棉花期货市场功能发挥评价及其实证研究

在国内外相关研究成果的基础上,通过定性研究和定量研究相结合的方法,对中国棉花期货市场的功能进行分析.定量研究了CF0705棉花期货品种的价格发现和套期保值功能.在研究棉花期货的价格发现功能时,用时间序列的ADF检验和PP检验来判断价格序列的平稳性,继而通过协整分析探讨了现货价格和期货价格的协整关系,然后用Granger非因果关系检验判断了现货价格和期货价格之间的Granger引导关系,最后用GARCH模型分析了现货市场与期货市场之间的价格波动溢出效应;在研究棉花期货的风险规避功能时,先通过基差分析来选定ECM模型,然后主要用ECM模型拟合了最佳套期保值比率,最后计算了棉花期货的套期保值绩效.发现样本期间内,CF0705棉花期货市场对现货的价格发现功能比较明显.距离最后交易日2个月以内期价序列和现价序列之间存在协整关系,期货价格是现货价格的无偏估计量,期货价格是有效的.另外,CF0705棉花期货套期保值的功能较好地得到发挥,最优套期保值比率约为0.999,套期保值绩效约为0.772.

Function Evaluation and Demonstration of Cotton Futures Market

Based on the research results at home and abroad,the qualitative and quantitative methods were used to analysis the function of chinese cotton futures market.The price discovery and Hedging functions of the CF0705 cotton futures were quantitatively analyzed.When the price discovery of the cotton futures were analyzed,ADF test and PP test were used to determine the stationary of price series,co-integration test was used to discuss the co-integration relationship between spot price and futures price,Granger non-causality test was used to judge the Granger causal relationship,GARCH model was used to analysis the spillover effects of spot price and futures price＇s fluctuation;When the risk aversion function of the cotton futures market were studied,basis analysis were used to select ECM model,with which to fit the optimal hedge ratio,and Hedging Performance of the cotton futures market were calculated.The results showed that the price discovery function of the CF0705 cotton future market was obvious,and there were the co-integration relationship between the future price series and the current price series from the last trading day within 2 months,futures prices were unbiased estimators of the spot prices.Furthermore,Hedging functions of the CF0705 cotton future market played very well,the optimal hedge ratio were about 0.999 and the Hedging Performance were about 0.772.