我国铁矿石期货价格发现功能的实证研究

An Empirical Study on the Discovery Function of China’s Iron Ore Future Price

基于2013年10月21日至2019年9月30日铁矿石期货收盘价和中国铁矿石价格指数(CIOPI)数据,采用时间序列检验法对我国铁矿石价格发现功能进行实证分析。研究发现,我国铁矿石期现货价格存在长期均衡关系,期货价格单方面正向引导现货价格,而且期货价格对现货价格的影响贡献度高达77.04%。

Based on the iron ore futures closing price and the China Iron Ore Price Index(CIOPI)data from October 21,2013 to September 30,2013,this paper adopts the time series of tests to the empirical analysis of China’s iron ore price discovery function to empirically analyze the iron ore price discovery function in China.It is the findings that there is a long-term equilibrium relationship,the futures price unilaterally positive guidance spot prices,and futures prices high impact on spot prices contributed to 77.04%.