大商所豆一与豆粕期货合约价格的协整性分析

Cointegration Analysis of Futures Contract Prices of DCE Soybean and Soy Meal

大连商品交易所在中国农产品期货市场中扮演着重要的角色。本文借助ADF单位根检验方法及协整理论,对大连商品交易所豆一与豆粕期货合约价格进行了实证研究和分析,并最终得出上述两交易品种期货合约价格之间存在协整关系的结论。

Dalian commodity exchange(DCE)plays an important role in China's agricultural commodity futures market.Using ADF unit root test and the methodology of cointegration analysis,this paper analyzes empirically the futures contract prices of DCE soybean and soy meal.A conclusion is drawn that a relationship of cointegration exists between the futures contract prices of these commodities.