我国商品期货与现货价格引领关系实证研究

An Empirical Study of Leading-Lagging Relationships between Futures and Spot Prices of Chinese Commodities

商品的期货价格通常被认为是预示"未来"的现货价格,然而期货价格在实际中却表现得与"当前"的现货价格更为密切。本文以在我国三大商品期货交易所上市的典型期货品种为样本,运用计量模型分析期货价格与当前(短期的)现货价格、未来(长期的)现货价格之间的关系。研究结果表明:对于发展成熟的期货产品而言,期、现价格在基本上保持同步变动的基础上存在短期的相互领先关系,哪种价格处于领先位置取决于该价格是否能反映更加公允的商品市场价值;期、现价格之间的同步变动关系使得期货价格一般不具备对中、长期(一个月以上)现货价格的预示作用,否则期货市场的套期保值功能就无从发挥;但是,以煤炭系列为代表的某些期货产品的期货价格能够预示中长期的现货价格,这主要是由于缺少有效的套利行为而致使期货合约具有了远期合约的色彩造成的。

Commodity′s futures price is usually considered to be capable of discovering its“future”spot price;howev?er,the futures price more closely relates to the concurrent spot price in practice.This paper takes the typical commodities traded on three futures exchanges in China as samples and constructs a series of econometric models to study the relation?ships between commodity′s futures price and its concurrent(short-term)spot price as well as future(long-term)spot price.The results show that for mature futures products,their futures and spot prices basically keep co-movements on top of which they also show short-term leading-lagging relationships,and which price takes the leading position depends on whether the price can reflect a more fair market value of the commodity;the co-movements between commodity′s futures and spot prices make its futures price generally unable to predict its medium-term and long-term(beyond one month)spot prices,otherwise,the hedging function of the futures market cannot take effect;however,the futures prices of some commodities epitomized by coal series are able to predict their future spot prices and this ability is mainly caused by the fact that the lack of effective arbitrage makes futures contracts behave like forward contracts.