中国钢材交易市场价格发现动态演化研究
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摘要
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.
Currently, there exists three kinds of steel trading markets in China: Spot market, futures market and B2 B 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.
Currently, there exists three kinds of steel trading markets in China: Spot market, futures market and B2 B 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.
引文
[1] Kettler P C, Yablonski A L, Proske F. Market microstructure and price discovery[J]. Journal of Mathematical Finance, 2013, 3(1):1-9.
[2] Wang D, Tu J, Chang X, et al. The lead-lag relationship between the spot and futures markets in China[J].Quantitative Finance, 2017, 17(9):1447-1456.
[3]张维,何枫,熊熊,等.中国金融系统工程:研究现状及未来发展系统工程理论与实践[J].系统工程理论与实践,2017,37(1):1-16.Zhang W, He F, Xiong X, et al. Financial system engineering in China:Current research and future prospects[J].Systems Engineering—Theory&Practice, 2017, 37(1):1-16.
[4]陶利斌,潘婉彬,黄筠哲.沪深300股指期货价格发现能力的变化及其决定因素[J].金融研究,2014,(4):128-142.Tao L B, Pan W B, Huang J Z. The determinants of price discovery in CSI300 stock index futures[J]. Journal of Financial Research, 2014(4):128-142.
[5]马刚,马丽.我国钢材期货价格、现货价格关系实证研究——基于螺纹钢期货市场与现货市场数据[J].中国证券期货,2010(8):27-29.Ma G, Ma L. An empirical study on the relationship between China's steel futures prices and spot prices:Based on the data of roll bars futures market and spot market[J]. Securities&Futures of China, 2010(8):27-29.
[6]刘任帆,陈芳舒.我国钢材期货与现货市场的互动性探究——基于上海螺纹钢的实证研究[J].杭州电子科技大学学报(社会科学版),2011(3):13-17.Liu R F, Chen F S. Research on the interaction of Chinese steel futures and spot market[J]. Journal of Hangzhou Dianzi University, 2011(3):13-17.
[7]程刚,张孝岩,鲍亦群.上海钢材期货市场价格发现功能研究——基于螺纹钢期货,远期和现货价格的实证分析[J].吉林工商学院学报,2010, 26(2):31-35.Cheng G, Zhang X Y, Bao Y Q. Research on the price discovery function of steel futures market in Shanghai:Based on steel futures price, forward price and spot price[J]. Journal of Jilin Business and Technology College,2010, 26(2):31-35.
[8]方雯,冯耕中,陆凤彬,等.期货保证金调整对中国钢材市场价格发现的影响研究[J].中国管理科学,2015, 23(2):1-9.Fang W, Feng G Z, Lu F B,et al.A study on the effects of adjusting futures margin level on the price discovery of Chinese steel markets[J]. Chinese Journal of Management Science, 2015, 23(2):1-9.
[9] Coccia M. Global trends of steel and long-term equilibrium hypothesis across leading countries[EB/OL]. April25, 2017. SSRN:http://ssrn.com/abstract=2958456.
[10] Cheng I H, Xiong W. Financialization of commodity markets[J]. Annual Review of Financial Economics, 2014,6(1):419-441.
[11]张翔,刘璐,李伦一.国际大宗商品市场金融化与中国宏观经济波动[J].金融研究,2017(1):35-51.Zhang X, Liu L, Li L Y. The financialization of international commodity market and Chinese macroeconomic fluctuations[J]. Journal of Financial Research, 2017(1):35-51.
[12]张群,张卫国,马勇.中国金融市场系统复杂性的演化机理与管理研究[J].管理科学学报,2017, 20(1):76-86.Zhang Q, Zhang W G, Ma Y. Evolution mechanisms and management of systemic complexity in China's financial markets[J]. Journal of Management Sciences in China, 2017, 20(1):76-86.
[13] Hasbrouck J. One security, many markets:Determining the contributions to price discovery[J]. Journal of Finance, 1995, 50(4):1175-1199.
[14] Hasbrouck J. Empirical market microstructure:The institution, economics, and econometrics of securities trading[M]. New York:Oxford University Press, 2007.
[15] Man K, Wang J, Wu C. Price discovery in the U.S. treasury market:Automation versus Iintermediation[J].Management Science, 2013(59):695-714.
