我国期货市场与国际期货市场关联度分析与协整检验  

Analysis of the Association between Chinese and International Commodity Futures Markets and Associated Co - integration Tests

作　　者：赵进文[1] 

机构地区：[1]东北财经大学统计系,辽宁大连116025

出　　处：《中国软科学》2004年第5期34-40,共7页China Soft Science

基　　金：国家社科基金项目"复杂数据的统计诊断方法及其应用"(批准号:02BTJ002)的研究成果之一

摘　　要：本文以中国大连商品交易所数据为例,分析了中国期货市场与国际期货市场的接轨程度和关联度,表明中国期货市场已基本具备市场的有效性,并形成了价格自我约束机制。最后,给出了模型结果的政策启示与几点建议。In this article, author discusses the degree of association between China's commodity futures market and its international counterparts. Author establishes a co - integration relationship between the volume - series and open interest in food commodity futures market, using logarithm. The study suggests that there is a co - integration relation between the soybean futures price logarithm recorded in the Dalian market and the soybean spot price logarithm in the Heilongjiang market. This finding proves that China' s commodity futures markets have worked soundly. The study provides constructive ideas and poli cy proposals for the further development of China's commodity futures markets.

关 键 词：关联度 期货与现货价格 扩展Dickey—Fuller检验统计量 两步Engle—Granger协整回归 I(0)序列与I(1)序列 协整关系 

分 类 号：F830.9[经济管理—金融学]