我国白糖期货价格和现货价格关系的实证研究

选取2006年3月1日—2016年3月31日的白糖期货和现货市场数据,通过相关性检验、ADF单位根检验、VAR模型、Johansen协整检验和格兰杰因果检验等分析方法,指出白糖期货价格与其现货价格存在长期均衡关系,且两者高度相关;白糖期货价格对未来白糖现货价格具有引导作用,但这个引导作用并不是相互的。同时,提出建立完善的期货市场制度及市场环境的建议,以充分发挥白糖期货市场的价格发现功能,形成更有效、更公平的白糖价格体系。

Empirical study on relationship between futures price and spot price of white sugar in China

The market data of the futures prices and spot prices of white sugar are sampled from March 1st, 2006 to March 31st, 2016. Such analysis methods are used as correlation test, ADF unit root test, VAR model, Johansen co-integration test, and Grainger causality test. It is proposed that the futures prices and spot prices of white sugar have the relationship in the long-run equilibrium, and are highly correlated; and that futures price of white sugar has a guiding role on the spot price of white sugar in the future, but not vice versa. Suggestions are proposed concerning the establishment of perfect futures market system and market environment, so as to give full play to the price discovery function of white sugar futures market, and to form a more effective and equitable system of white sugar prices.