大商所生猪期货价格发现功能及其运行效率的研究  

Research on the Price Discovery Function of Pig Futures and Its Operation Efficiency of DCE

作　　者：朱陈元 ZHU Chenyuan(Pioneer Futures Co.,Ltd.Jiangsu Branch,Nanjing 210019,China)

机构地区：[1]先锋期货股份有限公司江苏分公司,南京210019

出　　处：《中国证券期货》2025年第1期39-45,54,共8页Securities & Futures of China

摘　　要：价格发现是期货市场最基础的功能,也是衡量期货市场成熟程度的重要标准,研究生猪期货价格发现功能对于判断生猪期货市场运行效率具有重要意义。本文首先对选取数据进行平稳性检验,然后基于VAR模型确定最大滞后阶数,再使用协整检验、误差修正模型、因果检验和方差分解等方法进行实证分析,从多个角度分析了大商所生猪期现货市场之间的关联关系,从而揭示了生猪期货市场是否具有价格发现的功能及其程度。研究结果显示:临近交割月的生猪期现货价格之间存在着动态调节关系,期货价格能够单向指引现货价格走势。这也就表明期货市场在价格发现作用中起着支配地位。最后,本文给出了进一步完善期货市场价格发现功能及其运行效率的政策建议。Price discovery is the most fundamental function of the futures market and an important standard for measuring the maturity of the futures market.It has great significance to study the price discovery function of live pig futures for judging the operation efficiency of the live pig futures market.This article first conducts a stationarity test on the selected data,then determines the maximum lag order based on the VAR model,and then uses cointegration test,error correction model,causality test and variance decomposition to conduct empirical analysis,so as to analyze the correlation between the spot market of live pigs in Dalian Commodity Exchange from multiple perspectives.It reveals whether the live pig futures market has the function of price discovery and its degree.The results show that there is a dynamic adjustment relationship between the spot prices of live pigs near the delivery month,and the futures prices can guide the spot price trend in one direction.This also indicates that the futures market plays a dominant role in price discovery.Finally,this article provides policy recommendations to further improving the price discovery function and operational efficiency of the futures market.

关 键 词：生猪期货 VAR模型 价格发现 运行效率 

分 类 号：F323.7[经济管理—产业经济] F724.5