铝期货价格发现功能的国内外动态比较研究——基于上海与伦敦铝期货市场数据的对比分析  

Dynamic Comparative Study on the Price Discovery Function of Aluminum Futures between Chinese Market and Abroad——Based on the comparison of Shanghai and London aluminum futures markets

作　　者：朱才斌[1] 肖荣 Zhu Caibin;Xiao Rong

机构地区：[1]北京物资学院

出　　处：《价格理论与实践》2022年第5期138-141,207,共5页Price:Theory & Practice

摘　　要：在我国提倡期货市场服务实体经济的背景下,有效测度期货价格发现功能具有深远的影响。本文运用平稳性检验、VAR模型、Johansen协整检验、格兰杰因果检验、方差分解等方法,对上海期货交易所(沪)以及伦敦金属交易所(LME)的铝期货市场价格发现功能进行滚动实证比较研究。研究发现:沪铝期货市场和LME铝期货市场均具有价格发现的功能,期货对现货价格均处于主导地位,但两地的价格发现功能有差别。基于国内外市场的对比,应从完善我国铝现货市场交易机制;为期货行业提供创新发展的市场环境;扩大金融领域对外开放、推动我国期货市场国际化。Under the background of promoting the futures market to serve the real economy,measure the futures price discovery function effectively has a far-reaching influence.This paper uses stationarity test,VAR model,Johansen cointegration test,Granger causality test,variance decomposition and other methods to make an empirical comparative study on the price discovery function of Shanghai Futures Exchange(Shanghai) and London Metal Exchange(LME).Shanghai aluminum futures market and LME aluminum futures market have the function of price discovery,and futures are dominant in price discovery.Based on the comparison of domestic and foreign market,we should perfect the trading mechanism of Chinese aluminum commodity market;To provide an innovative market environment for the futures industry;Expanding the opening up of the financial field and promoting the internationalization of our futures market.

关 键 词：价格发现功能 期货价格 铝期货 铝现货 

分 类 号：F713.35[经济管理—产业经济] F764.1