沪铜期货市场价格发现的动态贡献——基于状态空间模型的实证研究

An Empirical Study on Dynamic Contribution of Price Discovery in Shanghai Copper Futures Market——Based on the State-space Model

商品期货价格与现货价格的相互关系一直是学术界研究的热点,但大都基于静态的模型。本文从期货定价的持有成本理论出发,通过误差修正方程构建状态空间模型,利用卡尔曼滤波算法从动态的角度研究了2004-2012年期间我国沪铜期货市场价格发现的贡献。实证结果显示:2004-2012年,我国沪铜期货市场价格发现的贡献随着时间的变化而变化。2004-2008年逐步增强;2008年金融危机后,逐步下滑,到2010年,落后于现货市场;之后又有回升趋势。总体来看,沪铜期货市场在价格发现中处于主导地位,但具有明显的波动性。

The relationship between commodity futures prices and spot prices has been the focus of academic researches, but most of them are based on static models. To study the dynamic contribution of price discovery, the carry-cost theory for the pricing of futures is used. At the same time, cointegration test, error correction model and state-space model are used to measure dyna- mic contribution of the copper futures price discovery process in Shanghai Futures Exchange （SHFE） during the period from 2004 to 2012. The results show that： the contribution degrees of the copper price discovery process vary over time： it gradually increased from 2004 to 2008, then reduced because of the financial crisis in 2008, in 2010, it fell behind the spot market and then began to rise. In summary, the copper futures market plays a dominant role in price discovery, but it fluctuates significantly.