基于SVAR模型的期锌市场及其现货市场的价格发现功能实证研究

Price Discovery Analysis of Zinc Market and Spot Market Based on SVAR Model

立足于期货市场的基本功能,利用SVAR模型发现期锌市场及其现货市场对来自各自身的冲击反应迅速,且具有强持续性;期货市场对现货市场冲击是积极、有效的,但现货市场对期货的冲击是消极、微弱的.方差分解表明期锌市场94%比例来自于自身,6%来自现货市场.而现货市场在达到稳定状态后只有10%来自于自身,90%来自于期货市场.研究结果为套期保值时点的选择提供了重要的理论参考依据.

Based on the basic functions of futures markets, the SVAR model was used to analyze futures market and spot market＇s response to their respective impulse factors. The results show that futures market has active and effective impacts on spot market, while spot market is negative and weak to futures market. Variance decomposition of the two markets＇ reaction to the price fluctuations indicates that 94 % of the variance derives from itself and 6% from the spot market. When spot market reaches strong sustainability, only 10% comes from itself and 90% from the futures market. The investigation outcome will provide an important theoretical basis for the selection of arbitrage spot.