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长期以来对期货市场与现货市场价格关系的实证研究都是基于时间序列方法的研究.为了克服时间序列方法存在着的不足,将使用面板数据方法,在面板单位根检验以及面板协整检验和协整估计的基础上,构建面板误差修正模型来分析期货价格和现货价格的均衡以及相互引导关系.进一步的,在误差修正模型的基础上我们采用信息份额方法(I-S模型)和共同因子贡献法(P-T模型)分析了期货市场和现货市场的价格发现功能.通过上述研究,发现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,并且表现出了相互引导互为Granger因果的关系.利用I-S模型和P-T模型测算出来的期货市场对价格形成的贡献度分别为88.17%和79.44%,这说明当前我国的期货市场总体上讲是有效率的市场.
For a long time, the empirical research on the relationship between the futures market and the spot market price is based on the time series method.In order to overcome the shortcomings of the time series method, the panel data method will be used in panel unit root test and Panel Cointegration Test Based on the whole estimation model, a panel error correction model is constructed to analyze the equilibrium and the mutual guidance between the futures price and the spot price.Furthermore, on the basis of the error correction model, we use the information share method (IS model) and the common factor contribution method PT model) analyzes the function of price discovery in the futures market and the spot market. From the above studies, we find that there is a long-term equilibrium between the futures price and the spot price of commodities in China as a whole and that they show mutual guiding each other Granger causality Relationship.The estimated contribution of the futures market to the price formation using the IS model and the PT model respectively is 88.17% and 79.44%, which shows that the current futures market in our country as a whole is an efficient market.