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1.
我国黄金期货市场功能发挥的实证研究   总被引:4,自引:0,他引:4  
本文运用协整检验、Granger因果检验、Garbade.Silber模型、误差修正模型等对2008年1月9日到2008年11月14日上海期货交易所黄金期货合约的价格发现功能和套期保值功能进行研究,结果表明:黄金现货价格对期货价格存在单向引导火系,在价格发现功能中,黄金现货价格起着决定性的作用,期货市场价格发现功能相对较弱.  相似文献   

2.
运用协整检验、Granger因果检验、向最误差修正模型、Garhade-silber模型、误差修正模型等对2007年6月11日到2008年9月18日上海期货交易所锌期货合约的价格发现功能和套期保值功能进行研究,结果表明:锌期货与现货价格存在双向引导关系,锌期货市场在价格发现功能中处于主导地位,锌期货价格发现功能良好.锌期货样本内和样本外套期保值绩效分别为0.50074044和0.43854111,样本内套期保值绩效优于样本外套期保值绩效.我国锌期货市场具有一定的套期保值功能,但套期保值功能并未得到充分发挥,2008年6月到2008年9月锌期货市场投机氛围严重.  相似文献   

3.
本文对现货和黄金期货价格之间的均衡关系进行了协整检验分析,使用GARCH模型对黄金期货的最优套期保值比率进行了估算,以验证中国黄金期货套期保值绩效.结果表明,中国当前的现货和黄金期货之间存在着长期的均衡关系,市场的套期保值功能已得到了基本的发挥,文章最后依据实证结果提出了进一步改进的政策建议.  相似文献   

4.
本文对现货和黄金期货价格之间的均衡关系进行了协整检验分析,使用GARCH模型对黄金期货的最优套期保值比率进行了估算,以验证中国黄金期货套期保值绩效。结果表明,中国当前的现货和黄金期货之间存在着长期的均衡关系,市场的套期保值功能已得到了基本的发挥。文章最后依据实证结果提出了进一步改进的政策建议。  相似文献   

5.
随着我国利率市场化改革进程的不断深入,如何规避国债现货的利率风险成为当前急需解决的问题,通过国债期货上市后的高频数据对国债期货的核心功能进行实证检验将解决这个问题:首先,通过ADF检验、协整检验和格兰杰因果检验,验证了国债期货对国债现货具有价格发现功能;然后,通过VAR模型和ADL模型验证了国债期货对国债现货的套期保值功能;最后,基于核心功能研究提出了最优套期保值率,用于实现对国债现货最优的风险转移,这将对现实中套期保值交易具有指导性意义。  相似文献   

6.
随着我国利率市场化改革进程的不断深入,如何规避国绩现货的利率风险成为当前急需解决的问题,通过国债期货上市后的高频数据对国债期货的核心功能进行实证检验将解决这个问题:首先,通过ADF检验、协整检验和格兰杰因果检验,验证了国债期货对国债现货具有价格发现功能;然后,通过VAR模型和ADL模型验证了国债期货对国债现货的套期保值功能;最后,基于核心功能研究提出了最优套期保值率,用于实现对国债现货最优的风险转移,这将对现实中套期保值交易具有指导性意义.  相似文献   

7.
我国燃料油期货套期保值功能研究   总被引:2,自引:0,他引:2  
周璇 《时代金融》2008,(1):30-32
国际成品油现货市场的剧烈波动给我国燃料油期货市场功能发挥提出了新的挑战。本文采用了最新的交易数据对我国燃料油期货市场和现货市场进行了实证分析,研究我国燃料油期货市场的套期保值功能。通过比较基差风险和现货价格风险,检验期货价格和现货价格的相关性,讨论期货市场套期保值的效率问题,认为目前我国燃料油期货市场本身并不比现货市场风险小,但在一定程度上发挥了套期保值的功能。通过分析价格走势和基差波动特征,得出我国市场适合使用HKM模型来计算套保比,最后基于HKM模型本文给出了单个合约的最优套保比序列。  相似文献   

