基于FCVAR模型的中国沪铝期货市场价格发现功能实证分析  

An Empirical Analysis of the Price Discovery Function in Shanghai Aluminum Futures Market based on Fractional Cointegration VAR Model

作　　者：屈军[1] 刘凡毅[1] 

机构地区：[1]上海财经大学国际工商管理学院,上海200433

出　　处：《商业研究》2016年第10期58-64,共7页Commercial Research

摘　　要：基于分形协整均衡定价理论,结合最新发展的分形协整向量自回归模型(FCVAR),本文实证分析了不同交割期限的沪铝期货合约对现货市场的价格发现效率差异性。实证结果显示:交割期限在5个月内的期货合约在价格发现过程中占主导地位,但价格发现效率逐渐降低,信息贡献比率从最高值66.7%下降至52.9%;现货市场对交割期限在5-9个月之间的期货合约价格影响力逐渐增强并占据主导地位,信息贡献比率从最低值33.3%上升至71.7%;交割期限为10个月的沪铝期货与现货市场价格并不存在统计意义上的协整关系。这表明不同交割期限期货合约对现货价格发现的效率具有显著差异性,沪铝期货价格发现功能有效率实现主要在近期和中期市场,应大力发展中远期市场以构建多层次衍生品风险管理体系。Based on fractional cointegration equilibrium pricing theory,combining with the latest development fractional cointegration vector autoregression model（ FCVAR）,the paper empirically analyses the difference in price discovery efficiency between Shanghai aluminum futures and the spot market in the different delivery periods. The results show that the futures market dominates the price discovery process with the delivery period within five months,while price discovery efficiency decreases and the ratio of information contribution declines from the highest value 66. 7% to 52. 9%; the price influence of spot market gradually increases with the delivery period between five and nine months,and the ratio of information contribution increases from the lowest value 33. 3% to 71. 7%; however,the future contract with delivery period of ten months doesn＇t exist statistically significant cointegration equilibrium relationship with the spot market. The results show that price discovery efficiency has significant differences between the spot market and futures market in the different delivery periods,and the realization of price discovery function in Shanghai aluminum futures market primarily focuses on the short and medium term. So we should build the forward market in order to construct the multi-level derivatives risk management system.

关 键 词：沪铝期货 交割期限 价格发现效率 

分 类 号：F830.93[经济管理—金融学]