中国玉米期货市场价格发现功能的实证分析被引量：21

Corn futures Market Price Discovery Function of Empirical Analysis in China

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摘要利用相关系数、协整检验、格兰杰因果检验以及GS模型等方法对大连期货交易所玉米期货市场的发现价格功能进行了实证分析.结果表明:玉米期货价格与现货价格之间存在协整关系,期货价格具有良好的发现价格功能;存在期货价格和现货价格的双向格兰杰引导关系;玉米期货市场的发现价格功能中期货价格起着决定性的作用. The correlation coefficient, cointegration test, Granger causality test, as well as methods of Dalian Futures ExChange corn futures market price discovery function of the empirical analysis. The results show that： Corn futures prices and spot prices cointegration relationship exists between the futures price has a good price discovery function of the existence of futures prices and spot prices of two-way Granger guide ; corn futures market price discovery function in futures prices a decisive role.

作者贾兆立白玫王海军覃丽萍

机构地区首都师范大学信息工程学院中国社会科学院工经所

出处《数学的实践与认识》 CSCD 北大核心 2008年第15期81-85,共5页 Mathematics in Practice and Theory

关键词价格发现协整检验格兰杰因果检验 GS模型 price discovery cointegration test Granger causality test GS model

分类号 F724.5 [经济管理—产业经济] F224 [经济管理—国民经济]

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参考文献1

1华仁海,仲伟俊.对我国期货市场价格发现功能的实证分析[J].南开管理评论,2002,5(5):57-61. 被引量：133

二级参考文献12

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