摘要
借助误差修正模型和方差分解方法,对中国和美国棉花期货市场价格发现功能进行了对比研究。结果表明:中国和美国棉花期货价格存在双向引导和长期均衡关系;2个期货市场都扮演重要的价格发现角色,且中国棉花期货市场在价格发现中处于主导地位。
In the article the price discovery function of cotton future market in China and US was empirically measured with error correction model and variance decomposition method. The results showed that there were bi-directional relation and long-run equilibrium relationship. Thus, both ZCE and NY- BOT played the important price discovery roles and the ZCE market was more dominate than the NYBO/T market.
出处
《安徽农业科学》
CAS
北大核心
2007年第3期912-913,共2页
Journal of Anhui Agricultural Sciences
关键词
期货市场
价格发现功能
误差修正模型
方差分解
Future market
Price discovery function
Error correction model
Variance decomposition
