棉花期货主力及近月合约价格发现效率比较与套保选择

The Comparison of the Price Discovering Efficiency Between Dominant Contracts of Cotton Futures and Nearby Contacts and the Hedging Options

以我国棉花期货主力合约、近月合约与中国棉花价格328指数之间均衡关系的分析为基础,构建各期货合约与棉花328指数的VAR模型,并通过Johansen协整检验,验证各棉花期货合约与棉花现货指数之间是否具有长期稳定的均衡关系,并在存在协整关系的变量间建立VEC误差修正模型,通过以上研究找出各期货合约与棉花现货价格的因果关系及其影响程度,进而比较各期货合约的价格发现效率。研究发现,棉花期货近月合约价格和现货价格的均衡关系要比主力合约期货价格和现货价格更加稳定,近月期货合约的价格发现效率要优于主力合约。

This article is based on the analysis on the correlation and co-integration relationship between the dominant cotton futures contract,nearby contract and China cotton price 328 index,to build VAR model of every futures contract and cotton 328 index,and through Johansen cointegration test,verify whether the long-term stable equilibrium relationship between the futures contract with cotton and cotton spot index,and establish a VEC error correction model in the presence of cointegration between variables,through the above research to find out the causal relationship between futures contracts and the spot price of cotton and its influence,and then to compare the price discovery efficiency of futures contracts.The research found that the balance relationship between the contract price of the cotton futures in recent months and the spot price was more stable than the futures price of the dominant contract and spot price,and that the price discovery efficiency of the futures contract in recent months was superior to the dominant contracts.