[16] Putnins. What do price discovery metrics really measure[J]. Journal of Empirical Finance, 2013(23):68-83.
[17] Dolatabad S, Nielsen M 0, Xu K. A fractionally cointegrated VAR analysis of price discovery in commodity futures markets[J]. Journal of Futures Markets, 2015(35):339-356.
[18] Pavlova E, Cramon-Taubadel V. Measuring price discovery in agricultural markets[C]//Agricultural&Applied Economics Asscociation Annual Meeting, 2016, Boston, July 31-August 2.
[19] Lu G. Developing price discovery measures within a volatility-based model(third draft)[EB/OL]. Ocotober 26,2012. SSRN:http://ssrn.com/abstract=1957078.
[20] Caporale G M, Girardi A. Price discovery and trade fragmentation in a multi-market environment:Evidence from the MTS system[J]. Journal of Banking&Finance, 2013, 37(2):227-240.
[21] Avino D, Lazar E, Varotto S. Time varying price discovery[J]. Economics Letters, 2015(126):18-21.
[22] Forte S, Lovreta L. Time varying credit risk discovery in the stock and CDS markets:Evidence from quiet and crisis times[J]. European Financial Management, 2015(21):430-461.
[23]谢晓闻,方意,赵胜民.中国期货市场价格发现功能研究[J].系统工程学报,2016, 31(3):364-372.Xie X W, Fang Y, Zhao S M. Study of the price discovery function in China's future market[J]. Journal of Systems Engineering, 2016, 31(3):364-372.
[24]郭琨,周炜星,成思危.中国股市的经济晴雨表作用——基于热最优路径法的动态分析[J].管理科学学报,2012, 15(1):1-10.Guo K, Zhou W X, Cheng S W. Economy barometer analysis of China stock market:A dynamic analysis based on the thermal optimal path method[J]. Journal of Management Sciences in China, 2012, 15(1):1-10.
[25] Gong C C,Ji S D, Su L L,et al. The lead-lag relationship between stock index and stock index futures:A thermal optimal path method[J]. Physica A:Statistical Mechanics&Its Applications, 2016(444):63-72.
[26] Lien D, Wang Z. Estimation of market information shares:A comparison[J]. Journal of Futures Markets,2016(36):1108-1124.
[27] Shi S M. Information content of credit default swaps:Price discovery, risk transmission, and news impact[D].Durham University, http://etheses.dur.ac.uk/12097/, 2017.
[28] FiguerolarFerretti G, Gilbert C L, Yan J. Copper price discovery on Comex, the LME and the SHFE, 2001-2013[R/OL]. DEE-Working Papers, Business Economics, WB, 2014, No. wb140402.
[29] Lien D, Shrestha K. Price discovery in interrelated markets[J]. Journal of Futures Markets, 2014(34):203-219.
[30] Engle R. Dynamic conditional correlation:A simple class of multivariate generalized autoregressive conditional heteroskedasticity models[J]. Journal of Business&Economic Statistics, 2002(20):339-350.
[31] Fleming J, Ostdiek B, Whaley R E. Trading costs and the relative rates of price discovery in stock, futures, and option markets[J]. Journal of Futures Markets, 1996, 16(4):353-387.
[32] Comerton-Forde C, Putnins T J. Dark trading and price discovery[J]. Journal of Financial Economics, 2015,118(1):70-92.
[33] Baruch S, Panayides M, Venkataraman K. Informed trading and price discovery before corporate events[J].Journal of Financial Economics, 2017, 125(3):561-588.
[34] Choy S K, Zhang H. Trading costs and price discovery[J]. Review of Quantitative Finance and Accounting, 2010,34(1):37-57.
[35]华仁海,刘庆富.股指期货与股指现货市场间的价格发现能力研究[J].数量经济技术经济研究,2010(10):90-100.Hua R H, Liu Q F. The research on price discovery ability between stock index futures markets and stock index spot market[J]. Quantitative Economic Technology and Economic Research, 2010(10):90-100.
[36]周舟,成思危.沪深300股指期货市场中的宏观经济信息发布与价格发现[J].系统工程理论与实践,2013, 33(12):3045-3053.Zhou Z, Cheng S W. Macroeconomic announcements and price discovery in the CSI 300 stock index futures market[J]. Systems Engineering—Theory&Practice, 2013, 33(12):3045-3053.