8.
本文运用2004年9月至2010年12月中国玉米期货市场和现货市场交易数据,借助OLS、B-VAR、ECM和B-GARCH等计量模型对中国玉米期货市场套期保值的比率进行了测度,并利用套期保值的绩效衡量指标对中国玉米期货市场套期保值的绩效进行了实证研究.研究结果表明:中国玉米期货价格和现货价格之间存在着长期均衡关系;套期保值的期限越长,绩效越明显,说明中国玉米期货市场初步发挥了规避玉米现货价格波动风险的功能.对同一套期保值期限来说,运用不同的套期保值策略,套期保值的绩效差别较大,因此,套期保值者要根据自身现货经营情况选择适当的策略来进行套期保值操作,以最大限度地规避现货生产和经营风险.  相似文献   

9.
从实证的角度出发,利用相关性检验、平稳性检验、协整检验、格兰杰(Granger)检验、GS模型对我国小麦期货市场的价格发现功能和套期保值功能进行实证研究,验证了期货市场的两大功能。  相似文献   

10.
股指期货理论与实证研究方法初探   总被引:6,自引:0,他引:6  
股指期货的主要功能是价格发现、套期保值和投机套利。本文介绍对这三大功能作用机制及效果的实证研究方法,并讨论开设股指期货及对现货市场波动性的影响。  相似文献   

11.
文章通过建立误差修正模型( Error Correction ModeL,ECM)和基于持有成本理论的误差修正模型( Error Correction ModeL Cost of Carry,ECM-CoC),对美国黄金市场的期货与现货市场在金融危机前后的互动关系进行了实证分析。结果表明:在2007年金融危机前美国黄金期货市场引导黄金现货市场,期货市场的价格发现功能得以实现;在金融风暴后美国黄金现货和期货市场存在双向引导关系;美国黄金期货市场和现货市场之间存在长期均衡关系,期货市场和现货市场均存在误差修正机制,美国现货市场价格恢复均衡的调整速度高于黄金期货市场。  相似文献   

12.
This study examines the effects of the US–China trade dispute on the informational linkages and price discovery between China's futures and spot markets. Using the daily price data of four assets representing the real and financial sectors in China during 2016–2019, empirical findings suggest that the futures–spot correlations for the stock index, copper, and corn markets have increased significantly during the trade dispute. In contrast, sharp declines in the dynamic correlations between gold futures and spot markets, as gold is a safe haven asset, are observed during the event window. During uncertainty disturbance (i.e., the trade dispute), the futures–spot cointegrated relationships in the gold and corn markets are found to adjust more quickly and efficiently, whereas the correction speeds of the market deviations for the stock index and copper market are moderately slower. With the intensive integration of market expectations with uncertainty shocks, the economic shocks of trade disputes tend to remarkably improve the pricing efficiency of China's futures markets, except for the gold futures market. China's spot markets, however, seem to be more sensitive to the noise trades and information disturbances arising from the trade dispute.  相似文献   

13.
This paper studies the co-integration relationship and volatility spillover effect between China's gold futures and spot prices through the VECM-BEKK-GARCH model. Then, MSGARCH and DCCE-GARCH are applied to study the relationship among China's gold futures market, spot market price volatility and the stabilization effect in uncertain economic environments. This paper enriches the current research, providing gold market participants with hints to address economic uncertainty. The empirical results show that China's gold futures market has a weak stabilization effect on spot price volatility. In scenarios with uncertain economic information and uncertain macroeconomic changes, the correlation between gold futures and spot price volatility is reduced in China, and the role of gold futures in stabilizing the spot price weakens. Furthermore, with economic uncertainty, the fluctuation range of the gold futures price is greater than that of the spot price, with a tendency of more frequent fluctuations. This also means that the effectiveness of the futures market in regulating the spot price will be reduced, and gold market regulators need to stabilize the market through alternative methods to futures.  相似文献   

