摘要
期货市场国际关联性主要通过同一期货产品在跨国跨市场的期货价格互动关系上体现出来。本研究利用协整检验、向量误差修正模型、方差分解和脉冲响应函数等技术对中、美、日的3家农产品期货交易所的玉米期货价格关联性进行研究。结果发现:大连与芝加哥交易所的期货价格之间存在长期均衡关系,总方差中来自于芝加哥、大连和东京交易所分别为40.529%、32.903%和26.568%。在世界玉米期货市场中,芝加哥期货市场在影响力和定价权方面都比大连、东京交易所更强。我国要建设成为大宗商品的国际定价中心,可以采取投资者结构合理化与多元化等6个相应的对策与战略。
International linkages of futures market are mainly reflected by the price interactions of the same futures contract from different countries＇ futures exchange, This article examines the international linkage among Chinese,American and Japanese corn futures market by using cointegration test, vector error correction model, variance decomposition and impulse responses function analysis methods, etc. The results suggest there is the long-run equilibrium relationship between DCE and CBOT futures markets. The variance value of CBOT, DCE, TGE respective is 40. 529%, 32.903% and 26.568%. For the world corn futures markets, the CBOT futures market plays more important role than DCE and TGE＇s in the influence and pricing. In order to establish International Pricing Centre of bulk commodity, our should make six strategies such as rationalization and diversification for investor＇s structure.
出处
《中国农业大学学报》
CAS
CSCD
北大核心
2008年第3期43-50,共8页
Journal of China Agricultural University
关键词
世界玉米期货
国际关联性
协整检验
向量误差修正模型
方差分解
脉冲响应函数
world corn futures
international linkages
cointegration test
vector error correction model
variancedecomposition
impulse responses function
