我国金属期货与现货市场之间的价格发现与波动溢出效应研究

我国期货市场的运行效率一直是监管当局、套期保值者和投资者十分关注的问题。为此,借助于Johansen协整检验、信息共享模型和波动溢出效应模型,进行多层次实证研究的结果显示:从价格发现功能方面看,铜、铝的期货价格与现货价格之间存在长期均衡关系和双向引导关系,它们之间相互作用、相互影响。期货市场与现货市场均扮演着重要的价格发现角色,但期货市场在价格发现中处于主导地位;并且,相对于金属铝现货市场而言,铜现货市场的价格发现能力要强些。从波动溢出效应方面看,铜、铝的期货市场与现货市场之间存在双向的波动溢出关系,但现货市场来自期货市场的波动溢出要强于期货市场来自现货市场的波动溢出;而且,随着期货市场的发展,期货市场与现货市场之间的波动溢出效应均呈增强态势,期货市场的运行愈加有效。

Price discovery and volatility spillovers in China's metal spot-futures markets

The efficiency in China' futures market is always the concern of the supervisory authorities,hedgers and investors.Therefore,this article offers an empirical investigation on the price discovery and the volatility spillovers in China' metal spot-futures markets with the Johansen,information shares and volatility spillover models.The results show that there are equilibria and bidirectional lead relations in metal spot-futures prices.Both the spot market and the futures market play important price discovery roles and the futures market is more dominant than the spot market.And the price discovery ability of copper spot market is stronger than that of aluminium spot market.Moreover,there are bidirectional volatility spillover relations in spot-futures markets but the volatility spillovers in the futures market is greater to the spot market than vice versa.In addition,the volatility spillovers between the spot market and the futures market become stronger and the futures market becomes more efficient with the development of China's metal futures market.