我国钢材期货对现货价格波动的影响

The Empirical Analysis of the Affect of Steel Futures on the Fluctuations of Spot Price in Steel Market in China

我国钢材期货和现货价格波动存在正相关性,即使价格短期出现分歧,但从长期来看也会趋向于一致;钢材期货表现出了一定的价格发现功能;上一期现货价格的波动会引起当期期货价格和现货价格的同方向变动,且影响远大于同期期货价格波动和前一期期货价格和现货价格波动的影响;钢材期货的上市不仅不是钢材现货市场价格大幅波动的原因,而且在一定程度上对现货价格的大幅波动起到了抑制作用。钢材期货的推出,无论是对涉钢企业规避价格风险,还是对钢材市场平稳发展及稳定钢材价格,都具有一定的积极意义。

The author concludes that the steel futures price and spot price fluctuations are positively correlated;though there is perhaps a gap in the short-term between these two factors,they will eventually converge in the long-term;to a certain extend,steel futures plays the role of price discovery;the prior period fluctuations in the cash market will lead to the same-direction price changes in the futures and cash market in the current period;and this influences will be stronger than that of the current fluctuation in the futures market and the prior period price fluctuation in the futures and cash market;The trade of steel futures is not the reason of fluctuations of spot market price,but to a certain extent,it plays the inhibition role to spot price fluctuations.The introduction of steel futures is of great significance to not only the steel related enterprises in terms of risk transfer,but also the steel market in terms of maintaining stable development and stable price.