摘要
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.
出处
《中国管理信息化》
2009年第21期74-76,共3页
China Management Informationization
关键词
期货市场
信息共享模型
协整检验
方差分解
价格发现
Futures Market
Information-sharing Model
Co-integration Test
Variance Decomposition
Price Discovery