世界豆油期货市场关联性研究：基于中美两国的实证分析

Research on the Linkages of World Soybean Oil Futures Markets: Based on Sino-US Empirical Analysis

期货市场国际关联性是同一期货合约的价格在各国市场上的相互关系。本文通过采用协整检验、方差分解和脉冲响应等技术对世界最大两个豆油期货市场的关联性研究发现:大连、芝加哥交易所豆油期货价格和中国豆油现货平均价格之间存在长期均衡关系。大连豆油期货市场的影响力与权威性都比芝加哥市场强大。

International linkages of futures market are mainly reflected by the price＇s interactive relation of the same futures contract from different countries＇ markets. This article examines the international linkage between China and America＇ s futures market by using analysis methods such as cointegration test, error correction model, variance decomposition and impulse responses function, etc. The results suggest that there exists long-run equilibrium relationship between the DCE and CBOT futures prices and China＇s spot price exist. The total variance consists of DCE＇ s 52.15%, CBOT＇s 37.46% and China spot market＇s 10.39%, so DCE have more important influence and authority than CBOT.