| 基于VAR模型的我国期货市场定价效率的实证研究 |
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| 引用本文： | 杨晨辉,刘新梅,魏振祥,耿紫珍.基于VAR模型的我国期货市场定价效率的实证研究[J].数理统计与管理,2011,30(2):330-338. |
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| 作者姓名： | 杨晨辉 刘新梅 魏振祥 耿紫珍 |
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| 作者单位： | 1. 西安交通大学管理学院,陕西西安,710049
2. 西安交通大学管理学院,陕西西安710049;郑州商品交易所,河南郑州450008 |
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| 摘 要： | 基于VAR模型,选取铜、铝、白糖和玉米期货做为研究样本对我国期货市场定价效率进行实证研究。研究结果显示:选取样本的期货价格和现货价格之间具有长期均衡关系;铜、铝和玉米具有期货价格引导现货价格的单向引导关系,而白糖具有期、现货价格相互引导的双向引导关系;脉冲响应函数分析发现除了白糖以外,期货市场对现货价格的冲击大于现货市场对期货价格的冲击;方差分解发现铜、铝和玉米的定价能力较强,白糖的定价能力较弱。
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| 关 键 词： | 定价效率 VAR模型 脉冲响应函数 方差分解 |
Empirical Research of Pricing Efficiency of Chinese Futures Market Based on a VAR Model |
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| YANG Chen-hui,LIU Xin-mei,WEI Zhen-xiang,GENG Zi-zhen.Empirical Research of Pricing Efficiency of Chinese Futures Market Based on a VAR Model[J].Application of Statistics and Management,2011,30(2):330-338. |
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| Authors: | YANG Chen-hui LIU Xin-mei WEI Zhen-xiang GENG Zi-zhen |
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| Institution: | YANG Chen-hui~1 LIU Xin-mei~1 WEI Zhen-xiang~(1,2) GENG Zi-zhen~1 (1.School of Management,Xi'an Jiaotong University,Shaanxi Xi'an 710049,China,2.Zhengzhou Commodity Exchange,Henan Zhengzhou 450008,China) |
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| Abstract: | Selecting copper,aluminium,sugar and corn as the study example,this paper constructs a VAR model to study the pricing efficiency of Chinese futures market.The following conclusions are found:there is a co-integration relationship between futures price and spot price of the selected samples; futures price can lead spot price,and spot price of sugar can also lead futures price;the response of spot price to the strike of futures price is stronger than the response of futures price to the strike of spot price e... |
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| Keywords: | pricing efficiency VAR model impulse response function variance decomposition |
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