基于社会福利损失模型的中国商品期货市场效率研究  

Research on the Efficiency of China’s Commodity Futures Market Based on Social Welfare Loss Model

作　　者：刘晓雪[1] 王慧娟 白宗航 Liu Xiaoxue;Wang Huijuan;Bai Zonghang(School of Economics,Beijing Technology and Business University,Beijing 100048,China;Business School,Beijing Normal University,Beijing 100875,China)

机构地区：[1]北京工商大学经济学院,北京100048 [2]北京师范大学经济与工商管理学院,北京100875

出　　处：《技术经济》2021年第10期139-148,共10页Journal of Technology Economics

基　　金：北京市教委重点项目“省域期货生态环境效率评价与优化研究”(SZ20171001107);北京哲学社会科学首都流通业研究基地项目“期货市场效率评价研究”(JD-ZD-2021-021)。

摘　　要：基于社会福利理论,根据社会福利损失模型构建了社会损失衡量指标(SL)。进而测算了有色金属、黑色金属和能源化工期货的SL统计值,估计了期货价格对现货价格的预测偏差所带来的社会损失。主要得出几个结论:距到期期限7个月到3个月时,期货合约距到期日越近,市场效率越高;从不可避免的社会损失来看,有色金属期货最低,其次是能源化工和黑色金属期货;从SL均值来看,能源化工期货市场效率最高,其次是黑色和有色金属;同一大类内部不同期货品种之间的市场效率及其稳健性差异较大。Based on the theory of social welfare,the social loss measurement index(SL)is constructed according to the social welfare loss model.And then the SL statistical values of non-ferrous metals,ferrous metals,and energy and chemical futures are calculated,and the social loss brought by the prediction deviation of futures price from spot price is estimated.The main conclusions are as follows:the closer the futures contract is to maturity,the higher the market efficiency will be when the time limit is 7 to 3 months.In terms of the statistics of inevitable social loss,non-ferrous metal futures market has the least loss,followed by energy and chemical futures and ferrous metal futures.According to the average of SL statistics,energy and chemical futures market has the highest efficiency,followed by ferrous metal futures and non-ferrous metal futures.From the perspective of different futures varieties in the same category,the market efficiency and robustness of different futures varieties are quite different.

关 键 词：商品期货 社会福利损失模型 市场效率 SL统计值 预测偏差 

分 类 号：F832.5[经济管理—金融学]