全球三大植物油期货市场国际关联性研究

On the International Linkages and Pricing of the Three Most Important Vegetable Oil Futures Markets in the World

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47.374%、33.193%和18.125%。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。

The international linkages of futures market are mainly reflected in the price＇s interactive relation of the same futures contract in the different countries＇ futures exchanges. This article examines the international linkage between the Chinese, American and Malaysian vegetable oil futures markets by using co-integration test, vector error correction model, variance decomposition and impulse responses function analysis methods, etc. The results suggest that the DCE, CBOT, BMD markets exhibit long-run equilibrium relationship, and the CBOT market plays more important role in the power of influence and pricing. The total variance consists of CBOT＇s 47. 374%, DCE＇s 33. 193% and BMD＇s 18. 125%. So CBOT price has more authority than DCE and BMD prices around the world.