中国铁矿石期货对外资开放前后国际定价权比较研究  

Comparative study on international pricing power of China’s iron ore futures before and afterforeign investment opening

作　　者：朱才斌[1] 申文 ZHU Cai-bin;SHEN Wen(Beijing Wuzi University,Beijing 101149)

机构地区：[1]北京物资学院,北京101149

出　　处：《价格月刊》2023年第5期9-16,共8页

基　　金：北京物资学院重大专项“中国期货及衍生品市场运行与创新”(2020)之分课题“中国期货及衍生品市场运行与创新——期货公司服务实体经济现状与趋势”(编号:2020qh04-2)。

摘　　要：2018年5月4日,大连商品交易所(简称“大商所”)铁矿石期货对外资开放,至今已经运行了4年多时间。定量研究中国铁矿石期货开放前后的影响,目的是检验政策实施效果,为中国期货市场其他期货品种的国际化提供经验借鉴。首先,通过采用Johansen协整检验、Granger因果检验、方差分解等方法,对大商所铁矿石期货对外资开放前后两个时期的国际定价权进行了比较分析。结果表明:对外资开放后大商所铁矿石期货对国际铁矿石期货价格的影响力有一定提升。其次,引进BEKK-GARCH模型,实证分析了大商所铁矿石期货市场和新加坡交易所(简称“新交所”)铁矿石掉期市场之间存在双向波动溢出效应,且大商所铁矿石期货市场对新交所铁矿石掉期市场的波动溢出效应要强于新交所铁矿石掉期市场对大商所铁矿石期货市场的波动溢出效应,表明中国铁矿石期货市场价格的国际影响力显著上升。根据研究结论,提出了相应的对策建议。On May 4,2018,the iron ore futures of the Dalian Commodity Exchange(DCE)was opened to foreign investment,and has been in operation for more than four years.The purpose of quantitative research on the impact of China’s iron ore futures before and after opening is to test the effect of policy implementation and provide experience for the internationalization of other futures in China’s futures market.First of all,this paper uses the Johansen co-integration test,Granger causality test,variance decomposition to compare and analyze the international pricing power of iron ore futures before and after foreign investment opening.The results show that after foreign investment opening,the impact of the iron ore futures of the DCE on the international iron ore futures prices has improved to a certain extent.Secondly,this paper introduces the BEKK-GARCH model to empirically analyze the two-way volatility spillover effect between the iron ore futures market of the DCE and the iron ore swap market of the Singapore Exchange Limited(SGX).Moreover,the volatility spillover effect of the iron ore futures market of the DCE on the iron ore swap market of the SGX is stronger than that of the iron ore swap market of the SGX on the iron ore futures market of the DCE,indicating that the international influence of the price of China’s iron ore futures market has increased significantly.According to the research conclusion,this paper puts forward corresponding countermeasures and suggestions.

关 键 词：铁矿石期货 国际定价权 对外开放 

分 类 号：F726[经济管理—产业经济]