、格兰杰因果关系检验、误差修正模型、状态空间模型,检验期货市场配置效率的实现性和实现效度.研究结果表明:我国期货市场投机因素是存在的;期货价格和现货价格的运动方向基本一致;我国铜期货市场价格发现功能已基本具有;期货价格对现货价格的静态引导系数为0.9877,短期动态系数0.8809;2007年至今,我国期货市场配置效力达到理想稳定状态.     

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。     

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。     

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。     

Information,Pricing and Efficiency in Cash and Futures Markets: The Case of Hogs

The price leadership roles among hog cash and futures markets are assessed to locate points of price discovery and to examine flows of information among these markets. Several years of data are analyzed using lead/lag causality analysis and strength of linear causality measures. Although significant instantaneous relationships exist among hog cash and futures markets, one-way causality tests indicate that generally the futures market dominates cash hog markets in the price discovery process.     

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 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.     

Derivative securities and cash market stability

This study investigates the effect of introducing interest-rate futures and options on the price variances in related financial cash markets. Standard research approaches to this issue relate cash-price stability before the introduction of futures and options trading to cash-price stability after trading in the derivative security begins. However, controlling for the additional factors that may also effect cash markets is difficult. The approach employed here to deal with this obstacle is motivated by recent theoretical research relating cash and futures markets, but hitherto not operationalized to empirically test for a relationship between the markets. Varying-parameter models of (1) the demand for short-term Treasury securities, (2) the demand for large time-deposits, and (3) the supply of large time-deposits are specified such that changes in the parameters imply changes in the volatility of the cash price. These parameters are modelled as functions of the trading volume of interest-rate futures and options, thereby enabling a direct test of the hypothesis that trading volume in these derivative securities influences the behaviour of cash-market participants, and therefore, cash-price volatility. We find no convincing evidence that the level of activity in interest-rate futures and options has a significant effect on these cash markets.     

Futures markets,price stabilization and efficient exploitation of exhaustible resources

Markets for natural resource futures contracts and cash forward contracts experience a rapid growth. According to theory, this should result in more efficient resource depletion, implying that price formation is more consistent with Hotelling's rule. The rationale of this stabilization effect is briefly discussed. Next, we analyze the impact of expanding futures markets on the behaviour of individual resource owners trading on the cash market. Using a simple pulse extraction model, we demonstrate that the expected time of depletion can shift to the present or the future, and that utility of exploitation can go up or down, as market prices are stabilized.     

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.