| 中、美、马植物油期货市场国际关联性实证研究 |
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| 引用本文： | 高杰,王骏.中、美、马植物油期货市场国际关联性实证研究[J].沈阳农业大学学报(社会科学版),2008,10(5):528-533. |
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| 作者姓名： | 高杰 王骏 |
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| 作者单位： | 1. 东北财经大学,经济学院,辽宁,大连,116025;中粮集团,中谷期货经纪有限公司,北京,100036
2. 中粮集团,油脂油料部,北京,100045;中国农业大学,期货与金融衍生品研究中心,北京,100094 |
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| 摘 要： | 期货市场同际关联性主要通过同一期货产品在跨国跨市场的期货价格互动关系上体现出来.利用多元协整检验、格兰杰因果检验、方差分解和脉冲响应函数等技术对中、美、马三家期货交易所的豆油与棕榈油期货价格和中国豆油与棕榈油现货价格关联性进行研究.结果发现:大连、芝加哥、大马交易所的期货价格和中国植物油现货价格之间存在长期均衡关系.在世界植物油期货市场中,芝加哥市场在影响力和定价权方面起到主导作用.
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| 关 键 词： | 植物油期货 国际关联性 多元协整检验 格兰杰因果榆验 方差分解 |
Empirical Study of International Relevance of China,American and Malaysian Vegetable Oil Futures Markets |
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| GAO Jie,WANG Jun.Empirical Study of International Relevance of China,American and Malaysian Vegetable Oil Futures Markets[J].Social Science Journal of Shenyang Agricultural University,2008,10(5):528-533. |
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| Authors: | GAO Jie WANG Jun |
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| Institution: | GAO Jie1,2,WANG Jun3,4(1.School of Economy,Dongbei University of Finance & Economy,Dalian 116025,Liaoning Province,China,2.China Grain & Oil Futures Brokerage Firm of China Grain & Oil Group,Beijing 100036,3.China Vegetable Oil Company of China Grain & Oil Group,Beijing 100045,4.Futures & Financial Derivatives Research Center,China Agricultural University,Beijing 100094,China) |
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| Abstract: | The international relevance of futures markets is mainly reflected by the price interactive relation of the same futures contract from different countries' futures exchange.The price international relevance of the three vegetable oil futures markets of China,America and Malaysia and the two Chinese futures markets of soybean oil and palm oil are examined by means of multi-cointegration test,Granger causal test,variance decomposition and impulse responses function analysis,etc.It is suggested as result that ... |
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| Keywords: | vegetable oil futures international relevance multi-cointegration test Granger causal test variance decomposition |
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