中美大豆期货市场价格发现功能比较研究

A Comparative Study of Price Discovery Function of Soybean Futures Market in China and USA

借助于Johansen协整检验、误差修正模型、Granger因果检验、脉冲响应函数和方差分解等计量分析方法对中美两国大豆期货市场价格发现功能进行了实证研究,研究结果表明:中国大豆期货市场在一定程度上具有了价格发现功能,但与期货市场发展相对成熟和完善的美国相比,这一功能的发挥要明显落后于美国。本文提出了增强中国大豆期货市场价格发现功能的相关政策建议。

With the help of Johansen Cointegration Test, Error Correction Mechanism, Granger Causality Test, Impulse Response Function and Variance Decomposition Model, the paper makes an empirical study of price discovery function of soybean futures market in China and USA. The results show that price discovery function has come into effect in China soybean futures market. However, compared with the relatively perfect USA futures market, there is still a wide gap to be narrowed for China futures market. Finally, it gives some advice on how to strengthen price discovery function of soybean futures market in China.