我国棉花期货与现货市场的价格发现与波动溢出效应

以研究我国棉花期货和现货市场的动态关系为目的, 基于 VEC 模型、Granger 因果检验、脉冲响应分析和 BEKK 模型, 对我国棉花期货和现货市场的价格发现功能和波动溢出效应进行实证分析. 研究结果表明: 期货价格和现货价格之间存在长期均衡关系和双向Granger 引导关系. 但期货市场对现货市场的引导作用更强, 并且较现货市场具有更强的信息效应. 此外, 两个市场均存在很强的自身波动滞后效应, 相互间的波动溢出效应也非常显著, 但期货市场对现货市场的波动溢出效应明显大于后者对前者的波动溢出效应.

Price discovery and volatility spillovers between futures and spot cotton market in China

The purpose of this paper is to describe the dynamic relationship between futures and spot cotton market in China. Price discovery and volatility spillovers were examined for futures and spot cotton market based on VEC model, Granger causality test, impulse response analysis and BEKK model. The empirical results show that there is a cointegration relation between spot and futures prices of cotton. The futures market is the leader of price discovery in long-term, although bidirectional Granger causality are observed in short run. Meanwhile, the response of futures market is faster than spot market when they received impacts at the same time. Besides, there are strong volatility lagging effects and volatility spillovers in both markets, which in futures market are dominant.