中国期货市场定价效率的实证分析——基于中美棉花期货市场价格关系的研究  

China's Futures Market Pricing Efficiency of Empirical Analysis China and the United States——Based on Cotton Futures Market Price Relations Research

作　　者：徐雪[1] 李建林[1] 

机构地区：[1]首都经济贸易大学经济学院,北京100070

出　　处：《技术经济与管理研究》2013年第3期98-102,共5页Journal of Technical Economics & Management

摘　　要：近几年棉花市场价格受供需差额影响大幅度波动,很多没有预计到价格变化的加工企业,缺乏库存,面临更高的生产成本而不得不停止生产。人们更加关注棉花期货市场对未来现货价格的预测能力。本文以市场机制比较成熟的美国期货市场作为比较对象,运用协整分析,格兰杰因果检验等方法通过对中美两国棉花期货价格的关系研究,分析对比两国棉花期货市场的不同之处,并且针对结论提出相应政策建议。本文认为中美两国棉花期货市场价格具有长期的稳定关系,美国棉花期货市场对中国棉花期货市场有引导作用,美国棉花期货价格对中国棉花期货价格的传递效应具有由短期波动到长期均衡调整的自我修正的动态机制,而且修正功能较强。In recent years the price of cotton market by supply and demand balance influence greatly fluctuation,many not expected to price changes processing enterprise,lack of inventory,faced with higher production costs and had to stop production.People pay more attention to the cotton futures market for future spot price prediction ability.This paper is with market mechanism more mature American futures market as comparison object,co-integration analysis and granger causality test methods such as China and the United States through the cotton futures price relationship research,comparative analysis of the two countries cotton futures market difference,and put forward the corresponding policy recommendations according to the conclusion.This paper holds that China and the United States cotton futures market prices have a long-term stable relations,American cotton futures market for Chinese cotton futures market lead role,American cotton futures price of China cotton futures price transfer effect with the short-term fluctuations to long-term equilibrium adjustment self-correction dynamic mechanism,and correction function strong.

关 键 词：棉花期货 定价效率 农产品经济 期货市场 

分 类 号：F724.5[经济管理—产业经济]