中国棉花期货价格发现功能:基于中美棉花期货的比较研究

Price Discovery Function of China Cotton Future:A Comparison Research Based on Cotton Future in China and America

本文选取2009年4月1日至2010年1月25日期间中国与美国棉花期货与现货市场203个交易日的价格数据,运用ADF检验、协整分析、Granger因果检验、误差修正模型和方差分解方法,实证检验的结果表明中美棉花现货价格与期货价格之间均存在显著的双向引导关系,且中国和美国棉花期货市场价格在偏离均衡价格时,都能够在短期内趋近于长期均衡。由此看来我国棉花期货市场价格发现功能已经初步具备,但由于我国棉花期货市场成立时间较短,在价格形成方面有待于进一步完善成熟。

In this paper,we choose ZCE＇s daily trade data of Cotton Future price from April 1,2009 to Jan.25,2010,and ADF test,Johnsen Co-integration test,Granger Causality test,VECM model and Variance Decomposition method are adopted.The empirical results show there is significant bidirectional Granger causal relationship between equilibrium Cotton Future price,and both Cotton Future price in China and America can tend to long-term equilibrium when they depart from equilibrium price.So we can draw a conclusion that price discovery function of China Cotton Future has been formed,and price formation mechanism need to be improved.