摘要
从重大经济事件的角度,对中国不同类型钢材交易市场:电子交易市场、期货市场和现货市场的价格主导作用进行了研究。针对不同事件发生背景下中国存在着两类或三类钢材市场,建立两变量和三变量时变广义主导模型,分析了钢材市场在自身保证金水平提高、2008年全球金融风暴爆发等重大经济事件发生后价格主导作用变化情况。研究发现:钢材电子交易市场受自身保证金水平大幅调高和2008年全球金融风暴爆发的影响,价格主导作用有所下降,但仍具有引导现货价格走势的能力;钢材期货市场在自身保证金水平调高后的价格主导作用较调高前略有增强;交易所可结合调整自身保证金水平这一工具管理本市场引导其它钢材市场价格走势的能力。交易者可综合钢材期货市场和电子交易市场的价格信息辅助其生产经营决策。
The issue of the price dominance of Chinese steel markets is of obvious importance,and consequently has received considerable attention. Which market impounds new information faster into prices,the steel futures market or the steel electronic market,or the spot market? Studies of the price dominance of Chinese steel markets in the context of major events are rare. To analyze the price dominance of Chinese steel markets,we use kalman techniques to address the issues of time-varying nature of price dominance by the timevarying general dominance model under two and three markets circumstances. We find that the steel electronic market ranks the price dominant role during the period of its margin level highly raised and 2008 global financial crisis happens. The price dominance capacity of steel futures market is gradually recovered after the adjusting of steel futures margin level. Steel exchange institute can manage the price dominance capacity of its own market to lead the price variation of other market by the manner of adjusting the margin level. Besides,traders can use the steel futures price and steel electronic market price to make their business decisions and carry out arbitrage activities.
出处
《管理评论》
CSSCI
北大核心
2014年第8期13-21,30,共10页
Management Review
基金
国家自然科学基金项目(71072131
71001096)
国家科技支撑计划(2012BAH21F01)
中央高校基本科研业务费专项资金项目(JB140608)
