中国棉花期货市场价格发现功能研究被引量：14

Research on Price Discovery in Chinese Cotton's Futures Market

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摘要期货市场和现货市场之间的价格发现功能一直是监管部门和投资者十分关心的问题。本文借助信息共享模型、脉冲响应函数和方差分解等方法,对中国棉花期货市场和现货市场的价格关系进行了实证研究。研究结果表明:棉花期货价格和现货价格之间存在显著的双向引导关系和长期均衡关系;期货市场和现货市场都扮演价格发现角色,且期货市场在价格发现中处于主导地位。 Price discovery in spot and futures markets is very important. This article empirically measures price discovery in Chinese cotton＇s spot and futures markets with the information share model, variance decomposition and impulse response function. The results show that there are bi-directional lead relations and long-run equilibrium relationship between cotton＇s spot and futures prices. Moreover, both spot and futures markets play important price discovery roles and the futures market is more dominant than the spot market.

作者李慧茹

机构地区中国矿业大学管理学院

出处《运筹与管理》 CSCD 2006年第6期95-99,共5页 Operations Research and Management Science

基金国家自然科学基金资助项目(70372064)

关键词数量经济学价格发现信息共享模型脉冲响应函数方差分解 mathematical economics price discovery information share model impulse response function variance decomposition

分类号 F830.9 [经济管理—金融学]

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参考文献9

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