玉米期货价格与现货价格关系的实证研究

An Empirical Study on the Relationship between Corn Futures Prices and Spot Prices

套期保值和价格发现是期货市场的两大基本功能,我国玉米期货市场是否具备这两大基本功能,取决于期现货市场价格之间是否存在长期均衡关系以及期现货市场价格之间的引导关系。通过协整检验分析玉米期货上市以来的价格数据与现货价格之间的长期关系,结果显示二者之间存在着协整关系,期货市场具备对现货市场套期保值的条件;运用格兰杰因果检验进一步研究,结果表明玉米期货价格与现货价格具有双向因果关系,期现货价格存在相互引导的价格关系,即期货市场具有价格发现的功能。

The hedging and price discovery are the two basic functions of futures markets.Whether China＇s corn futures market has these two basic functions is decided by the existence of long-term balanced and guidance relationship between the futures market price and spot market price.According to co-integration test,analysis of the longterm relationship between price data and spot price finally demonstrated the existence of co-integration between the two,and futures market has the condition of hedging to spot market.Further study,which is done by using the Granger-causality test,finally indicated that the corn futures price and the spot price have the bidirectional causal and guidance relationship.That is to say,the futures market has the function of price discovery.