| 我国期货市场与现货市场价格的动态关系——基于商品铝市场的实证研究 |
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| 引用本文： | 康焱.我国期货市场与现货市场价格的动态关系——基于商品铝市场的实证研究[J].西北第二民族学院学报,2006(4):108-111. |
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| 作者姓名： | 康焱 |
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| 作者单位： | 上海财经大学财经研究所 上海200433 |
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| 摘 要： | 以商品铝市场为例,采用多种计量方法,对我国期货市场与现货市场的价格动态关系进行经验实证研究。研究结果表明,期货价格和现货价格之间存在协整关系和双向G ranger因果关系。在价格决定过程中,期货价格占据绝对主导地位。在受到外部冲击时,期货价格对现货价格的影响要小于现货价格对期货价格的影响。
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| 关 键 词： | 期货价格 现货价格 动态关系 |
| 文章编号： | 1008-2883(2006)04-0108-04 |
| 修稿时间： | 2006年9月4日 |
The Dynamic Relationship of Futures and Spot Markets Prices in China——A Study Based on Commercial Aluminum Market |
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| KANG Yan.The Dynamic Relationship of Futures and Spot Markets Prices in China——A Study Based on Commercial Aluminum Market[J].Journal of The Second Northwest Institute For Ethnic Minorities(Philosophy and Social Science),2006(4):108-111. |
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| Authors: | KANG Yan |
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| Abstract: | The paper uses the manifold Econometric Approach to make an empirical research on dynamic relationship of futures and spot markets prices in China.It was found that there was Co-integration Relationship and bi-directional causality among the futures and spot markets.The futures price occupies utterly dominant status during price process.When encountering exterior impact,the effect of futures price and spot price are fainter than the one spot price offers to futures price. |
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| Keywords: | futures price spot price dynamic relationship |
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