中国棉花期货和现货市场的价格关系研究

期货市场和现货市场之间的价格发现功能一直是监管部门和投资者十分关心的问题。本文借助信息共享模型、脉冲响应函数和方差分解等方法,对中国棉花的期、现货市场间的价格关系进行实证研究,定量刻划了期、现货市场在价格发现中的作用。研究结果表明:棉花期、现货价格之间存在显著的双向引导关系;二者存在长期均衡关系;期、现货市场都扮演重要的价格发现角色,期货市场在价格发现中处于主导地位。

A Research of the Relationship between Cotton Prices in Futures Market and in Cash Market

The price discovery function between futures market and cash market is a very important problem that management and investors are concerned with.This paper empirically researches the relationship between cotton prices in futures market and cash market with the information share model,impulse response function and variance decomposition and gives a quantitive portray of the function of futures market and cash market in price discovery.The result shows that there is a bi-directional leading relationship between cotton prices in futures market and cash market and there is a long-term equilibrium relationship between them;Both futures and cash markets play important roles in price discovery and the day futures market is in a dominant position.