国内外钢材市场价格发现功能研究  

Price discovery on steel markets

作　　者：方雯[1,2] 冯耕中[1] 陆凤彬[3] 汪寿阳[3] 

机构地区：[1]西安交通大学管理学院,西安710049 [2]西安电子科技大学经济研究中心,西安710071 [3]中国科学院数学与系统科学研究院,北京100190

出　　处：《系统工程理论与实践》2013年第1期50-60,共11页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(70672058);教育部新世纪优秀人才支持计划(NCET-05-0848);中央高校基本科研业务费专项资金(K50511080001)

摘　　要：钢材产业是我国的支柱产业.与国外钢材市场不同,国内出现了三类市场形态:电子交易市场、期货市场、现货市场.钢材电子交易市场是我国独有的一种钢材交易市场.该市场的价格发现功能一直被理论界和实业界所关注.研究国内外钢材交易市场的价格发现功能对于引导国内各钢材市场的健康发展和形成钢材定价中心尤为重要.本文运用共同因子度量模型的两种经典方法,测算并分析了国内三类钢材交易市场和国外两大钢材期货市场的价格发现.结果表明:电子交易市场的价格发现功能明显优于期货、现货市场;与伦敦金属交易所和印度国家商品及衍生品交易所相比,国内钢材电子交易市场的价格发现功能更强;且国内外钢材期货价格尚不能真实反映价格变化趋势.Steel industry is the pillar industry of China. There exist three types of markets in domestm which are different from other foreign markets： bulk stock electronic market~ futures market and spot market. China＇s steel electronic market is a unique steel market. Its price discovery has been of concern to theorists and industry. Study on price discovery in domestic and abroad steel markets is of great use to the formation of steel pricing power, as well as the smoothy development of domestic steel markets. This paper uses two classical methods which belongs to common factor measurement model to measure the price discovery of three domestic steel markets and two foreign steel futures markets. The results show that： steel electronic market is the leading market in domestic steel markets. The price discovery of steel electronic market is more powerful than SHFE, LME and NCDEX; and abroad steel futures price is still not an effective steel price by now.

关 键 词：大宗商品电子交易市场 价格发现 信息份额模型 永久-短暂模型 钢材 

分 类 号：F416.31[经济管理—产业经济] F224.0