摘要
期货市场的价格发现功能是指期货价格对现货价格的指导作用。对于投资性资产,期货价格、当前现货价格和预期的现货价格之间存在着一一对应的均衡关系,期货价格与现货价格具有相同的系统性风险和风险溢酬。对于消费性资产,只有期货价格与预期现货价格之间具有相对稳定的均衡关系;期货价格回报率也不能由现货市场的预期回报率所决定。
The function of price discovery for the futures markets refers to the guiding role of futures prices in the spot price. For the futures of capital assets, equilibrium of futures and current spot prices, current spot and expected spot prices, futures and expected spot prices can be established. There are the same systematic risks and risk premiums between futures and current spot price. For the futures of consumption assets, equilibrium of futures and current spot prices, current spot and expected spot prices can not be established for the unfeasible short sell. Only the equilibrium of current spot and expected spot prices can exist. The rate of return on futures prices can＇t decide the expected rate of return on the cash market.
出处
《河北科技大学学报（社会科学版）》
2009年第2期1-5,共5页
Journal of Hebei University of Science and Technology:Social Sciences
关键词
期货
期货市场
价格发现
futures
futures market
price discovery
