玉米期货定价效率动态变化的实证研究——基于“价补分离”政策实施前后的比较分析

An Empirical Research on the Dynamic Change of Pricing Efficiency of Corn Futures——Based on the Comparative Analysis Before and After the Policy of "Separation of Price and Subsidy" Was Implemented

"价补分离"政策不仅影响着玉米现货价格形成机制,还对玉米期货市场流动性水平和期货定价效率带来重要影响。通过相关性检验、协整检验、Granger因果检验、G-S模型和小波相干分析,对2014年1月至2019年8月"价补分离政策"前后玉米期货与现货价格的定价效率进行了比较分析,结果表明:"价补分离"政策后玉米期货定价效率显著提升;尽管玉米期货定价效率有了明显提升,但稳健程度和定价有效性有待优化。得出三个启示:继续推进玉米市场化改革,优化资源配置效率;加大玉米产业链机构投资者的参与度,大力提升期货市场流动性水平;多策并举增进期现货市场的融合程度。

The policy of"separation of price and subsidy"not only affects the mechanism of corn spot price formation,but also has exerted great influence on the liquidity level of corn futures market and the efficiency of futures pricing.Based on the correlation test,Cointegration test,Granger causality test,G-S model and wavelet coherence analysis,this paper used the data from January 2014 to August 2019 to compare the pricing efficiency of the corn futures and spot prices before and after the policy of"separation of price and subsidy"was implemented,the results showed that:The policy of"separation of price and subsidy"has significantly improved the pricing efficiency of corn futures;Although the pricing effeciency of corn futures has been significantly improved,but the robustness and pricing effectiveness need to be optimized.The three inspirations are as follows:Continue to push forward the market-oriented reform of corn and optimize the efficiency of resource allocation;Increase the participation of institutional investors in the corn industry chain and improve the liquidity level of futures market;Take many measures simultaneously to enhance the integration degree of futures market and spot market.