我国棉花期货与现货价格的动态关联度分析  

Analysis of the Dynamic Relationship between China’s Cotton Futures and Spot Prices

作　　者：杨晓鹏 刘云[1] Yang Xiaopeng;Liu Yun(College of Information Engineering,Tarim University.,Alar,Xinjiang 843300,China)

机构地区：[1]塔里木大学信息工程学院,新疆阿拉尔843300

出　　处：《棉花科学》2021年第6期55-61,共7页Cotton Sciences

基　　金：塔里木大学校长基金项目(TDZKSS201904)。

摘　　要：棉花期货的推出,可有效降低棉花现货市场的波动风险。以我国棉花期货与现货价格为研究对象,采用ADF单位根检验、Johansen协整检验、VAR模型、Granger因果检验等方法对我国棉花期货价格与现货价格间的动态关系进行实证分析。结果表明:棉花期货与现货价格之间存在长期动态均衡关系,期货价格对现货价格有一定的引导作用,相关从业者可以利用期货价格的波动趋势预测未来棉花现货价格的走势。The introduction of cotton futures can effectively reduce the risk of volatility in the cotton spot market.This paper uses ADF unit root test,Johansen cointegration test,VAR model,Granger causality test to make an empirical analysis of the dynamic relationship between cotton futures prices and spot prices.The results showed that there is a long-term dynamic equilibrium relationship between cotton futures and spot prices,and futures prices have a certain guiding effect on spot prices.Related practitioners can use the fluctuation trend of futures prices to predict the future trend of cotton spot prices.

关 键 词：中国 棉花 期货与现货 价格 关联度分析 

分 类 号：F304.2[经济管理—产业经济] S562[农业科学—作物学]