中国豆粕期货市场价格发现功能及动态演变——基于动态Granger因果检验的经验分析

Dynamic evolution of price discovery function in China’s soybean meal futures market: Empirical analysis based on dynamic Granger causality test

利用2009年8月—2017年5月的豆粕期现货市场价格数据,以Toda和Yamamoto的Granger因果检验方法为基础,结合滚动窗口回归法对豆粕期货价格和现货价格之间的关系进行了动态Granger因果检验。研究表明:中国豆粕期现货市场价格之间保持长期稳定均衡关系的同时,期货市场对现货市场具有显著的单向价格发现功能,且随时间推移,价格发现功能在不断增强,是现货价格波动的主要影响因素。这一结果不随滞后期以及样本选择而改变,具有很强的稳健性。

Based on the futures and spot market price of soybean meal from August 2009 to May 2017,it tests the dynamic granger relation between soybean meal futures price and spot price,by combining the method of the Toda and Yamamoto’s Granger causality test and the rolling window regression.It founds that the soybean meal futures price and spot price in China maintains a long-term stable equilibrium relationship,the futures prices has a significant unidirectional price discovery function and the function is enhanced over time.It is the main factors of spot price fluctuation.The result does not change with lag periods and samples,and has strong robustness.