14.
This paper investigates the hypotheses that the recently established Mexican stock index futures market effectively serves the price discovery function, and that the introduction of futures trading has provoked volatility in the underlying spot market. We test both hypotheses simultaneously with daily data from Mexico in the context of a modified EGARCH model that also incorporates possible cointegration between the futures and spot markets. The evidence supports both hypotheses, suggesting that the futures market in Mexico is a useful price discovery vehicle, although futures trading has also been a source of instability for the spot market. Several managerial implications are derived and discussed.  相似文献   

15.
中国饲料工业期货的价格发现实证研究   总被引:3,自引:0,他引:3  
本文借助向量自回归模型、协整检验、误差修正模型、方差分解、脉冲响应函数等方法,以中国唯一的饲料工业期货———大连商品交易所豆粕期货品种为例,研究了期货价格与现货价格之间的动态关系,定量刻画了期货市场在价格发现中的作用。研究结果显示:豆粕期货价格与现货价格存在相互引导关系,并且期货与现货价格之间存在长期均衡关系,对豆粕期货来说,期货市场在价格发现功能中起到主导作用。  相似文献   

16.
本文利用日内15分钟交易数据,对大陆与台湾股指期货的价格发现功能进行了比较,发现沪深300股指期货和现货间存在双向价格引导关系,但在信息传导效率上,期货领先现货,对台湾市场而言,仅存在期货对现货的单向引导关系;期货市场在长期价格发现功能中占主导地位,但台指期货的主导作用要强于沪深300股指期货。文章从投资者结构、合约设计、交易制度等影响因素分析了两岸股指期货价格发现功能的差异,并提出改善大陆股指期货价格发现功能的建议。  相似文献   

17.
采用线性回归、Breush-Godfrey LM相关性检验、VAR模型的方差分解和脉冲响应图、价格波动率的单位根检验和Granger格兰杰因果检验等方法对中国黄金期货价格的影响因素进行实证研究。结果表明:上海、香港、伦敦的黄金现货和纽约黄金期货价格以及美元指数是影响中国黄金期货价格的主要因素,而中国黄金期货价格的波动显著受到伦敦黄金现货价格波动和纽约黄金期货价格波动的影响。虽然目前中国黄金期货市场已具备一定的规避风险功能,且初具价格发现功能,但国际影响力有待继续提升。  相似文献   

18.
This paper studies competition in price discovery between spot and futures rates for the EUR–USD and JPY–USD markets around scheduled macroeconomic announcements. Using both the information shares approach and the common factor component weight approach for futures prices from the Chicago Mercantile Exchange (CME), as well as deal prices from spot trading on the Electronic Broking Services (EBS), we gauge how foreign exchange spot and futures markets respond to news surprises. The results show that the spot rates provide more price discovery than do the CME futures rates overall; however, the contribution of the futures rates to price discovery increases in the time surrounding macroeconomic announcement releases.  相似文献   

19.
This study examines the temporal behavior of price discovery in the spot, ETF and futures markets of the DJIA, S&P 500, S&P 400, NASDAQ 100 and Russell 2000. We document an increasing trend in the price discovery metrics of exchange traded funds for all indexes but the DJIA. Contrary to past studies, our findings show that the spot market rather than the futures market leads the price discovery. The arbitrage process that links exchange traded funds to spot prices, and not the futures prices might explain the results. This daily arbitrage that ensures exchange traded funds prices equal net asset values appear to promote spot market price discovery especially with the popularity of exchange traded funds in more recent years. We additionally document that the temporal behavior of the exchange traded funds price discovery metric affects differently price discovery in the spot and futures markets across indexes.  相似文献   

20.
Recent papers that have explored spot and futures markets for Bitcoin have concluded that price discovery takes place either in the spot, or the futures market. Here, we consider the robustness of previous price discovery conclusions by investigating causal relationships, cointegration and price discovery between spot and futures markets for Bitcoin, using appropriate daily data and time-varying mechanisms. We apply the time-varying Granger causality test of Shi, Phillips, and Hurn [2018]; time-varying cointegration tests of Park and Hahn [1999], and time-varying information share methodologies, concluding that futures prices Granger cause spot prices and that futures prices dominate the price discovery process.  相似文献   

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