茧丝期货价格与现货价格的动态关系研究

A Study on Dynamic Relationship Between Futures Price and Spot Price of Dried Cocoon and Raw Silk

期货价格与现货价格的动态关系可直接反映期货市场的运行效率。中国茧丝绸交易市场是从事茧丝电子远期交易和现货即期交易的全国性市场,依据该市场公布的2009年1月5日至2013年8月2日共239周的数据,选择干茧A、生丝B2个现货电子交易品种以及对应的干茧、白厂丝(22/24.2 dtex,厂检)2个现货即期交易品种,运用相关性分析、协整检验、格兰杰因果检验、GS模型检验等计量分析方法,研究茧丝期货价格之间与现货价格之间的动态关系,定量刻画茧丝期货市场的价格发现功能。研究结果显示,干茧、生丝期货都具有价格发现功能,并以生丝期货的价格发现功能更好;但茧丝现货价格的主导功能较弱,茧丝市场上存在过度投机炒作行为。据此建议:各交易主体应多利用茧丝期货市场的价格发现功能,规避茧丝现货市场风险;有关部门应查明导致茧丝现货价格主导功能较弱的市场力量,打击过度投机炒作行为,规范市场交易,特别要加强对干茧期货与现货交易的规制。

The dynamic relationship between futures price and spot price can reflect the operating efficiency of futures market directly. Chinese silk trading market is a national market for cocoon and silk electronic forward transactions and spot transactions. We chose the statistics of 239 weeks （from January 5 of 2009 to August 2 of 2013） of two spot e-trading items--dry cocoon A and raw silk B, and two corresponding spot trading items--dried cocoons and white steam filature （22/24. 2 dtex, factory inspection）, used the correlation analysis, the co-integration test, Granger causality test and the GS model test to study the dynamic relationship between futures price and spot price, and tried to quantitatively describe the price discovery function of cocoon and silk futures market. The results showed that futures price of dried cocoon and raw silk can guide spot price of dried cocoons and raw silk among which raw silk is better than dried cocoon in price discovery function. However, spot price of dried cocoon and raw silk are weak in price leading function. There exists excessive speculative behavior in dried cocoon and raw silk market, Therefore, we advise various trading participants to take full advantage of the price discovery function of Chinese cocoon and silk futures market to avoid risk in the spot market of cocoon and silk. The relevant departments should find out the market power which hinders the leading function of cocoon and silk spot price, act against excessive speculative behavior, standardize market transactions, and, especially, strengthen the regulation on futures and spot trade of dried cocoon market.