摘要
本文首次使用面板数据方法,在面板误差修正模型基础上分别采用共同因子贡献法和信息份额法分析了我国期货市场和现货市场的价格关系。实证结果显示:总体上讲,我国大宗商品的期货价格和现货价格之间存在着长期均衡关系,期货价格表现为现货价格的Granger原因,但现货价格并没有表现为期货价格的Granger原因。利用共同因子贡献法和信息份额法测算出来的期货市场对价格形成的贡献度分别为61.94%和67.13%,而现货市场对价格形成的贡献度分别为38.06%和32.87%。这表明,相对于现货市场,我国期货市场的价格发现功能处于主导地位。
For the first time, this paper uses panel data method to analyze relationship between futures and spot prices using permanent transitory （P-T） and information share （I-S） method respectively basing on the error correction model. Through this research, the author finds there is a long-run equilibrium between these two kinds of prices. The research also shows futures price embodies the Granger cause of the spot＇s price, but the reverse is not true. By using P-T and I-S model, the contribution degree of futures market to the formation of price is 61.94% and 67.13% respectively, but the contribution degree of spot market to the formation of price is 38.06% and 32.87% which indicates our futures market＇s price-discovery function is more dominant.
出处
《山西财经大学学报》
CSSCI
北大核心
2010年第10期42-48,共7页
Journal of Shanxi University of Finance and Economics
基金
国家社会科学基金项目(10CJY021)
