商品期货市场套期保值与价格发现功能关联机制研究——基于市场流动性与参与者结构视角  

The Mechanism of Correlation between Hedging andPrice Discovery Functions in Commodity Futures Market:Based on Market Liquidity and Participant Structure Perspective

作　　者：宋凌峰[1] 叶翰章 马莹 SONG Lingfeng;YE Hanzhang;MA Ying(Wuhan University,Wuhan 430072)

机构地区：[1]武汉大学,湖北武汉430072

出　　处：《财贸研究》2024年第1期47-59,共13页Finance and Trade Research

基　　金：大连商品交易所高校期货人才培育项目“基于相互作用的期货市场服务实体经济效果研究”的支持

摘　　要：基于市场流动性与参与者结构视角,探究在商品期货市场发展中套期保值与价格发现功能关联机制,并使用2011年1季度—2022年4季度大连商品交易所12个品种的面板数据进行实证检验。结果表明:期货市场价格发现功能通过市场流动性中介促进套期保值功能,而参与者结构调节期货市场功能关联强度;农产品期货市场的套期保值功能发挥整体较强,工业品期货市场的功能关联较强。为此,建议期货市场在提高市场流动性的同时优化参与者结构,进一步促进期货市场功能协同发挥。Based on the perspectives of market liquidity and participant structure,we explore the mechanism of the association between hedging and price discovery functions in the development of commodity futures market,and use the panel data of 12 futures varieties of DCE between Q12011 and Q42022 to carry out the empirical test.The results show that the price discovery function of the futures market promotes the hedging function through the intermediary of market liquidity,while the participant structure moderates the strength of the functional correlation in the futures market.The hedging function of agricultural commodity futures market is stronger,while the functional correlation of industrial commodity futures market is stronger.It is suggested that the futures market should optimize the participant structure while improving market liquidity,and further promote the synergistic effect of the futures market’s functions.

关 键 词：商品期货市场 套期保值 价格发现 市场流动性 参与者结构 

分 类 号：F832.5[经济管理—金融学]