国际铁矿石期货价格传导比较研究——兼析加快我国铁矿石期货市场国际化建设  

Comparative Study on Price Transmission of International Iron Ore Futures—— Concurrent analysis of accelerating the internationalization of my country’s iron ore futures market

作　　者：王晓峰 林立超 

机构地区：[1]澳门城市大学

出　　处：《价格理论与实践》2020年第3期95-98,共4页Price:Theory & Practice

摘　　要：中国是全球最大的铁矿石进口国。为了开展我国铁矿石期货价格与国际期货市场价格间的相关性研究,本文基于DCC-GARCH模型分析我国与新加坡和美国铁矿石期货市场价格之间的时变相关系数。结果显示:与西方发达国家相比,我国铁矿石期货价格信息传导能力有待进一步提高。我国应适当增加上市交易品类,健全铁矿石期货合约设计和交易规则,完善铁矿石期货交易信息披露制度,在吸引境外投资者关注的同时稳步提升我国铁矿石国际定价话语权。China is the world’s largest importer of iron ore. In order to figure out the correlation between iron ore futures prices in China and international futures market prices, this paper analyzes the time-varying correlation coefficients between China’s iron ore futures market prices with Singapore and the United States based on the DCC-GARCH model. It turns out that compared with western developed countries, iron ore futures price information transmission capacity of China needs to be further improved. Also, we should improve the information disclosure system for iron ore futures trading, increase the types of listed trading, advance the design and trading rules of iron ore futures contracts, and steadily strengthen the discourse right of international iron ore price while attracting the attention of foreign investors.

关 键 词：铁矿石 国际市场 期货价格 定价话语权 DCC-GARCH模型 

分 类 号：F764[经济管理—产业经济] F713.35