上海期货交易所铜期货价格发现实证研究

EMPIRICAL RESEARCH OF SHFE COPPER FUTURES' PRICE DISCOVERY

通过VAR模型及其修正模型VECM对上海期货交易所铜期货的价格发现功能进行了实证分析.研究发现:铜期货价格与现货价格存在格兰杰双向因果关系和一个协整关系,期货与现货价格之间存在长期均衡关系.对铜期货来说,现货市场在价格发现功能中起到主导作用,因为现货市场在价格发现功能中约占65.4%,大于来自于期货市场的34.6%.在脉冲响应函数分析中,除了期货与现货价格对其自身的一个标准差新息立刻有反应外,现货价格新息对期货价格的影响更大.而且VECM模型也证实了铜期货价格是以现货价格为基准进行调整的.这些都说明了铜现货市场在价格发现中的主导地位.

The paper described an empirical research on the function of the price discovery of the copper futures in SHFE by using VAR and VECM models. It was found that the copper futures and spot prices have Granger bi-directional leading relationship and a cointegration relationship, so the futures and spot prices have long-run equilibrium relationship. For the copper futures, the spot market plays a more important role in the function of price discovery, because spot market accounts for 65.4% in the function of price discovery which is bigger than 34. 6% from futures market. In the impulse responses function , spot price＇s innovation has more influence on futures＇ price, besides the futures and spot prices have immediate obvious feedback on one standard difference innovation of themselves. At the same time, the VECM model confirms that the copper futures＇ price is adjusted based on spot price. All these results explain that the copper spot market plays a more important role in the price discovery.