中国金属期货市场价格发现功能研究——基于面板协整方法被引量：4

Research of Price Discovery Function in China Metal Futures Market——Based on Panel Co-integration

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摘要运用面板协整方法分析我国有色金属期货市场现货市场的价格发现关系。实证结果显示:上海期货交易所上市的三种有色金属和一种贵金属的期货价格和现货价格之间均存在长期均衡关系,期货价格表现为现货价格的Granger原因。但对不同商品而言,各个市场的功能发挥存在差异。有色金属期货市场的价格发现能力强于现货市场,而贵金属黄金的现货市场更强于期货市场。 This paper analyzed the price discovery relationship between futures market and spot market of non-ferrous metals in China by using the method of panel co-integration.Empirical results have showed long-run equilibrium between the futures prices and spot prices of all three kinds of non-ferrous metal and a precious metal listed in Shanghai Futures Exchange.Also the futures prices have been proved to be the Granger reason for the spot prices.But great difference showed for different commodities.The function of price discovery in the Non-ferrous metals futures market is much stronger than precious metals such as gold futures.

作者王泰强候光明李杰赵宏

机构地区北京理工大学管理与经济学院中电投先融期货有限公司重庆理工大学商贸信息学院

出处《北京理工大学学报（社会科学版）》 CSSCI 2011年第5期44-47,共4页 Journal of Beijing Institute of Technology：Social Sciences Edition

关键词面板协整价格发现有色金属期货黄金期货 panel co-integration price discovery non-ferrous metal futures precious metal futures

分类号 F830.9 [经济管理—金融学]

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