我国铜期货价格发现功能的实证研究

80430074G-SGarbadeSilber1983[1]JohansenJuselius1990K.S.Lai1991T.C.Schroeder1991J.Quan1992[2]2005[3]2007[4]Has-brouck1995[5]2010G-SVECMADFJohansen198520081986200881VECM=10+=111+=112+1+11=20+=121+=122+1+22111221221AIC[6]VECMGarbadeSilberGSG-SG-S3+=0+=1+0.5+0.53=+11+4==1=4200845420085652008842010917519evi-ews5.1LnSCuLnFCuDLnScuDLnFcuADF11LnSCuLnFCu1%5%LnSCuLnFCu821t-Statistic1%5%CtKLnScu-1.051744-3.442746-2.866900C00Lnfcu-1.141191-3.442894-2.866965C00DLnscu-20.59612-3.442771-2.866911C00DLnfcu-13.175863.442894-2.866965C00CtkDeviews5.10JohansenAICACVAR3VAR22001=05%LnSCuLnFCu102=05%LnSCuLnFCuLnFCuLnSCu2Johansen5%001=039.1464615.49471102=01.4435063.8414661=012VECMVAR3VECM2VECM33DLNFCUVECMECMt-1ECMt-1DLNFCUDLNFCUt-2DLNSCUVECMDLNSCUt-1DLNFCUt-1DLNFCUt-2DLNSCUt-23DLNSCUDLNFCUttC-0.000148-0.16239-0.0001480.05106]DLNSCUt-1-0.135489-1.761720.1108321.43445DLNSCUt-2-0.246246-3.67056-0.079448-1.17877DLNFCUt-10.3656854.61194-0.001445-0.01815DLNFCUt-20.2526273.534340.2526272.35604ecmt-1-0.208027-3.095040.0887961.31500G-S400083+0.54GS*0.860.350.39-0.26t6.19883514.99179*=1JohansenVECMG-SG-S0.710.39[1]Engle,R.F.andGranger,C.W.JCointegrationandErrorCorrectionRepresentation,EstimationandTesting[J]Econometrica,198755[2][J]20025[3][J]20058[4]SHFELME[J]20104[5]Hasbrouck,JOneSecurity,ManyMarkets:DeterminingtheContributionstoPriceDiscovery[J]JournalofFinance199550[6][J]20062EmpiricalResearchonFunctionofCopperFuturesPriceDiscoveryinChinaXiaoXinweiJinYingXinhuaSchoolofBankingandInsuranceZhongnanUniversityofEconomicsandLawWuhan430074ChinaAbstract:Theoperationalefficiencyoffuturesmarketcanbereflectedbythepricediscoveryoffuturesmarket.ThispaperstudiestheroleoffuturespriceaswellasspotpriceofcopperwhichisplayedinthecopperpricediscoverybyuseoferrorcorrectionmodelandtheG-Smodelbasedonco-integrationtest.Theresultsindicatethatthereisalong-termequilibriumrelationshipbetweenfuturespriceandspotpriceofcopper.Be-sidesthespotpriceplacesinthedominantpositioninthepricediscoveryandimpactsonpricesthroughtheerrorcorrectionterm.Whatismorethespotpricewillbeinvalidunlessitiscombinedwithfuturesprice.Atlastthebasisofcopperpricewillconvergeshortlytothenormalvaluewhenitdeviatesfromtheequilibriumstate.KeywordsPriceDiscoveryErrorCorrectionEquilibriumRelationship