商品期货价格发现功能的实证研究

运用相关性分析、Granger因果检验、EG两步法检验、Johansen协整检验、脉冲分析和方差分解的方法,对黄金、白银、原油、铜、铝5种大宗商品的期货价格发现功能发挥状况进行实证分析.黄金在短期内存在从期货到现货价格的单向引导关系,但长期内不存在协整关系,期货市场不具备价格发现功能;白银在短期内存在从期货到现货价格的单向引导关系,期货市场具备价格发现功能;原油存在双向引导关系,但现货价格在价格发现功能中作用更大;铝、铜的期货与现货价格双向引导且存在着协整关系,期货市场具有良好的价格发现功能.根据实证研究结果,提出了完善期货市场的建议.

Empirical Study on Price Discovery Function of Commodity Futures Market

Through the application of correlation analysis, Granger test, EG two-step test, Johansen co-integration test, impulse response functions and variance decomposition method, the futures price discovery function on gold, silver, oil, aluminum, and copper were investigated. The results showed that the futures leads spots price in the short term, but in long run, there is no co-integration relationship between the futures price and spots price on gold. Generally, in the short term, the futures leads spots price, and in long run, there is co-integration relationship between the futures price and spots price on silver, oil, aluminum, and copper. Finally, based on the different characteristics of each commodity, the strategies of effective use of the futures market in China are suggested and proposed.