我国橡胶期货价格发现功能研究

Research on the price discovery function of rubber futures in China

天然橡胶与石油、煤炭、钢铁为工业生产所必须的四大工业原料,天然橡胶期货在我国天然橡胶低产量和高消费量境况下显得尤为重要。本文选取上期所和天然橡胶网2010年1月至2020年5月的橡胶期现货日交易数据2365组,运用VECM模型、格兰杰因果检验、方差分解和GS模型等多种研究方法,对我国天然橡胶期货的价格发现功能进行实证分析,结果表明:我国天然橡胶期货价格和现货价格存在长期的均衡关系和双向引导关系,天然橡胶期货价格对现货价格的引导作用强,现货价格对期货价格的影响较小。最后,本文从天然橡胶期现货市场两方面给出政策建议。

Natural rubber and petroleum,coal,and steel are the four major industrial raw materials necessary for industrial production.Natural rubber futures are particularly important in the context of my country's low production and high consumption of natural rubber.This paper selects 2365 sets of spot daily trading data of rubber futures from January 2010 to May 2020 of the Shanghai Futures Exchange and Natural Rubber Network,and uses a variety of research methods such as VECM model,Granger causality test,variance decomposition and GS model.An empirical analysis of the price discovery function of natural rubber futures shows that:my country’s natural rubber futures prices and spot prices have a long-term equilibrium relationship and a two-way guiding relationship.Natural rubber futures prices have a very strong guiding effect on spot prices.Spot prices have a strong influence on futures prices.The impact is small.Finally,this article gives policy recommendations from two aspects of the natural rubber futures spot market.natural rubber,oil,coal and steel are the four major industrial raw materials necessary for industrial production.Natural rubber futures are particularly important in the situation of low production and high consumption of natural rubber in China.In this paper,2365 groups of daily trading data of rubber futures from January 2010 to may 2020 in Shanghai Stock Exchange and cnr.com are selected.By using VECM model,Granger causality test,variance decomposition and GS model,the price discovery function of natural rubber futures in China is empirically analyzed.The results show that there is a long-term equilibrium between the futures price and the spot price of natural rubber in China The natural rubber futures price has a strong guiding effect on the spot price,while the spot price has little influence on the futures price.Finally,this paper gives policy recommendations from two aspects of natural rubber futures and spot market.