期货市场与现货市场之间的价格研究--中国农产品市场的经验

本文借助于信息共享模型与波动溢出效应模型对我国大豆和小麦的期、现货市场之间的价格发现进行了多层次的实证研究,定量描述了期、现货市场在价格发现中作用的大小,深入刻画了我国农产品期、现货市场之间的动态关系.研究结果显示:大豆期、现货价格之间存在双向引导关系,小麦仅存在期货对现货的单向引导关系;期、现货市场均扮演着重要的价格发现角色,且期货市场在价格发现中处于主导地位;期、现货市场之间均存在双向波动溢出关系,但现货市场来自期货市场的波动溢出效应均强于期货市场来自现货市场的波动溢出效应;并且,随着期货市场的发展,期、现货市场之间的波动溢出程度均呈逐渐增强态势.

Price Discovery in the Spot -Futures Markets: An Empirical Analysis in Chinese Agricultural Products

This article empirically measures price discovery and lead-lag relationships in Chinese soybean and wheat's spot-futures markets with the information shares and volatility spillovers models.The empirical results show that there are bi-directional lead relations in soybean's spot and futures prices and there is the a single lead relation from futures market to spot market in wheat's spot and futures prices.Thus, both spot market and futures market play important price discovery roles and the futures market is more dominant than the spot market.Morever, there are bi-directional volatility spillovers relations in spot-futures markets and the futures market volatility spillovers to the spot market more than vice versa.In addition, the volatility spillovers become stronger gradually with the development of Chinese future market.