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中国棉花期货与现货关系的实证研究

发表时间:2015-07-15  浏览量:1706  下载量:493
全部作者: 张晓彤,滕永平
作者单位: 沈阳工业大学经济学院
摘 要: 选取棉花期货价格和现货价格进行实证研究,采用Johansen协整检验、Granger因果检验、误差修正模型(error correction model,ECM)等计量经济学方法,对中国棉花期货的价格发现功能进行验证。研究发现虽然近年来中国商品期货市场的价格发现功能有所发挥,但是短期的价格关系容易受到投机行为的影响,因此期货市场的功能需要逐步实现,同时相关部门也需要加快市场结构的完善,寻求加强中国商品期货市场功能发挥的最佳策略。
关 键 词: 金融市场;期货市场;协整检验;Granger因果检验;误差修正模型
Title: Empirical research on the relationship between China’s cotton futures prices and spot prices
Author: ZHANG Xiaotong, TENG Yongping
Organization: School of Economics, Shenyang University of Technology
Abstract: This paper selects cotton’s spot and futures prices for empirical research, using Johansen cointegration test, Granger causality test, error correction model (ECM) and econometrics methods,to verify our cotton futures price discovery function. The results show that although in recent years China’s commodity futures market price discovery function has played, but the short-term price relationship is easily affected by speculation. Therefore, the function of the futures market need to realize gradually. At the same time, the relevant departments also need to accelerate the improvement of market structure, to find the best strategy to strengthen the function of China’s commodity futures market.
Key words: financial market; futures market; hypothesis test of cointegration; Granger test of causality; error correction model
发表期数: 2015年7月第13期
引用格式: 张晓彤,滕永平. 中国棉花期货与现货关系的实证研究[J]. 中国科技论文在线精品论文,2015,8(13):1417-1420.
 
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