鲜果类农产品期货市场价格发现功能研究——以苹果期货为例

Study on the price discovery function of fresh fruit futures market——Take Apple Futures as an example

苹果期货是世界上现存的、唯一的鲜果类农产品期货。本文基于实地调研数据并创新性设置动态调整的现货理论价格,利用VAR模型、Granger因果检验、方差分解、公共因子模型等实证方法,检验苹果期货市场的价格发现功能,研究结果显示:苹果期货市场单向引导现货市场,在其价格形成过程中期货市场起决定性作用。由此可知,苹果期货市场初步具备价格发现功能。基于此,从加强苹果期货市场监管、提高苹果生产标准、增强政府支持力度等方面提出若干建议,寄期望于引导鲜果类农产品期货市场良性发展。

Apple futures is the only fresh fruit product futures in the world.Based on the field research data and innovative setting of dynamically adjusted spot theoretical prices,this paper uses VAR model,Granger causality test,variance decomposition,public factor model and other empirical methods to test the price discovery function of the apple futures market.The research results show that the apple futures market guides the spot market in a one-way way,and the futures market plays a decisive role in the price formation process.It can be seen from this that the Apple futures market initially has the function of price discovery.Based on this,this paper puts forward several suggestions from the aspects of strengthening the supervision of the apple futures market,improving the apple production standards,and strengthening government support,hoping to guide the better development of the fresh fruit product futures market.