电力期货市场的价格发现功能

Price discovery function of electricity futures market

价格发现功能是期货市场的基本功能之一,它在期货市场的发挥程度直接反映了期货市场的有效性。为检测电力期货市场的价格发现能力,借助协整理论和误差修正模型分析了北欧电力期货市场的"简单效率",并利用Granger因果检验、冲击反应分析、方差分解等方法对北欧电力期货市场与现货市场的领先-滞后关系进行了研究。研究结果显示,期货电价和现货电价存在协整关系,且期货电价是现货电价的无偏估计量,北欧电力期货市场满足"简单效率";期货市场的价格变化领先于现货市场的价格变化,且期货市场在价格发现功能中处于主导作用,北欧电力期货市场具有良好的价格发现功能。

Price discovery is one of the basic functions of futures market,which reflects the efficiency of futures market. With Nordic electricity futures market as an example,the simple efficiency is discussed with cointegration theory and error correction model to test its price discovery function. The lead- lag relationship between Nordic electricity futures market and spot market is studied with the Granger causality test,impulse response analysis and variance decomposition method. The results show that,there is cointegration relationship between the futures price and the spot price,the former is an unbiased estimator of the latter,and Nordic electricity futures market satisfies the simple efficiency;the futures price change is leading the spot price change,Nordic futures market plays the leading role in price discovery,and Nordic electricity futures market has good price discovery function.