摘要
期货市场与现货市场是一对关联程度非常高的市场,本文以上海期货交易所铝期货和现货为例,利用协整检验、误差修正模型等方法,得到了我国铝期货市场与现货市场长期均衡关系和短期动态关联关系,表明我国铝期货市场已基本具备市场价格发现功能,并形成了价格自我约束机制。
The degree of correlation between future market and spot market is high.Using cointegration test and error correction model, this paper takes the aluminum future and spot in China as the object of study to test the long term cointegration relationship and short term dynamic relationship between copper future and cash copper. The result indicates that the aluminum future market has been basically a price discovery function and the Mechanism of price self-Restraint.
出处
《金融发展研究》
2009年第4期65-67,共3页
Journal Of Financial Development Research
基金
教育部新世纪优秀人才支持计划(NCET-06-0163)
关键词
期货
现货
协整检验
误差修正模型
future, spot, cointegration test, error correction model
