世界玉米期货市场国际关联性研究：基于中、美、日三国实证分析  

Research on international linkages of corn futures market around world:empirical analysis based on China,America and Japan

作　　者：王骏[1] 蒋荣兵[2] 刘亚清[3] 

机构地区：[1]清华大学管理科学与工程博士后流动站 [2]对外经济贸易大学,北京100029 [3]华中科技大学经济学院,武汉430074

出　　处：《中国农业大学学报》2008年第3期43-50,共8页Journal of China Agricultural University

摘　　要：期货市场国际关联性主要通过同一期货产品在跨国跨市场的期货价格互动关系上体现出来。本研究利用协整检验、向量误差修正模型、方差分解和脉冲响应函数等技术对中、美、日的3家农产品期货交易所的玉米期货价格关联性进行研究。结果发现:大连与芝加哥交易所的期货价格之间存在长期均衡关系,总方差中来自于芝加哥、大连和东京交易所分别为40.529%、32.903%和26.568%。在世界玉米期货市场中,芝加哥期货市场在影响力和定价权方面都比大连、东京交易所更强。我国要建设成为大宗商品的国际定价中心,可以采取投资者结构合理化与多元化等6个相应的对策与战略。International linkages of futures market are mainly reflected by the price interactions of the same futures contract from different countries＇ futures exchange, This article examines the international linkage among Chinese,American and Japanese corn futures market by using cointegration test, vector error correction model, variance decomposition and impulse responses function analysis methods, etc. The results suggest there is the long-run equilibrium relationship between DCE and CBOT futures markets. The variance value of CBOT, DCE, TGE respective is 40. 529%, 32.903% and 26.568%. For the world corn futures markets, the CBOT futures market plays more important role than DCE and TGE＇s in the influence and pricing. In order to establish International Pricing Centre of bulk commodity, our should make six strategies such as rationalization and diversification for investor＇s structure.

关 键 词：世界玉米期货 国际关联性 协整检验 向量误差修正模型 方差分解 脉冲响应函数 

分 类 号：F830.9[经济管理—金融学]