中国期货市场价格发现功能的不对称性实证研究

选取中国期铜数据，借助向量误差修正模型、协整检验、误差修正模型、方差分解、脉冲响应函数等方法，研究了期货市场的价格发现功能。研究发现，铜的期货市场和现货市场存在长期均衡关系，期货市场在价格发现功能中起到主要作用。实证结果还发现市场在上涨和下跌时，价格发现功能的不对称性：铜期货价格与现货价格在上涨时存在相互引导关系，但在下跌过程中期货对现货价格没有引导关系，在市场下跌过程中，现货价格对信息反映很弱。结果表明，在中国的铜期货市场，价格发现功能表现为不对称性，在下跌时，市场有效性降低。

Asymmetric Effectiveness in Chinese Futures Market

With the database of Copper contracts in Chinese futures market, the function of price discovery is examined ,using VECM model, cointegration test, error correction model, variance decomposition and impulse responses function methods, etc. The results suggest that the spot and futures prices are cointegrated, and futures market plays more important role in price discovery. It is also found that asymmetric market effectiveness exists between up and down markets. That is, in bear market, spot price has weaker response to information, and future price is not the Granger Causal of spot price.