天然橡胶期货价格与现货价格波动关系的实证研究  

作　　者：冯娟[1] 赵朝飞[1] 柯佑鹏[1] 

机构地区：[1]海南师范大学财务处,海南海口571158

出　　处：《现代物业（中旬刊）》2009年第5期10-12,9,共4页Modern Property Management

摘　　要：本文运用单位根检验、协整检验、误差修正模型和Granger因果检验等统计方法,以上海期货交易所的天然橡胶期货品种为例,研究天然橡胶期货价格与现货价格之间的动态关系。研究结果显示:天然橡胶期货与现货价格之间存在长期均衡关系,期货与现货价格互为影响,互为因果关系,并且期货市场在价格发现功能上处于主导地位。Taking the Rubber of shanghai Futures Exchange as an example, this article uses Augmented Dickey-Fuller test, Johanses cointegration regression test, error correction model and Granger causality test. And discloses the dynamic relationship between futures price and present price. The results of the positive research show that the futures price and present price are eointegrated , and they have equilibrium and Granger bi-direetional leading relationship in long term. Futures price play a dominant role in price discovery.

关 键 词：现货价格 期货价格 均衡关系 价格发现 

分 类 号：F224[经济管理—国民经济] F407.72F713.35