中国商品期货市场价格发现能力及影响因素研究  

Price Discovery Function and its Influencing Factors in China Commodity Futures Market

作　　者：陈同辉 鞠荣华[1] Chen Tonghui;Ju Ronghua

机构地区：[1]中国农业大学经济管理学院

出　　处：《价格理论与实践》2021年第8期118-122,共5页Price:Theory & Practice

摘　　要：作为期货市场的基本功能之一,价格发现是衡量期货市场成熟程度的重要指标,研究价格发现能力与其影响因素具有重要意义。本文采用持久短暂模型测算了中国期货市场的价格发现能力,在此基础上,运用中介效应模型探讨了中国期货市场价格发现能力的影响因素。结果表明:中国期货市场整体价格发现能力较强,期货对现货价格的引导作用更强,但不同期货品种的价格发现能力不同。最低保证金比例、现货价格波动以及交割费用间接效应显著,即它们通过影响合约交易活跃度进而影响期货市场的价格发现能力;而价格调控对价格发现能力的影响既有直接效应,也有间接效应。As one of the basic functions of the futures market, price discovery is an important index to measure the maturity of the futures market. It is of great significance to study the ability of price discovery and its influencing factors. This paper analyzes the price discovery function of the futures market in China by using the permanent-transitory model, and discusses the influencing factors of the price discovery function of Chinese futures market by using the mediating effect model. The results show that the overall price discovery ability of futures market is strong, and the price discovery contribution of futures market is higher than that of spot market, indicating that futures price has a certain guiding effect on spot price, but different futures varieties have different price discovery functions. The indirect effects of minimum margin ratio, spot price fluctuation and delivery cost are significant, that is, they affect the price discovery function of futures market by influencing the trading activity of contract. Price control has both direct and indirect effects on the function of price discovery.

关 键 词：期货市场 价格发现 期货交易量 市场活跃度 最低保证金 交割时间 

分 类 号：F724.5[经济管理—产业经济] F323.7