我国生猪期货的价格发现功能研究

Research on Price Discovery Function of Live Hog Futures in China

生猪期货的上市为管理生猪价格风险提供了新的工具,而风险管理目标实现的前提条件是生猪期货具备价格发现功能。本文利用协整与向量误差修正模型、因果关系检验、溢出指数三种方法从长期和短期两个角度考察了我国生猪期货是否具备价格发现功能。全样本研究发现:我国生猪期货已经具备了明显的价格发现功能;生猪期货价格与现货价格之间存在长期稳定的均衡关系;生猪期货收益率对现货收益率具有显著的预测能力;生猪期货收益率对现货收益率具有明显的净溢出效应;无论是长期还是短期,生猪期货市场的价格发现功能都强于现货市场。异质性分析发现:长期来看,在价格下跌时期,生猪现货市场的价格发现功能更强,而在价格上涨时期,生猪期货市场的价格发现功能更强;短期内,无论是价格上涨时期还是价格下跌时期,生猪期货市场的价格发现功能都更强。基于研究结论,针对政府物价监测预警部门、大连商品交易所和生猪产业经营主体提出相应的对策建议。

The listing of live pig futures provides a new tool to manage the risk of the live pig price,and the precondition for the realization of the risk management goal is that the live hog futures have the function of price discovery.In this paper,the cointegration and vector error correction model,causality test and spillover index are used to investigate whether Chinese live pig futures have the price discovery function from the long-term and short-term perspectives.Thewhole sample study shows that Chinese live hog futures have obvious price discovery function.There is a long-term stable equilibrium relationship between live hog futures price and spot price.The return rate of live hog futures has a significant predictive ability to the spot return rate of live pigs.The return rate of live hog futures has obvious net spillover effect on the spot return rate of live hog.Whether in the long or short term,the price discovery function of live hog futures market is stronger than that of spot market.The heterogeneity analysis shows that in the long run,the price discovery function of the live hog spot market was stronger in the period of price decline,while the price discovery function of the live hog futures market was stronger in the period of price rise.In the short term,the price discovery function of the live hog futures market is stronger whether the price is rising or falling.Based on the research conclusion,the corresponding countermeasures and suggestions are put forward for the government price monitoring and warning department,Dalian Commodity Exchange and the main body of pig industry management.