中美玉米期货市场功能效率比较

价格发现与套期保值是期货市场的基本功能,能够反映期货市场的运行效率。通过对比中美贸易摩擦前后期货市场的价格发现和套期保值功能,分析中美玉米期货市场效率间的差距,探究我国玉米期货市场运行效率低的原因。利用格兰杰(Granger)因果分析、协整检验、分位信息份额模型、套期保值比率及绩效分析方法,定量对中美两国2013—2019年玉米期货及现货的数据进行分析,结果表明,中国玉米期货市场存在较强的价格发现功能,但套期保值绩效不佳。使用前沿分位信息份额模型和滚动格兰杰因果法分析中美两国期现货市场动态关系的区别,发现中国仅存期货市场对现货市场的单向引导,而美国在中美贸易摩擦前表现为玉米期现货市场具有相近的引导能力,套期保值效率较高,中美贸易摩擦增强了其现货市场对期货市场的引导能力,降低了期货市场运行效率。从期现货市场双向引导关系视角来看,中国玉米期货市场效率低的原因主要是现货市场的信息不完全、发展不完善,期现货市场缺少长期稳定的双向引导关系抑制了期货市场功能发挥。中国应全面加强期货市场建设,提升期货市场定价效率,推动农产品期货市场快速健康发展。

Comparative Research on Price Discovery and Hedging Efficiency Between Chinese and American Corn Futures Market

Price discovery and hedging are the two basic functions of the futures market and they can reflect the operational efficiency of it.In order to explore the gap between the efficiency of the Chinese and American corn futures markets,through the analysis of the two functions of price discovery and hedging during the period of trade disputes between China and the US,the low operating efficiency of corn futures market is explained.By using the Granger causality analysis,quantile information share model and hedging performance and hedging model,the authors analyze the 2013-2019 corn futures and spot data of China and the United States.The results show that there is a stronger price discovery function in China's corn futures market,but the hedging shows poor performance.With the help of frontier model of quantile information share and rolling Granger causality analysis,the authors also analyze the dynamic relationship between the spot and futures market,and it is found that there is only the one-way Granger guidance from futures market to spot market.The guidance capabilities of US corn spot and futures market were comparable before the trade dispute;and the hedging efficiency is higher at that time.Whereas the trade dispute increases the price function of the spot market thus decreases the efficiency of the futures markets.The authors explain the reason for the inefficiency of China's corn futures market from the two-way guiding relationship perspective under the trade disputes background,such as the incomplete information and incomplete development in the corn spot market,and the lack of a longterm and stable two-way guiding relationship between the two markets.We should comprehensively strengthen the construction of the futures market and improve the pricing efficiency of futures market to promote the rapid and healthy development of agricultural futures market.