无偏估计、价格发现与期货市场效率——期货与现货价格关系  

Unbiased estimation,price discovery and market efficiency:Relationship between futures prices and spot prices

作　　者：陈蓉[1] 郑振龙[1] 

机构地区：[1]厦门大学金融系,厦门361005

出　　处：《系统工程理论与实践》2008年第8期2-11,37,共11页Systems Engineering-Theory & Practice

基　　金：教育部人文社科基地重大项目(05JJD790026);教育部人文社科一般项目(07JA790077)

摘　　要：对期货价格和现货价格关系中长期存在的理论和实证研究误区进行了分析与澄清,从理论上证明了在一般情况下期货价格不是未来现货价格的无偏预期,更不能以此作为期货市场效率的检验标准.提出期货市场的价格发现功能应界定为对同期现货价格的引领作用,认为期货市场效率包括定价效率与信息效率,只有一个定价有效的期货市场才能充分发挥其风险管理的功能.在实证方面,提出了适合于检验期货与现货价格关系的三种检验模型,并根据上述结论分别运用协整检验、格兰杰因果检验和广义谱分析方法检验了1990年9月21日至2007年12月20日期间S&P500指数现货和期货市场的定价效率、价格领先滞后关系和信息效率.The paper analyzes and clarifies some long-existing misunderstandings in theoretical and empirical studies on the relationship between futures prices and their underlying spot prices. It illustrates in theory that in most eases futures prices are not unbiased estimates of future spot prices and whether futures prices are unbiased estimates of future spot prices is not appropriate test models of futures markets＇effciency. It proposes that the lead-lag relationship between futures prices and current spot prices should be the appropriate definition of price discovery of futures. It also points out there are two kinds of futures markets＇ efficiency - pricing efficiency and information efficiency and only a futures market with pricing efficiency could hedge risk as effectively as possible. At last It proposes three models appropriate to test the relationship between futures prices and spot prices and apply these models to testing the pricing efficiency, lead-lng relationship and information efficiency of S＆P 500 index spot and futures market from September 21, 1990 to December 20, 2007.

关 键 词：期货市场 价格发现 无偏估计 市场效率 

分 类 号：F830[经济管理—金融学]