【作者】 沈小刚；

【导师】 田新民；

【作者基本信息】 首都经济贸易大学 ， 数量经济学， 2006， 硕士

【摘要】 我国期货市场自20世纪90年代初开办以来,经历了不平常的发展道路,发生了多起违规事件,使人们对期货市场产生了偏见,对期货市场的功能和作用产生了怀疑和动摇,这严重制约了我国期货市场的发展。经过近几年的整顿规范,我国期货市场的市场环境、内部结构、市场规模均发生了很大的变化,但对期货市场的运行效率、功能、作用发挥等情况缺乏深入的了解和全面的把握。随着我国经济的快速增长,我国期货市场面临着良好的发展机遇,股票指数等期货品种也呼之欲出,因此加强对我国期货市场的理论研究十分必要。而价格发现功能作为整个期货市场存在和发展的基础,同时也是期货市场套期保值功能发挥作用的前提,对于期货市场具有特别重要的意义。基于此,本研究确定以我国期货市场为研究对象,重点研究我国期货市场价格发现有效性及国内外期货市场价格关系,找出我国期货市场发展的薄弱环节,发现制约我国期货市场国际定价力的关键因素,进而提出针对性的改进与完善的对策建议。 本文借鉴国际上流行的价格发现有效性检验方法——协整理论,对我国铜期货、大豆期货、棉花期货及伦敦铜期货的价格发现有效性进行的考察,结果发现:他们的价格发现功能均在1%的显著性水平下有效。同时,Mckenzie & Holt和Kellard等的结果也表明芝加哥的大豆和纽约的棉花的价格发现功能是有效的。 在价格发现功能有效的基础上,本文对上述三个品种的国内外期货价格关系进一步进行了考察。Granger因果关系检验结果表明:上述三个品种的国外期货价格都是国内期货价格的格兰杰原因;而除了上海铜近年来开始成为伦敦铜的格兰杰原因外,大豆和棉花的国内期货价格均不是国外期货价格的格兰杰原因。 在由此引发的对我国大宗商品国际定价力的研究上,本文采用了Garbade-Silber模型。得到的结果是:沪铜的国际定价力相对较强,连豆一般,而郑棉较差,这样的现象一定程度上可以从交易量来解释。 最后,本文运用协整方法及误差修正模型,通过选择我国期货市场目前被各界公认为最成熟、最规范、功能发挥最好的上海期铜市场为代表,与伦敦铜市场之间构建套利策略,结果较为理想。更多还原

【Abstract】 Since its open in 1990s, China’s futures market has had an uneven developing path. Several events make people doubt its fairness and its function is questioned. This has greatly constrained the development of China’s futures market. With the strengthening regulation in recent years, the environment, structure, and scale of the futures market have changed greatly. However, its efficiency and function still needs further study. With the rapid development of China’s economy, the futures market has been facing good developing opportunity. The futures of stock index have been proposed. So it’s quite necessary for us to study futures market theory intensively. Price discovery function is the base for the existence and development of futures market, and is also the prerequisite for futures market to function hedging effectively, so it means much for futures market. Based on this, the research here takes China’s futures market as the study object. The focus is on the relationship between China’s futures market price discovery effectiveness and foreign and domestic futures market price, so that weakness of the market’s development can be found and essential factors constraining China’s futures market international pricing mechanism can be studied. Then proposals of development are made accordingly.In this paper, cointegration theory is in use which has been utilized widely in the international study of price discovery effectiveness tests. In the study of China’s copper futures, soybean futures, cotton futures, and London copper futures price discovery effectiveness, we find that their price discovery functions are all effective under the significance level of 1%. At the same time, the results of Mckenzie & Holt and Kellard’s study also demonstrate that Chicago soybean and New York cotton price discovery function is effective.Based on the effectiveness of price discovery, this paper makes further study on the relationship of the three’s international and domestic futures’ price. Granger causality test shows that the international futures price of the three are Grangerly causing the domestic futures’ price. Shanghai copper is Grangerly causing London copper futures price in recent years, while soybean and cotton domestic futures’ price are not.On the study of China’s staple goods international pricing ability, this paperadopts the Garbade-Silber model. The result is, Shanghai copper futures international pricing influence is relatively strong, Dalian soybean is in the middle, while Zhengzhou cotton is low. This can be explained from the trade volume aspect to some degree.In the end, with cointegration and ECM model, this paper constructs hedging strategy between London copper market and Shanghai copper market that is deemed as the most mature, regular and functional in domestic futures market by parties. The result is satisfactory.更多还原