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:
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