我国油脂类期货价格之间的联动分析  

Analysis on Cooperation of Soybean Oil Futures Prices,Colza Oil Futures Prices and Palm Oil Futures Prices of China

作　　者：李新建[1,2] 吴春梅[2] 黄敏学[3] 王锐[4] 闫振宇[2] 

机构地区：[1]华中农业大学理学院,湖北武汉430070 [2]华中农业大学文法学院,湖北武汉430070 [3]武汉大学经济管理学院,湖北武汉430072 [4]北京大学光华管理学院,北京100871

出　　处：《华中农业大学学报（社会科学版）》2011年第2期39-43,共5页Journal of Huazhong Agricultural University(Social Sciences Edition)

基　　金：国家自然科学基金资助项目"网络环境下关联消费者的相互影响与购买行为研究"(70972091);华中农业大学基金资助项目"基于农户社会网络关系下的农业技术扩散研究"(Xb0910)

摘　　要：基于我国期货市场豆油、菜籽油和棕榈油的收盘价格,运用相关分析、协整分析、误差修正模型来研究目前上市的油脂类期货之间的关联性。研究表明,棕榈油期货上市会增强豆油和菜籽油之间的相关性,3个品种的期货之间存在长期均衡关系,豆油和棕榈油期货价格对其它2个品种存在价格引导作用,对价格的波动影响较大,菜籽油对其它2个品种的价格引导作用不强,对其价格波动影响小。Based on quoted prices of soybean oil,colza oil and palm oil in futures market in Dalian Commodity Exchange and Zhengzhou Commodity Exchange of China,this paper used corresponding analysis,cointegration test and Error Correction Model to find the relationship among oil futures prices.The results showed that listed palm oil futures will enhance the correlation between soybean oil and colza oil,longrun equilibrium relationship exist among the above oil futures,the futures prices of soybean oil and palm oil have the guiding influence on the other two with the huge impact on price fluctuation and soybean oil price has weak impact on prices of the other two types of oil with little influence on price fluctuation.

关 键 词：期货价格 相关性 协整 误差修正模型 

分 类 号：F830.91[经济管理—金融学]