玉米期货价格发现功能研究  

Research on Price Discovery Function of Corn Futures

作　　者：许龄云 Lingyun Xu(Beijing Wuzi University,Beijing,101126)

机构地区：[1]北京物资学院,北京101126

出　　处：《经济管理学刊（中英文版）》2022年第2期1-8,共8页Economic Management Journal

摘　　要：本论文研究目的即通过对相关数据的分析,探讨玉米期货价格发现功能以及该功能在现货市场中的实际表现。本文以2020年2月到2022年2月间的玉米期现货交易数据为研究对象,主要运用了相关性分析、ADF单位根检验等方法,研究表明:期现货价格具有很高相关性,且二者的一阶差分序列平稳,玉米期现货价格具有长期协整关系。同时可得我国玉米期现价格引导关系以期货价格单向引导现货价格为主,总体处于引导关系的第一个发展阶段。理论与实际结合,分析玉米期货的价格发现功能,提出相关对策建议,以此建立健全玉米期货市场运行机制,最大限度地发挥期货市场功能,降低现货市场价格波动性,维护产业链条上各方的利益。The purpose of this paper is to explore the price discovery function of corn futures and its actual performance in the spot market through the analysis of relevant data.This paper takes the corn futures and spot trading data from February 2020 to February 2022 as the research object,mainly using correlation analysis,ADF unit root test and other methods,the study shows that:the futures and spot prices have a high correlation,and the first-order difference series between them is stable,and the futures and spot prices of corn have a long-term cointegration relationship.At the same time,it can be seen that the guiding relationship between futures and spot prices of corn in China is mainly one-way guidance of spot prices by futures prices,which is generally in the first stage of development of the guiding relationship.Combining theory with practice,this paper analyzes the price discovery function of corn futures,and puts forward relevant countermeasures and suggestions,so as to establish and improve the operation mechanism of corn futures market,maximize the function of futures market,reduce the price volatility of spot market,and safeguard the interests of all parties in the industrial chain.

关 键 词：玉米期货 价格发现 实证分析 

分 类 号：S51[农业科学—作物学]