[37]陈莹,武志伟,王杨.沪深300指数衍生证券的多市场交易与价格发现[J].管理科学学报,2014, 17(12):75-84.Chen Y, Wu Z W, Wang Y. Multi-market trading of HS300 index derivatives and price discovery of stock market index[J]. Journal of Management Sciences in China, 2014, 17(12):75-84.
[38]王爽,宋军·异常波动中股指期货和现货市场信息传导机制[J].系统工程学报,2017, 32(5):628-637.Wang S, Song J. Information transmission between futures and spot markets of the stock index in the abnormal market[J]. Journal of Systems Engineering, 2017, 32(5):628-637.
[39]李自然,汪寿阳.衍生品市场要加强监管科学发展[N].人民日报,2017年11月29日,15版.Li Z R, Wang S Y. The derivatives market should be in scientific development in enhanced and effective management[N]. People's Daily, November 29, 2017, 15th edition.
1.调查样本区间为2004年11月1日至2014年3月20日.2014年3月21日,上海期货交易所上市热卷板期货,中国钢材期货品种结构得到完善,已涵盖螺纹钢、线材和热卷板3种应用广泛的钢材调查样本.
2.热卷板远期合约价格取自上海大宗钢铁电子交易中心、提供的每日行情数据,官方网站:http://www.ssec-steel.com.
3.期货价格取自上海期货交易所每日行情数据,官方网站:http://www.shfe.com.cn.
4.现货价格取自“我的钢铁网”提的交易价格,官方网站:http://www.mysteel.com.“我的钢铁网”是中国最大的从事钢铁类商品资讯服务的钢材电商之一.
5.热卷板电子交易市场、现货市场对数价格序列在1%显著性水平上是协整的.协整检验详细过程及结果,感兴趣的读者可向作者索取.
6.据测算,在本文研究区间,期货市场信息份额高于电子交易市场的交易日天数占总交易日天数的比例为94.6%.
7. Fleming等~([31])提出的“交易成本假说”得到许多实证研究支持,如Choy和Zhang~([34]),华仁海和刘庆富~([35]),周舟和成思危~([36]),陈莹等~([37]).但也有研究不完全支持这—假说,如王爽和宋军~([38]).
[2] Wang D, Tu J, Chang X, et al. The lead-lag relationship between the spot and futures markets in China[J].Quantitative Finance, 2017, 17(9):1447-1456.
[3]张维,何枫,熊熊,等.中国金融系统工程:研究现状及未来发展系统工程理论与实践[J].系统工程理论与实践,2017,37(1):1-16.Zhang W, He F, Xiong X, et al. Financial system engineering in China:Current research and future prospects[J].Systems Engineering—Theory&Practice, 2017, 37(1):1-16.
[4]陶利斌,潘婉彬,黄筠哲.沪深300股指期货价格发现能力的变化及其决定因素[J].金融研究,2014,(4):128-142.Tao L B, Pan W B, Huang J Z. The determinants of price discovery in CSI300 stock index futures[J]. Journal of Financial Research, 2014(4):128-142.
[5]马刚,马丽.我国钢材期货价格、现货价格关系实证研究——基于螺纹钢期货市场与现货市场数据[J].中国证券期货,2010(8):27-29.Ma G, Ma L. An empirical study on the relationship between China's steel futures prices and spot prices:Based on the data of roll bars futures market and spot market[J]. Securities&Futures of China, 2010(8):27-29.
[6]刘任帆,陈芳舒.我国钢材期货与现货市场的互动性探究——基于上海螺纹钢的实证研究[J].杭州电子科技大学学报(社会科学版),2011(3):13-17.Liu R F, Chen F S. Research on the interaction of Chinese steel futures and spot market[J]. Journal of Hangzhou Dianzi University, 2011(3):13-17.
[7]程刚,张孝岩,鲍亦群.上海钢材期货市场价格发现功能研究——基于螺纹钢期货,远期和现货价格的实证分析[J].吉林工商学院学报,2010, 26(2):31-35.Cheng G, Zhang X Y, Bao Y Q. Research on the price discovery function of steel futures market in Shanghai:Based on steel futures price, forward price and spot price[J]. Journal of Jilin Business and Technology College,2010, 26(2):31-35.
