论文部分内容阅读
利用2007年10月至2012年3月国内棕榈油期货市场、国际棕榈油产区以及国内棕榈油、豆油、菜籽油现货市场的交易日价格,运用VAR及其扩展模型验证了关于期货市场效率的两个假说.研究结果表明:棕榈油国际产区市场对来自期货市场的冲击有一定程度的反映,但不是主要作用,且期货市场对国际产区市场还没有预测力;棕榈油期货市场价格对现货市场发现功能不强,但对棕榈油、菜籽油、豆油现货价格具有较强的预测力,长期均衡关系对现货市场的调整力小.
Using the trading day prices of the domestic palm oil futures market, the international palm oil producing areas and the domestic spot market of palm oil, soybean oil and rapeseed oil from October 2007 to March 2012, the VAR and its extended models were used to verify the efficiency of the futures market The results show that: the international market of palm oil production to some extent from the impact of the futures market, but not the main role of the impact of the international market, the futures market has no predictive power; the market price of palm oil futures On the spot market is not strong, but the spot price of palm oil, rapeseed oil, soybean oil has strong predictive power, long-term equilibrium relationship on the spot market adjustment force is small.