中国钢材交易市场价格发现动态演化研究

中国钢材交易市场拥有三种类型:现货、期货和电子交易市场.它们的价格信号对基本面信息的反映能力如何,市场价格发现功能呈现何种动态演化趋势,是产业链成员与政策制定者关注热点.依据向量误差修正原理和条件异方差模型,分析过去的市场信息对多个市场动态条件协方差阵的影响,建立时变信息份额模型,研究中国钢材市场长区间价格发现功能的动态演化.研究显示:热卷板期货上市前,电子交易市场价格发现功能优于现货市场;期货上市后,电子交易市场、期货市场和现货市场都对价格发现过程有所贡献.现货市场价格发现功能呈现较好动态演化趋势,多数时期对价格发现过程的贡献大于其它两类市场.尽管电子交易市场在价格发现过程中的角色由主导者演化为从属者,但其功能发挥较稳定,亦不时具有最先反映基本面信息的能力.在中国钢材市场,保证金水平高低、交易量多寡,以及流动性强弱,都未显示出与价格发现功能有方向性关联.

Dynamic price discovery of steel trading markets in China

Currently, there exists three kinds of steel trading markets in China:Spot market, futures market and B2B electronic trading market (Abbreviated as e-market). Do they reflect the steel market price common factor well? How about their dynamic evolution in terms of price discovery? These questions become hot point of steel producers, sellers, arbitrageurs, as well as market policy planners. In the light of vector error correction and conditional heteroscedasticity model, and analyzing the effects of past information to multiple dynamic conditional covariance matrix, this paper constructs time-varying information shares model based on two-dimensional and three-dimensional VECM-DCC-GARCH model to study the dynamic performance of steel markets in the long interval price discovery function. Empirical results of the daily data indicate that e-market exhibits greatest ability in incorporating information effecitively before hot roll bars futures established. After hot roll bars futures established, three kinds of steel market all contribute to the price discovery process. Most of the time, spot market leads the price discovery process, followed by the futures market and e-market. The role of e-market in price discovery is somehow considerable, while its role on price discovery evolves follower from dominator. In terms of steel markets in China, trading volume, margin level and liquidity have no obvious directly relationship with price discovery function.