中国郑州棉花期货市场的国际定价功能研究

Research on International Pricing Function of Cotton Futures Market in ZhengZhou,China

本文借助计量经济学的分析方法,对郑州商品交易所、纽约期货交易所期棉价格与国内棉花现货价格这三者的关系进行了研究,并测算了郑州商品交易所与纽约期货交易所在价格发现中的贡献份额。研究结果表明,三者之间存在协整关系,纽约期货市场在国际棉花定价体系中占有主导地位,而导致郑州棉花期货市场国际定价功能弱化的原因则是国内棉花期货市场与现货市场缺乏有机联系。

With the econometrical method, authors discusses the relationship among the current cotton price and two different futures price which come from ZCE and NYBOT, and calculate the share of price discovery function contributed by ZCE and NYBOT respectively. The results are as follows： there is a relationship of Co-integration among the three kinds of price; NYBOT has a dominant position in the pricing system of international cotton; ZCE get a subordinate position. The key reason is that ZCE have weak organic connections with the domestic current market of cotton.