基于中国金属期货价格指数的价格发现能力实证研究

An Empirical Study on the Price Discovery Ability Based on Metal Futures Price Index in China

针对目前我国在金属期货市场价格发现能力的研究中,只局限于单品种研究,而缺乏对整体市场研究的现状,本文首次利用2003年1月2日至2010年12月31日由作者自己编制的中国金属期货价格指数(CMFPI)和国内金属现货市场上具有代表性的上海有色金属价格指数(SMMI)数据,构建信息传递效应模型和G-S模型,对我国金属期货市场的价格发现能力进行了探究。研究结果表明:我国金属期货和现货市场之间存在显著的双向价格引导关系,不存在显著的波动溢出效应和持续的非对称效应;金属期货市场在经过治理整顿和规范发展的阶段后,其价格引导力度不断增强,现已基本具备价格发现能力。最后,本文根据结论提出对策建议。

Among the researches of price discovery ability of Chinese metal futures market, there is only about the single variety research, but lacks of the research about overall market. Using the data of Chinese Metal Futures Price Index （CMFPI）, which is compiled by ourselves , and the data of Shanghai Metals Market Index （SMMI） from Jan 2,2003 to Dec 31,2010, we construct the information transmission effect modei and the G-S model in order to research the price discovery ability of Chinese metal futures market. The empirical results show that there are the significant bidirectional price lead relationships between the metal futures market and spot market, and lack of volatility spillovers effect and constant asymmetric effect between them ; after the period of rectification and development,the price lead ability of the metal futures market enhances gradually and the metal futures market has had the ability of price discovery now. Finally, we propose our suggestions.