[8]方雯,冯耕中,陆凤彬,等.期货保证金调整对中国钢材市场价格发现的影响研究[J].中国管理科学,2015, 23(2):1-9.Fang W, Feng G Z, Lu F B,et al.A study on the effects of adjusting futures margin level on the price discovery of Chinese steel markets[J]. Chinese Journal of Management Science, 2015, 23(2):1-9.
[9] Coccia M. Global trends of steel and long-term equilibrium hypothesis across leading countries[EB/OL]. April25, 2017. SSRN:http://ssrn.com/abstract=2958456.
[10] Cheng I H, Xiong W. Financialization of commodity markets[J]. Annual Review of Financial Economics, 2014,6(1):419-441.
[11]张翔,刘璐,李伦一.国际大宗商品市场金融化与中国宏观经济波动[J].金融研究,2017(1):35-51.Zhang X, Liu L, Li L Y. The financialization of international commodity market and Chinese macroeconomic fluctuations[J]. Journal of Financial Research, 2017(1):35-51.
[12]张群,张卫国,马勇.中国金融市场系统复杂性的演化机理与管理研究[J].管理科学学报,2017, 20(1):76-86.Zhang Q, Zhang W G, Ma Y. Evolution mechanisms and management of systemic complexity in China's financial markets[J]. Journal of Management Sciences in China, 2017, 20(1):76-86.
[13] Hasbrouck J. One security, many markets:Determining the contributions to price discovery[J]. Journal of Finance, 1995, 50(4):1175-1199.
[14] Hasbrouck J. Empirical market microstructure:The institution, economics, and econometrics of securities trading[M]. New York:Oxford University Press, 2007.
[15] Man K, Wang J, Wu C. Price discovery in the U.S. treasury market:Automation versus Iintermediation[J].Management Science, 2013(59):695-714.
[16] Putnins. What do price discovery metrics really measure[J]. Journal of Empirical Finance, 2013(23):68-83.
[17] Dolatabad S, Nielsen M 0, Xu K. A fractionally cointegrated VAR analysis of price discovery in commodity futures markets[J]. Journal of Futures Markets, 2015(35):339-356.
[18] Pavlova E, Cramon-Taubadel V. Measuring price discovery in agricultural markets[C]//Agricultural&Applied Economics Asscociation Annual Meeting, 2016, Boston, July 31-August 2.
[19] Lu G. Developing price discovery measures within a volatility-based model(third draft)[EB/OL]. Ocotober 26,2012. SSRN:http://ssrn.com/abstract=1957078.
[20] Caporale G M, Girardi A. Price discovery and trade fragmentation in a multi-market environment:Evidence from the MTS system[J]. Journal of Banking&Finance, 2013, 37(2):227-240.
[21] Avino D, Lazar E, Varotto S. Time varying price discovery[J]. Economics Letters, 2015(126):18-21.
[22] Forte S, Lovreta L. Time varying credit risk discovery in the stock and CDS markets:Evidence from quiet and crisis times[J]. European Financial Management, 2015(21):430-461.
[23]谢晓闻,方意,赵胜民.中国期货市场价格发现功能研究[J].系统工程学报,2016, 31(3):364-372.Xie X W, Fang Y, Zhao S M. Study of the price discovery function in China's future market[J]. Journal of Systems Engineering, 2016, 31(3):364-372.
[24]郭琨,周炜星,成思危.中国股市的经济晴雨表作用——基于热最优路径法的动态分析[J].管理科学学报,2012, 15(1):1-10.Guo K, Zhou W X, Cheng S W. Economy barometer analysis of China stock market:A dynamic analysis based on the thermal optimal path method[J]. Journal of Management Sciences in China, 2012, 15(1):1-10.
[25] Gong C C,Ji S D, Su L L,et al. The lead-lag relationship between stock index and stock index futures:A thermal optimal path method[J]. Physica A:Statistical Mechanics&Its Applications, 2016(444):63-72.
[26] Lien D, Wang Z. Estimation of market information shares:A comparison[J]. Journal of Futures Markets,2016(36):1108-1124.
