夜盘交易与中国铁矿石期货国际定价能力探讨

夜盘交易是试图提高中国铁矿石期货国际定价能力的重要举措。基于溢出指数模型,本文计算了中国铁矿石期货的国际定价能力,并采用回归模型实证研究了夜盘交易的实施和交易时间调整对中国铁矿石期货国际定价能力的影响。研究发现:第一,夜盘交易显著降低了中国铁矿石期货的国际定价能力;第二,缩短夜盘交易时间进一步恶化了中国铁矿石期货的国际定价能力;第三,引入境外投资者、控制期货市场的投机程度和波动率、及促进期货市场成交量增加均有利于提高中国铁矿石期货的国际定价能力。

Night Trading and International Pricing Power of Iron Ore Futures in China

Night trading system is an important innovation which attempts to improve the international pricing power of China's iron ore futures(CIOF).Based on the spillover index model,this paper calculates and compares the international pricing power of CIOF,and utilizes the ordinary least squares(OLS)regression model to study effects of the implementation of night trading system and its trading hours adjustment on the international pricing power of CIOF empirically.The results show that(a)night trading system implementation decreases the international pricing power of CIOF,(b)shortened-hours night trading further worsens the international pricing power of CIOF,and(c)the introduction of foreign investors,the control of speculation and volatility in the futures market,and the promotion of the increase of trading volume in the futures market are conducive to improving the international pricing power of China's iron ore futures.