我国棉花现货、期货及电子交易市场价格动态关系研究

Study on Dynamic Relationship between Cotton Spot, Futures and E-market Price in China

采用Johansen协整检验、Granger因果检验、VECM模型、脉冲响应函数与方差分解对我国棉花现货、期货、电子交易3类市场的价格进行比较研究。结果表明:3类市场价格长期存在较为一致的波动趋势,保持比较稳定的均衡关系;3类市场价格之间均存在显著的双向引导关系,但引导程度并不相同,棉花期货价格对棉花现货、电子交易市场价格的影响处于主导地位,反之则影响有限,并且现货价格对期货价格的影响比电子交易市场价格对期货价格的影响要大得多;现货价格对电子交易市场价格影响大于电子交易市场对现货的影响。

This paper analyzes the variation of cotton spot, futures and e-market price in China by u- sing Johnsen co-integration test, Granger Causality test, VECM model, Impulse Response Function and Variance Decomposition method. The result shows that three market prices demonstrate more consist- ent fluctuant trend, and maintain a relatively stable equilibrium relationship for a long term. There is significant bidirectional Granger causal relationship among them, however, the dominant levels are not the same. Cotton futures price has a dominant position over cotton spot and e-market,on the contrary, their influence on futures is much smaller. The impact of cotton spot＇s influence on futures is much lar- ger than that of futures in e-market. The impact of cotton spot＇s influence on e-market is larger than that of cotton spot in e-market.