DCE与CBOT大豆期货价格平稳过程的比较研究

A Comparative Study on the Stable Process of Soybean Futures Price Between DCE and CBOT

本文使用Granger协整检验方法对DCE(大连商品交易所)和CBOT(芝加哥商品交易所)大豆期货价格的平稳过程作了比较研究。实证结果显示:DCE与CBOT大豆期货价格之间存在着明显的长期均衡关系,但是它们之间的短期波动修正关系并不明显,表明我国的大豆定价在国际上占有越来越重要的地位。

This paper studies stable process of soybean futures prices between DCE and CBOT by Granger co-integration test. The empirical results show that the long-term equilibrium between DCE and CBOT is obvious, but the short-term volatility revision relation between them is not so obvious. It indicates that the pricing of soybeans in China is playing a more important role in the world.