我国铜期货与现货间价格关系的动态研究

Dynamic Research on the Price Relationship of Copper Futures and Spot in Chinese Market

文章针对铜期现货价格关系,对已有的文献进行梳理后发现,国内对于我国不同品种的期现货间价格关系的研究多是静态研究,对于我国近年来铜期现货间价格关系的动态变化特点少有涉及。因此,文章通过综合利用向量误差修正模型和信息份额模型,对2011年12月以来我国铜期货与现货间的价格关系分阶段进行了动态研究。结论表明:我国铜期现货价格间始终存在显著的长期均衡关系。在价格震荡趋势中,期现货价格间存在双向引导关系,期货价格在期现货价格的引导关系中占据主导地位。期货信息份额贡献度为63.82%。而在价格下跌趋势中,只存在期货价格引导现货价格的单向引导关系,且期货价格对现货价格的引导影响力明显提升,信息份额贡献度提升至74.94%,期货的价格发现能力显著增强。

After researching the existing literatures about the price relationship of copper futures and spot, the result is that most domestic researches about the price relationship of copper futures and spot are based on the statistical data, but dynamic researches on the price relationship is limited. So, the research methods provided are Vector Error Correction Model and Information Share Model, in order to serve the researches about dynamical price relationship of copper futures and spot in Chinese market from December 2011 to April 2014. Conclusions show that there is a significant long-run equilibrium relationship between the spot and futures price of copper.In trend of price shocks, there is a two-way relationship between the spot and futures price of copper. Futures prices dominate the leading position in the price relationship. Information share contribution of Futures price is 63.82%. In trend of price downward, there is only the futures price guide-way relationship between the spot and the futures price. The guiding influences enhance futures price to spot price significantly, increased to 74.94%. It means that the price discovery capabilities of futures price significantly are intensive.