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本文首次使用面板数据方法,在面板误差修正模型基础上分别采用共同因子贡献法和信息份额法分析了我国期货市场和现货市场的价格关系。实证结果显示:总体上讲,我国大宗商品的期货价格和现货价格之间存在着长期均衡关系,期货价格表现为现货价格的Granger原因,但现货价格并没有表现为期货价格的Granger原因。利用共同因子贡献法和信息份额法测算出来的期货市场对价格形成的贡献度分别为61.94%和67.13%,而现货市场对价格形成的贡献度分别为38.06%和32.87%。这表明,相对于现货市场,我国期货市场的价格发现功能处于主导地位。
This paper, for the first time, uses the panel data method to analyze the price relationship between the futures market and the spot market in China based on the panel error correction model using the common factor contribution method and the information sharing method respectively. The empirical results show that: Generally speaking, there is a long-term equilibrium relationship between futures prices and spot prices of commodities in our country. Futures prices show Granger causes of spot prices, but spot prices do not show the Granger causes of futures prices. The contributions of the futures market to the formation of prices using the common factor contribution method and the information share method are 61.94% and 67.13% respectively, while the contribution of the spot market to price formation is 38.06% and 32.87% respectively. This shows that, relative to the spot market, the price discovery function of China’s futures market is in a dominant position.