期货与现货价格的动态关系——基于沪市期货交易所铜铝的实证分析被引量：1

Dynamic Relation Between Future Price and Spot Price

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摘要期货与现货价格之间的变动关系从一个侧面揭示出期货市场的运行效率,同时也是投资者十分关注的问题.借助单位根检验、协整检验、误差修正模型和Granger因果关系检验,以上海期货交易所铜、铝这2个期货品种为例,主要研究期货价格变动对现货价格变动的影响,定量地刻画出期货价格变动对现货价格变动的影响程度.研究结果显示,这2个品种期货与现货价格之间存在长期均衡关系,期货与现货价格相互作用,互为因果. The changeable relationship between future price and the spot price discloses the efficiency of the future market. And it is one problem which the investors concentrate. The authors study the effects of the copper and aluminum future price changes on the copper and aluminum spot price in shanghai future exchange market with ADF,co-integration, ECM and Granger. Furthermore, the changeable relationship is described accurately. Finally, the result demonstrates that the future price and the spot price have a long balanced relationship, the future price and the spot price interact each other, and there is mutural causality between them.

作者佟孟华杨竹莘王丽娜陈传秀

机构地区东北财经大学数学与数量经济学院

出处《吉首大学学报（自然科学版）》 CAS 2008年第3期35-39,共5页 Journal of Jishou University(Natural Sciences Edition)

基金国家社会科学基金资助项目(07BJY159)

关键词期货价格现货价格协整关系 GRANGER因果关系 future price spot price co-integration Granger causality

分类号 F740 [经济管理—国际贸易]

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