中美棉花期货价格发现功能比较研究

A comparative study on the price discovery function of cotton futures between China and the United States

中国是全球最大的棉花生产和消费国家,加强中国期货市场建设、完善棉花期货价格发现功能关系到中国棉花产业的持续健康发展。选取2015.1.1—2019.12.31及2016.1.1—2020.12.31中美棉花前后两个5年期现货价格滚动数据,运用ADF平稳性检验、向量自回归(VAR)模型、Johansen检验、Granger因果检验和方差分解等多种方法,对中美两国的棉花期货价格发现功能先各自进行纵向比较,再对两国进行横向比较。结果发现:两国棉花期货市场价格与现货价格之间存在显著长期协整关系,且期货市场价格对现货价格存在单向引导关系;相比于较为发达的美国棉花期货市场,中国棉花期货市场价格传导功能的效率并没有出现明显差距。但受中美贸易摩擦、新冠肺炎疫情影响,全球棉花贸易流通受阻,贸易成交量下滑,中国棉花期货市场也暴露出抗市场风险能力不足的缺点。对此,从制度、监管和市场三个角度提出了相关对策建议。

China is the world’s largest cotton producer and consumer.Strengthening the construction of China’s futures market and improving the price discovery function of cotton futures are related to the sustainable and healthy development of China’s cotton industry.This paper selects the data of two five-year futures and spot price of cotton between China and the United States from January 1,2015 to December 31,2019 and January 1,2016 to December 31,2020,and makes a vertical comparison of the price discovery function of cotton futures between China and the United States by using ADF stationary test,vector autoregression(VAR),Johansen test,Granger causality test and variance partitioning and then makes a horizontal comparison between the two countries.The results show that there is a significant long-term cointegration relationship between cotton futures market prices and spot prices in the two countries,and there is a one-way guiding relationship between futures market prices and spot prices and that compared with the more developed US cotton futures market,there is no significant difference in the efficiency of the price transmission function of China’s cotton futures market.However,affected by the Sino-US trade friction and COVID-19,the global cotton trade flow has been blocked,the trade volume has declined,and the Chinese cotton futures market has also exposed the shortcomings of insufficient ability to resist market risks.Therefore,this paper puts forward relevant countermeasures and suggestions from the perspectives of system,supervision and market.