钢材期货价格发现功能研究——基于印度市场信息共享模型的分析

Study on Price Discovery Function of Steel Futures Based on Information-sharing Model in India Market

本文借助于Johansen协整检验、Granger因果检验、信息共享模型、方差分解等方法进行多层次实证研究,定量地刻画出期货市场在价格发现中作用的大小。研究结果显示:印度板材期货价格和现货价格之间存在长期均衡关系,在价格引导上仅存在现货对期货价格的单向引导关系,期货对现货没有引导关系;通过方差分解发现,现货市场在价格发现功能中处于主导地位,说明印度钢材期货市场效率有待提高,板材期货没有实现其应有的价格发现功能。

This paper mainly making a multilevel empirical analysis by means of co-integration test, Granger causality test, information share model and variance decomposition. This research analyzed quantitatively the price discovery role of futures markets. The findings indicate that： there is long-run equilibrium relationship between India plate futures prices and spot prices; there is the a single lead relation from spot market to futures market in steelflat＇s spot and futures prices; through the variance decomposition, we found that spot market plays a more important role in the price discovery, this shows that India＇s steel futures doesn＇t achieved the function of price discovery and India＇s steel futures market efficiency needs to be improved.