期现货市场风险传导研究——以我国大豆市场为例

A Study of Risk Spillover between Futures and Spot Markets——An Empirical Analysis on China's Soybean Market

本文以我国大豆市场为例,研究了风险在期现货市场间的传导,分析了我国大豆期货市场风险降低作用的发挥情况。研究发现,我国大豆期现货市场间存在不能被外部因素所解释的风险因果关系。本文认为,这反映了风险在期现货市场间的传导。此外,因现货市场做空机制缺乏所造成的负面因素传播不畅,构成了最主要的风险传导障碍,现货市场中不存在源自期货市场风险的鉴别机制。给定投机力量在我国期货市场当中的主导地位,本文的结果表明,我国大豆期货市场的存在非但未能降低市场风险,反而构成了现货市场波动的来源。

This paper investigates the phenomenon of risk spillover between China＇s soybean futures and spot markets.We find that there is granger causal relationship between the risk of futures and spot markets existed which can＇t be explained by external factors,which reflects the spillover of risk between two markets.We also find that the main obstacle of risk spillover is the short-sale constraints in the spot market.Given the dominant of speculation in China＇s futures markets,our result shows that China＇s soybean futures markets make themselves a source of spot markets volatility.