| 中美白糖期货市场价格发现功能的比较研究——基于2006—2008年的时间序列数据 |
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| 引用本文： | 徐欣,王沈南,郑传芳.中美白糖期货市场价格发现功能的比较研究——基于2006—2008年的时间序列数据[J].技术经济,2010,29(2):107-114. |
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| 作者姓名： | 徐欣 王沈南 郑传芳 |
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| 作者单位： | 1. 福建农林大学经济管理学院,福州,350002
2. 北京工商大学经济学院,北京,100037 |
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| 基金项目： | 农业部、财政部“现代农业(甘蔗)产业技术体系建设”专项经费资助项目(NYCYTX-024-01-19) |
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| 摘 要： | 本文运用协整分析、Granger因果检验、误差修正模型、信息共享模型、方差分解模型和脉冲响应函数,对2006—2008年中美两国白糖期现货市场价格之间的长短期变动关系进行了计量分析与横向对比。研究发现,我国白糖期货市场价格发现功能已初步显现,但我国白糖期货市场中期货价格对现货价格的引导作用与美国的成熟市场还存在较大差距,我国白糖期货市场价格发现功能的发挥水平还有待提高。
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| 关 键 词： | 白糖期货市场 价格发现功能 对比分析 |
Comparative Analysis on Price Discovery Function of Sugar Futures Market in China and U. S. :Based on Time Series Data During 2006-2008 |
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| Xu Xin,Wang Shennan,Zheng Chuanfang.Comparative Analysis on Price Discovery Function of Sugar Futures Market in China and U. S. :Based on Time Series Data During 2006-2008[J].Technology Economics,2010,29(2):107-114. |
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| Authors: | Xu Xin Wang Shennan Zheng Chuanfang |
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| Institution: | 1.School of Economics & Management/a>;Fujian Agriculture & Forestry University/a>;Fuzhou 350002/a>;China/a>;2.School of Economics/a>;Beijing Technology & Business University/a>;Beijing 100037/a>;China |
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| Abstract: | With the cointegration analysis, the Granger causality test, error correction model,information sharing model, variance decomposition model and impulse response function, this paper analyzes and compares the relationship between futures price and spot price of sugar in China and U. S. The result shows that the price discovery function of sugar futures market of China has brought into play,and there exists big gap between the guide effects of spot price on futures price in China＇s sugar futures market and that in U. S. ＇s,and the price discovery function of sugar futures market of China still remains to improve. |
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| Keywords: | sugar futures market price discovery function comparative analysis |
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