摘要
本文从我国棉花期权推出的背景出发,选取中国棉花价格3128B指数和CF903、CF905、CF907、CF909和CF911五份棉花期货连续收盘价,运用协整分析、格兰杰因果检验等计量分析方法研究棉花期货价格与现货价格的关系,从而分析我国棉花期权推出下的棉花期货市场的定价效率。研究发现,在我国棉花期权推出背景下,棉花期现价格具有长期稳定关系,且棉花期货市场价格引导现货市场价格。
Starting from the background of the launch of my country’s cotton options, this article selects China’s cotton price 3128 B index and five consecutive closing prices of cotton futures CF903, CF905, CF907,CF909 and CF911, using cointegration analysis, Granger causality test and other quantitative analysis methods Study the relationship between cotton futures prices and spot prices, and analyze the pricing efficiency of the cotton futures market under the introduction of cotton options in my country. The study found that under the background of the introduction of cotton options in my country, my country’s cotton futures market prices and spot prices have a long-term stable relationship, and the cotton futures market pricing has a guiding effect on the spot market.
作者
陈姗姗
CHEN Shan-shan(School of Finance and Economics,Qinghai University,810016,Xining,Qinghai,China)
出处
《特区经济》
2020年第11期94-96,共3页
Special Zone Economy
关键词
定价效率
棉花期货
协整检验
格兰杰因果检验
pricing efficiency
cotton futures
cointegration test
Granger causality test
