中国期货市场与现货市场的价格引导与价格发现

长期以来对期货市场与现货市场价格关系的实证研究都是基于时间序列方法的研究.为了克服时间序列方法存在着的不足,将使用面板数据方法,在面板单位根检验以及面板协整检验和协整估计的基础上,构建面板误差修正模型来分析期货价格和现货价格的均衡以及相互引导关系.进一步的,在误差修正模型的基础上我们采用信息份额方法(I-S模型)和共同因子贡献法(P-T模型)分析了期货市场和现货市场的价格发现功能.通过上述研究,发现总体上讲我国大宗商品的期货价格和现货价格之间存在着长期均衡,并且表现出了相互引导互为Granger因果的关系.利用I-S模型和P-T模型测算出来的期货市场对价格形成的贡献度分别为88.17%和79.44%,这说明当前我国的期货市场总体上讲是有效率的市场.

Price Driving and Discovery of China'S Futures and Spot Market

The price relationship between futures market and spot market is based on simple time-series cross-sectional research method for a long time.In order to overcome the deficiencies existing in time series method,this paper will use panel data method to construe the error correction to analyze a mutual guidance and equilibrium relationship between futures and spot prices basing on panel unit root test and panel co-integration test as well as the co-integration estimates.Furthermore,we use the information share(IS model) and co-factor contribution method(PT model) to analyze the futures market and spot market's price-discovery function basing on the error correction model.Through this research,we find there is a long-run equilibrium between our country's futures market and spot market and which shows mutual driven Granger relationship.By using I-S and P-T model,the contribution degree of futures market to the formation of the futures price is 88.1%and 79.44%respectively which indicates our futures market is an efficient market.