摘要
本文选择相关系数、协整检验、误差修正模型、Granger因果检验、Garbade-Silber模型对上海燃料油期货市场价格发现功能发挥和价格引导情况进行递进、全面的分析,实证结果显示上海燃料油期货价格与国内现货价格之间存在协整关系,燃料油期货价格发现功能得到一定程度发挥,但仅存在现货价格对期货价格的单向引导关系,且在价格发现功能中,现货价格起着决定性的作用。
By adopting the ＂correlation factor＂, ＂cointegration theory＂, ＂Granger Causality Test＂, ＂GS Model＂ and ＂Vector Error Correction Model＂, this article analyzes the price discovery and price leading function of Shanghai fuel oil futures market. Tests reveal that there is a cointegration relation between Shanghai fuel oil futures price and spot price. As for the Shanghai fuel oil futures, its function of price discovery has achieved a measure of success. But there is only a one - way leading function from spot price to futures price and the spot price has played an important role in the function of price discovery.
出处
《财贸研究》
北大核心
2007年第2期104-108,115,共6页
Finance and Trade Research
基金
2005年度国家软科学计划项目(编号:2005DGS3D082)。