[27] Shi S M. Information content of credit default swaps:Price discovery, risk transmission, and news impact[D].Durham University, http://etheses.dur.ac.uk/12097/, 2017.
[28] FiguerolarFerretti G, Gilbert C L, Yan J. Copper price discovery on Comex, the LME and the SHFE, 2001-2013[R/OL]. DEE-Working Papers, Business Economics, WB, 2014, No. wb140402.
[29] Lien D, Shrestha K. Price discovery in interrelated markets[J]. Journal of Futures Markets, 2014(34):203-219.
[30] Engle R. Dynamic conditional correlation:A simple class of multivariate generalized autoregressive conditional heteroskedasticity models[J]. Journal of Business&Economic Statistics, 2002(20):339-350.
[31] Fleming J, Ostdiek B, Whaley R E. Trading costs and the relative rates of price discovery in stock, futures, and option markets[J]. Journal of Futures Markets, 1996, 16(4):353-387.
[32] Comerton-Forde C, Putnins T J. Dark trading and price discovery[J]. Journal of Financial Economics, 2015,118(1):70-92.
[33] Baruch S, Panayides M, Venkataraman K. Informed trading and price discovery before corporate events[J].Journal of Financial Economics, 2017, 125(3):561-588.
[34] Choy S K, Zhang H. Trading costs and price discovery[J]. Review of Quantitative Finance and Accounting, 2010,34(1):37-57.
[35]华仁海,刘庆富.股指期货与股指现货市场间的价格发现能力研究[J].数量经济技术经济研究,2010(10):90-100.Hua R H, Liu Q F. The research on price discovery ability between stock index futures markets and stock index spot market[J]. Quantitative Economic Technology and Economic Research, 2010(10):90-100.
[36]周舟,成思危.沪深300股指期货市场中的宏观经济信息发布与价格发现[J].系统工程理论与实践,2013, 33(12):3045-3053.Zhou Z, Cheng S W. Macroeconomic announcements and price discovery in the CSI 300 stock index futures market[J]. Systems Engineering—Theory&Practice, 2013, 33(12):3045-3053.
[37]陈莹,武志伟,王杨.沪深300指数衍生证券的多市场交易与价格发现[J].管理科学学报,2014, 17(12):75-84.Chen Y, Wu Z W, Wang Y. Multi-market trading of HS300 index derivatives and price discovery of stock market index[J]. Journal of Management Sciences in China, 2014, 17(12):75-84.
[38]王爽,宋军·异常波动中股指期货和现货市场信息传导机制[J].系统工程学报,2017, 32(5):628-637.Wang S, Song J. Information transmission between futures and spot markets of the stock index in the abnormal market[J]. Journal of Systems Engineering, 2017, 32(5):628-637.
[39]李自然,汪寿阳.衍生品市场要加强监管科学发展[N].人民日报,2017年11月29日,15版.Li Z R, Wang S Y. The derivatives market should be in scientific development in enhanced and effective management[N]. People's Daily, November 29, 2017, 15th edition.
1.调查样本区间为2004年11月1日至2014年3月20日.2014年3月21日,上海期货交易所上市热卷板期货,中国钢材期货品种结构得到完善,已涵盖螺纹钢、线材和热卷板3种应用广泛的钢材调查样本.
2.热卷板远期合约价格取自上海大宗钢铁电子交易中心、提供的每日行情数据,官方网站:http://www.ssec-steel.com.
3.期货价格取自上海期货交易所每日行情数据,官方网站:http://www.shfe.com.cn.
4.现货价格取自“我的钢铁网”提的交易价格,官方网站:http://www.mysteel.com.“我的钢铁网”是中国最大的从事钢铁类商品资讯服务的钢材电商之一.
5.热卷板电子交易市场、现货市场对数价格序列在1%显著性水平上是协整的.协整检验详细过程及结果,感兴趣的读者可向作者索取.
6.据测算,在本文研究区间,期货市场信息份额高于电子交易市场的交易日天数占总交易日天数的比例为94.6%.
7. Fleming等~([31])提出的“交易成本假说”得到许多实证研究支持,如Choy和Zhang~([34]),华仁海和刘庆富~([35]),周舟和成思危~([36]),陈莹等~([37]).但也有研究不完全支持这—假说,如王爽和宋军~([38]).