大宗商品交易市场间价格关联性研究--来自PVC产品价格的检验

Research on the Correlation of Commodity Prices in Exchange Markets——Based on the Test of PVC Products

以大连商品交易所和宁波大宗商品交易所上市的PVC产品价格作为案例,通过实证分析研究了大宗商品市场体系中期货市场、现货市场及区域性电子交易场所三个市场间价格的关联性,结果表明:期货市场、现货市场及区域性电子交易场所间价格存在高度关联性;期货价格变化是引起其他两个市场价格变动的格兰杰原因,区域性电子交易场所价格变化是引起现货市场价格变动的格兰杰原因。在区域性电子交易场所和现货市场价格变化中期货市场贡献度高达95%,区域性电子交易场所对其他两个市场贡献度平稳增加。

Based on the prices of PVC products listed in Dalian Commodity Exchange and Ningbo Commodity Exchange, the paper did empirical study on the correlation of prices in futures market, spot market and regional electronic trading market and concluded that the prices are highly correlated in futures market, spot market and regional electronic trading market. The change of futures prices is the Granger reason of price change in the other two markets and the price change in regional electronic trading market is the Granger reason of price change in spot market. The contribution rate of futures market accounts for 9 5 % in the price change in regional electronic trading market and spot market. The contribution of regional electronic trading market to the other two markets improves steadily.