我国农产品期货与现货市场之间的信息传递效应

Information Transmission Effect between Agricultural Commodity Futures Market and Spot Market in China

通过构建误差修正项模型和基于t分布的双变量EC-EGARCH(1,1)模型,选取玉米和白糖期货作为研究样本对我国农产品期货市场和现货市场之间的的信息传递效应进行了实证研究。结论表明:农产品期、现货市场之间存在长期均衡关系、相互引导关系和相互波动溢出效应,并且期货市场对现货市场的波动溢出效应大于现货市场对期货市场的波动溢出效应;检验了期货市场交易量和持仓量的信息传递效应,发现只有交易量对现货市场有显著的正反馈信息传递效应。

The information transmission effect between agricultural commodity futures markets and spot markets are examined by constructing ECM and bivariate EC-GARCH（1,1） model based on the student-t distribution with daily data in corn and sugar spot-futures market.The research results show that the spot and futures markets have long-run equilibrium relationship and bidirectional price leading relationship as well as bidirectional volatility spillover effect.Moreover,the volatility spillover effect from futures markets to spot markets is greater.The spillover effect of the volume is significant and the open interest＇s is insignificant.