煤炭期货的价格发现研究  

Research on Price Discovery of Coal Futures

作　　者：卢俣棋 甘小文[1] 陈平[1] 赖泽敏 Lu Yuqi;Gan Xiaowen;Chen Ping;Lai Zemin(Nan University College of Science and Technology,Nanchang Jiangxi 330029)

机构地区：[1]南昌大学科学技术学院

出　　处：《对外经贸》2019年第9期80-84,共5页FOREIGN ECONOMIC RELATIONS & TRADE

基　　金：江西省教改课题“项目教学法在《统计学基础》教学中的设计与应用”(项目编号:JXJG-18-30-3部分成果;院级课外科研项目“煤炭期货的影响因素和价格发现功能的研究及交易策略分析”的部分成果

摘　　要：动力煤价格受多种因素影响,以环渤海动力煤现货价格为例,借助时间序列分析的多种计量方法,利用相关性分析、协整检验和Granger因果分析以及方差分解等方法对我国动力煤期货价格发现进行实证分析。研究表明,郑商所动力煤期货具有价格发现功能,其中,环渤海动力煤现货价格和郑商所动力煤期货价格存在较高的相关性,两者具有长期均衡关系且期货价格变动先于现货价。The price of thermal coal is affected by many factors.Taking the spot price of hot coal around Bohai Sea as an example,this paper makes use of the correlation analysis with the help of various metrology methods of time series analysis.Cointegration test,Granger causality analysis and variance decomposition are used to analyze the price discovery of thermal coal futures in China.The research shows that the thermal coal futures of Zheng Shang have the function of price discovery,among which,the spot price of hot coal around Bohai Sea has a higher correlation with the futures price of Zheng Shang thermal coal.Both have a long-term equilibrium relationship and futures prices change prior to spot prices.

关 键 词：动力煤期货 价格发现 GRANGER因果分析 方差分解 

分 类 号：F830.91[经济管理—金融学]