玉米期货和现货价格关系的实证研究

价格发现和风险规避是期货市场的两大功能,套期保值是规避风险的主要手段。期货价格和现货价格的长期均衡以及相互影响是套期保值实现的基础,也是期货市场存在和发展的核心问题。通过研究2014年5月26日—2015年9月1日玉米期货和现货的数据,利用Eviews 6.0进行单位根检验、协整检验以及格兰杰因果关系检验,得出玉米期货价格和现货价格之间存在长期均衡关系的结论,其中玉米期货价格和现货价格有双向引导作用。同时,期货价格对现货价格具有预期作用,验证了期货市场的价格发现功能。

Empirical research on relationship between futures and spot prices of corn

Price discovery and risk aversion are two major functions of futures market. Hedging is the main method to avoid risk. The long-term equilibrium and interaction between futures prices and spot prices are the basis for hedging, which are the core issues of the existence and development of the futures market. Through the research on data of the futures and spot corn from 26th May, 2014 to 1st September, 2015, by using Eviews 6.0, the unit root test, co-integration test and Granger causality test are carried out. It is shown that there is a long-term equilibrium relationship between the futures and spot prices of corn, where the futures and spot prices of corn have a two-way lead. And the futures price has the expected effect on the spot price, which verifies the price discovery function of the futures market.