我国农产品期货市场的价格发现功能研究Research on Price Discovery in Chinese Agricultural Commodities Futures Markets
刘庆富;张金清;
摘要(Abstract)：
价格发现功能是期货市场的基本功能之一,它在期货市场的发挥程度直接反映了期货市场的有效性。为检测我国农产品期货市场的价格发现能力,本文借助于平稳性检验、协整检验对期货市场的价格发现功能进行了实证研究。研究结果显示,我国农产品期货市场的大豆和豆粕期货价格与最后交割日的现货价格均存在长期均衡关系,小麦期货价格与最后交割日的现货价格不存在长期均衡关系;相对而言,大豆期货市场的价格发现能力较强,豆粕期货市场的价格发现能力较弱,而小麦期货市场不具有显著的价格发现功能;同时,本文对实证结果进行了原因分析。
关键词(KeyWords)： 期货市场;价格发现;协整关系;有效性
基金项目(Foundation): 国家自然科学基金资助项目(项目批准号:70573044)
作者(Author): 刘庆富;张金清;
Email:
DOI:
参考文献(References)：
- [1]W ork ing H.TheTheory of the Price of Storage[J].Am erican Econom ic Review,1949,39:1254 1262.
- [2]B rennan L.the Supp ly of Storage[J].The Am erican Econom ic Review,1958,48:50 72.
- [3]KeynesM.A Treatise on Money.Vol.Ⅱ:The App lied Theory ofMoney[M].Ed ition M acm illan and Co.1930.
- [4]Cootner P H.R eturns to Specu lators:Te lser vs.K eynes[J].Journa l of Politica l E conom y,1 9 6 0,6 8:3 9 64 0 4.
- [5]B igm an D,Goldfarb D,and Schechtm an E.FuturesM arket E ffic iency and the Tim e Content of the Inform ation Sets[J].Journal of FuturesM arkets,1983(3):321 334.
- [6]M aberly E D.Testing Futures M arket E ffic iency:A R estatem ent[J].Journal of Futures M arkets,1985(5):425432.
- [7]E lam E,and D ixon B L.Exam in ing the Valid ity of a Test of FuturesM arket E ffic iency[J].Journal of FuturesM arkets,1988(8):365 372.
- [8]Engle R F,and G ranger C W J.Cointegration and Error Correction Representation,Estim ation and Testing[J].Econo-m etrica,1987,55:251 276.
- [9]Johansen S.Statistical Analysis of Cointegrating Vectors[J].Journal of Econom ic Dynam ics and Control,1988(12):231 254.
- [10]Johansen s,and Juselius K.M aximum L ikelihood Estim ation and Inference on Cointegration w ith App lications to the De-m and forMoney[J].Oxford Bu lletin of Econom ics and Statistics,1990,52:169 210.
- [11]La i K,and La i M.A Cointegration Test for M arket E ffic iency[J].Journal of Futures M arkets,1991(11):567575.
- [12]Anton iou A,and Foster A J.Short-term and Long-term E ffic iency in Commod ity Spot and FuturesM arkets[J].F inan-c ialM arkets,Institutions and Instrum ents,1994(3):17 35.
- [13]Fortenbery T R,Zapata H O.An Evaluation of Price L inkages between Futures and Cash M arkets for Cheddar Cheese[J].Journal of FuturesM arkets,1997,17:279 301.
- [14]Haigh MS.Cointegration,Unb iased Expectations,and Forecasting in the B IFFEX Fre ight FuturesM arket[J].Journalof FuturesM arkets,2000(6):545 571.
- [15]童宛生,胡俞越,冯中越.中国商品期货价格形成理论与实证分析[M].北京:中国财政经济出版社,1997.
- [16]华仁海,仲伟俊.对我国期货市场价格发现功能的实证分析[J].南开管理评论,2002(5):57 61.
- [17]马正兵.我国粮食期货价格发现功能的交叉谱实证研究[J].统计与决策,2005(1):64 66.
- [18]D ickey DA,and Fu llerWA.The L ikelihood Ratio Statistics forAutoregressive Tim e Series w ith a Un itRoot[J].Econ-om etrica,1981,49:1057 1072.