信息传导与市场整合——基于商品期货上市的准自然实验

从制度设计上打破市场分割、促进市场整合,对提高市场效率、促进经济有序健康发展具有重要意义。本文以商品期货上市作为准自然实验,构建双重差分模型,实证检验了商品期货上市交易对现货商品市场价格整合的影响。研究发现,现货商品市场价格整合程度在相应商品期货上市后显著提升,这是因为商品期货上市显著地促进了价格信息在全国范围内的传导,且这种提升效应主要体现在价格信息传导比较顺畅的地区。此外,商品期货上市提高了现货商品市场价格同步性,缓解了现货商品价格信息滞后程度,降低了现货商品交易成本。进一步研究发现,商品期货市场的交易信息质量越高,越有利于提高现货商品市场的整合程度。本研究为当前我国建设全国统一大市场提供了一定参考。

Information Transmission and Market Integration: A Quasi-natural Experiment Based on Commodity Futures Listing

On April 10, 2022, the Central Committee of the Communist Party of China and the State Council jointly released the Opinions on Accelerating the Construction of the National Unified Market. This document outlines the construction of a national unified market to break down market segmentation, improve market efficiency, and ultimately boost economy growth. How we can build a nationwide integrated market is an important research question. In this paper, we study whether the transmission of price information facilitates market integration. Specifically, we exploit the staggered listing of commodity futures as shocks to the transmission of price information and use a difference-in-differences (DID) research design to examine whether enhanced information transmission leads to a higher degree of market integration.Our sample covers 45 commodity types, and the sample period spans from 2003 to 2018. During the sample period, several commodity futures were listed and became tradable in the Zhengzhou Commodity Exchange, Dalian Commodity Exchange, or Shanghai Futures Exchange. These tradable commodities include, among others, cotton, white sugar, soybean meal, corn, steel rebar, steel wire rod, and hot-rolled coil steel. To measure market integration, we rely on high-frequency price information in the spot market of each commodity. We obtain province-level spot price data from the Wind database. For each type of commodity, we follow the literature and measure a province's market integration as the extent of price comovement between the province and its adjacent provinces. After dropping observations with missing data for the key variables, the final sample for our DID analyses consists of 7968 commodity-province-year observations.Empirical evidence from our staggered DID analyses shows that the degree of market integration increases significantly after the corresponding commodity futures are listed. To check the parallel trend assumption that is critical to a DID design, we show that there is no significant difference in market integration between the treatment and control groups in the pre-listing period. In contrast, we document a significantly higher degree of market integration for the treatment group immediately after the listing year. These differences persist in the post-listing period. We also conduct a series of robustness tests to show that our main results are robust to alternative measures of market integration, alternative fixed effects, and an alternative sample. Our main results are consistent with our hypothesis that enhanced information transmission facilitates market integration. Commodity futures listing enhances information transmission because the trading price on the commodity/futures exchange is publicly available and informative for spot market participants.To shed light on the information transmission channel through which commodity futures listing can affect market integration, we conduct several additional tests. First, we show that the positive effect of commodity futures listing on market integration is more pronounced for provinces where information can be more easily transmitted. Specifically, we find that the market integration enhancement effect of commodity futures listing is stronger for provinces with higher Internet penetration and for those with a higher degree of marketization. Second, we provide direct evidence that commodity futures listing leads to higher spot price synchronicity, lower price delay, and lower transaction costs. These findings suggest that commodity futures listing enhances the transmission of price information. Finally, we focus on the information quality of the trading price on the commodity/futures exchange and conduct a test on a subsample of traded commodities. We find that price informativeness and trading liquidity are positively associated with market integration, suggesting that price information does indeed matter. Overall, these tests provide corroborating evidence that the transmission of price information from the futures market to the spot market is a plausible channel for improving market integration.Our paper adds to the literature by showing information spillover effects from the financial market to the commodity market. To the best of our knowledge, we are the first to use commodity futures listing as a setting to provide causal evidence of the effects of the transmission of price information on market integration. Our finding that enhanced information transmission facilitates market integration could have policy implications on how to accelerate the construction of the national unified market. In addition, our results based on the emerging China market could be generalized to other developing countries.