| 基于动态VECM的我国铜期货的价格发现功能研究 |
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| 引用本文： | 张保银,陈俊. 基于动态VECM的我国铜期货的价格发现功能研究[J]. 天津大学学报(社会科学版), 2012, 0(6): 492-496 |
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| 作者姓名： | 张保银 陈俊 |
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| 作者单位： | 天津大学管理与经济学部,天津300072 |
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| 基金项目： | 国家自然科学基金资助项目（71271152） |
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| 摘 要： | 通过采用ADF检验、协整性检验及Granger因果检验对近年来上海铜期货市场的价格发现功能进行全面深入的动态实证分析,表明铜期货价格具有良好的价格发现功能。通过动态向量误差修正模型(vector error correc-tion model,VECM)检验,铜现货市场和期货市场价格波动相关性趋于加强,但呈现出非线性规律,说明企业在进行套期保值决策时能以期货价格波动作为决策依据之一,但不能对期货价格波动反应过度,致使套期保值行为失当,需要综合分析外部市场环境和期货市场运行规律,做出全面科学的套期保值决策。
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| 关 键 词： | 铜期货 ADF检验 协整性检验 Granger因果检验 动态向量误差修正模型检验 |
Price Discovery Function of Copper Futures in China Based on the Dynamic VECM |
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| ZHANG Bao-yin,CHEN Jun. Price Discovery Function of Copper Futures in China Based on the Dynamic VECM[J]. Journal of Tianjin University(Social Sciences), 2012, 0(6): 492-496 |
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| Authors: | ZHANG Bao-yin CHEN Jun |
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| Affiliation: | (Faculty of Management and Economics,Tianjin University,Tianjin 300072,China) |
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| Abstract: | ADF test,Cointegration Test,Granger causality test were employed to carry out comprehensive dynamic empirical analysis for price discovery function of copper futures market in Shanghai in recent years.The results show that copper futures prices have a good price-finding function.In addition,it is found the correlation between the price fluctuation of spot market and futures market of copper is stronger through test of dynamic vector error correction model（VECM）,and the rule is nonlinear,which explains enterprises can use present futures price fluctuations of commodity as one of basis of decision-making during hedging decisions.But they can＇t have excessive reaction which can misconduct the hedging.A comprehensive analysis of external market environment and future market operation rule is needed to make comprehensive scientific hedging decisions. |
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| Keywords: | copper futures ADF test cointegration test granger causality test dynamic vector error correction model test |
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