国内外期货价格与国产现货价格动态关系的研究——基于DCE和CBOT大豆期货市场与国产大豆市场的实证分析被引量：108

The Study of Dynamic Linkages between International and Domestic Futures Market Priceand Spot Price

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摘要本文利用向量自回归(VAR)模型,Johansen多元协整检验,向量误差修正(VEC)模型以及方差分解等技术对大连商品交易所,美国芝加哥商品交易所的大豆期货价格与国产大豆现货价格三者间关系进行了实证研究。研究结果表明三者间存在长期均衡关系,短期内的价格偏离可以通过自身价格约束机制予以纠正。三者间具有相互影响,相互引导的关系。大连期货市场具备了良好的价格发现功能,居于长期价格发现的主导地位。 This paper studies the relationship among the DCE, CBOT soybean futures price and the native soybean spot price with the VAR model, Jonhansen Contingration test, and VEC model and variance decomposition method. The study shows us that the three have the long equilibrium relationship. In the short term the price will departure, but it can be corrected in the long term. Them is the relationship that influences and grades them. The DCE has the good capacity to find the real price in the long term.

作者夏天程细玉

机构地区华侨大学商学院

出处《金融研究》 CSSCI 北大核心 2006年第2期110-117,共8页 Journal of Financial Research

关键词期货市场现货市场 VAR模型协整检验 VEC模型 futures market spot market VAR model Contingration test VEC model

分类号 F224 [经济管理—国民经济]

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参考文献9

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