基于CWT方法的我国大豆期货市场价格发现功能及美中大豆期现货市场价格联动性分析

Based on the CWT Method an Analysis of the Price Discovery Function of Chinese Soybean Futures Market and the Price Linkage of US Soybean Futures Market and China s Spot Market

本文基于连续小波变换(CWT)方法运用小波能量谱对中国大豆期现货及美国大豆期货价格序列波动性进行分析,运用小波相干性和小波相位差对2011年9月至2016年5月我国大豆期货市场的价格发现功能及美中期现货市场联动性进行实证检验。实证结果表明:样本期内,中国大豆期现货价格及美国大豆期货价格序列均在中长期呈现显著的波动性;中国期现货价格的相关性及美国期货价格与中国现货价格的相关性均随时间周期的增加而增强,且相关区间逐渐扩大;由小波相位差分析可知,在中短期中国大豆期货价格能够引导现货价格,具备价格发现功能,但在长期现货价格往往超前于期货价格变动;在中短期美国大豆期货价格能够引导我国大豆现货价格变动,从长期看,美中期现货价格趋于均衡。在中短期中美大豆期货市场均具备对我国现货市场的价格发现功能。

Based on the continuous wavelet transform method this paper analyzed the price series volatility of Chinese soybean futures and spot as well as the US soybean futures by the wavelet power spectrum,then made an empirical test for the Chinese soybean futures market price discovery function and the price linkage of US soybean futures market and Chinese spot market between September 2011 and May 2016.The empirical results show:in the sample period,Chinese soybean futures and spot and US soybean futures price series showed a significant volatility in the long-term;the relevance of Chinese soybean futures and spot price and the relevance of US futures price and Chinese spot price enhanced with time periods increased,and gradually expanded the relevant section;the wavelet phase-difference showed that in the short-term Chinese soybean futures price guides spot prices and has the price discovery function,but in the long-term,spot prices tends to lead futures prices to change;in the short-term US soybean futures prices can guide Chinese soybean spot price changes,and in the long-term the US soybean futures price and the Chinese soybean spot prices into equilibrium.In the short-term Chinese and US soybean futures markets have price discovery function for the spot market.