中国农产品期货价格发现功能的实证研究

An Empirical Study on the Price Discovery between Chinese Agricultural Commodity Futures

中文关键词:  结构突变  协整  农产品期货价格  价格发现

英文关键词:structural break  co-integration  price of agricultural commodity futures  price discovery

中文摘要:

      本文以大连商品交易所大豆和玉米期货价格为例,对中国农产品期货价格的发现功能进行了实证研究。实证表明:对价格进行建模时,结构突变是不可忽视的因素。忽视结构突变将得到大豆和玉米期货价格无关的错误结论。在考虑结构突变的情况下,Johansen协整检验发现大豆和玉米期货价格存在长期协整关系,从而得出了中国农产品期货间存在价格发现机制的结论。

英文摘要:

      Taking the prices of soybean and corn futures on the Dalian Commodity Exchange as an example,this paper makes an empirical study on the price discovery between Chinese agricultural commodity futures.The findings show that in price modeling the structural break is a factor which cannot be neglected.The failure to model structural break may have led to a mistaken conclusion that prices of soybean and corn futures are unrelated.Using Johansen's co-integration procedure that permits structural break,the results show the evidence of a long-term co-integration relationship between the prices of soybean and corn futures,which hence concludes that there is a price discovery mechanism between Chinese agricultural commodity futures.