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本文选取上海期货交易所的天然橡胶和燃料油2008年7月29日到2012年7月29日的数据,对其价格发现功能进行定量分析。首先,采用Johansen协整检验分析变量数据间的长期趋势关系,然后,采用Granger因果检验分析价格变化的相互关系,再使用GS模型和ECM模型进行深入研究。期货价格和现货价格之间存在长期稳定协整关系,但不同期货的价格发现功能不同。其中,在橡胶的价格发现功能中,期货市场占56.25%,现货市场占43.75%,期货市场对价格变化的影响更大;在燃料油的价格发现功能中,现货市场占93.34%,期货市场占6.66%,现货市场在价格发现功能中的作用更大。
This article selects the data of Shanghai Futures Exchange natural rubber and fuel oil from July 29, 2008 to July 29, 2012 to quantitatively analyze the price discovery function. First, Johansen’s cointegration test was used to analyze the long-term trend relationship between variable data. Then, Granger causality test was used to analyze the relationship between price changes, and the GS model and ECM model were used for further study. There is a long-term stable cointegration relationship between the futures price and the spot price, but the price discovery function of different futures is different. Among them, in the rubber price discovery function, the futures market accounted for 56.25%, the spot market accounted for 43.75%, the futures market has a greater impact on price changes; in the fuel oil price discovery function, the spot market accounted for 93.34% of the futures market 6.66%, the spot market plays a greater role in the price discovery function.