中外期货市场国际关联性与定价权研究——以植物油市场为例

Research on the International Linkages and Pricing of Futures Markets in China and Foreign Countries:——Kaking Vegetable Oil Markets for Example

期货市场国际关联性主要通过同一期货产品在跨国跨市场的期货价格互动关系上体现出来。利用多元协整检验、向量误差修正模型、方差分解和脉冲响应函数等技术对中国、美国、马来西亚3家期货交易所的豆油与棕榈油期货价格和中国豆油现货价格关联性进行研究。结果发现:大连、芝加哥、大马交易所的期货价格和中国现货价格之间存在长期均衡关系,芝加哥市场在影响力和定价权方面起到主导作用;总方差中来自于芝加哥、大连和大马交易所分别为59.639%、33.847%和4.624%。在世界植物油期货市场中,芝加哥交易所的权威性比大连、大马交易所更强。

International linkages of futures market are mainly reflected by the price＇s interactive relation of the same futures contract from different countries ＇ futures exchange. This article examines the international linkage between Chinese, American and Malaysian vegetable oil futures market by using cointegration test , vector error correction model, variance decomposition and impulse responses function analysis methods, etc. The results suggest that the DCE, CBOT, BMD markets exist longrun equilibrium relationship, and the CBOT futures market plays more important role in the power of influence and pricing. The total variance consists of CBOT＇s 59. 639%, DCE＇s 33. 847% and BMD＇s 4. 624%. So CBOT price has more authority than DCE and BMD price around the world.