| 中国棉花期货市场价格发现功能研究 |
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| 引用本文： | 李慧茹.中国棉花期货市场价格发现功能研究[J].运筹与管理,2006,15(6):95-99. |
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| 作者姓名： | 李慧茹 |
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| 作者单位： | 中国矿业大学,管理学院,北京,100083 |
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| 摘 要： | 期货市场和现货市场之间的价格发现功能一直是监管部门和投资者十分关心的问题。本文借助信息共享模型、脉冲响应函数和方差分解等方法，对中国棉花期货市场和现货市场的价格关系进行了实证研究。研究结果表明：棉花期货价格和现货价格之间存在显著的双向引导关系和长期均衡关系；期货市场和现货市场都扮演价格发现角色，且期货市场在价格发现中处于主导地位。
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| 关 键 词： | 数量经济学 价格发现 信息共享模型 脉冲响应函数 方差分解 |
| 文章编号： | 1007-3221(2006)06-0095-05 |
Research on Price Discovery in Chinese Cotton's Futures Market |
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| LI Hui-ru.Research on Price Discovery in Chinese Cotton''''s Futures Market[J].Operations Research and Management Science,2006,15(6):95-99. |
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| Authors: | LI Hui-ru |
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| Institution: | China University of Mining and Technology, Beijing 100083, China |
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| Abstract: | Price discovery in spot and futures markets is very important.This article empirically measures price discovery in Chinese cotton's spot and futures markets with the information share model,variance decomposition and impulse response function.The results show that there are bi-directional lead relations and long-run equilibrium relationship between cotton's spot and futures prices.Moreover,both spot and futures markets play important price discovery roles and the futures market is more dominant than the spot market. |
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| Keywords: | mathematical economics price discovery information share model impulse response function variance decomposition |
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