对我国期货市场价格发现功能的实证分析

本文利用协整检验、Granger因果检验、GS模型以及误差修正模型对上海期货交易所金属铜、铝的价格发现功能进行了实证分析。研究结果显示:金属铜、铝的期货价格和现货价格之间存在协整关系,期货价格具有良好的价格发现功能;金属铜的期货价格和现货价格之间存在双向引导关系且现货价格在价格发现功能中的作用更大;而对金属铝而言,仅存在从期货价格到现货价格的单向引导关系。

An Empirical Analysis on Price Discovery in Our Futures Markets

This article focuses on the role of price discovery of futures prices.It takes Shanghai Futures Exchange copper and aluminum as examples anddetermines whether the copper and aluminum futures price has price discoveryfunctions. The results indicated that the copper futures price and spot pricehave feedback effects, and the cash market price discovery dominates thefutures markets. To the aluminum, there only exists the causality from thefuture to the cash market.