锌期货价格发现功能实证分析及其期货功能应用研究
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摘要
本文从介绍期货的定义和历史出发,阐述了期货的基本功能,详细的介绍了锌的特性、分布及其该期货产品的历史和现状,同时着重以上海期货交易所2007年3月26日至2008年4月30日锌期货价格为例,研究了我国锌期货自开展以来价格领先滞后关系。
我国期货市场自90年代初开办以来,经历了不平常的发展道路,发生了多起违规事件,使人们对期货市场产生了偏见,对期货市场的功能和作用产生了怀疑和动摇,这严重制约了我国期货市场的发展。经过近几年的规范整顿,我国期货市场的市场环境、内部结构、市场规模均发生了很大的变化,但对期货市场的运行效率、功能、作用发挥情况缺乏深入的了解和全面的把握。因此加强对我国期货市场的理论研究十分必要,而价格发现功能作为整个期货市场存在和发展的基础,同时也是期货市场套期保值功能发挥作用的前提,对于期货市场具有特别重要的意义。因此本文选择了上海期货交易所锌作为代表,对其价格发现功能进行全面深入的研究,从而对上海期货交易所的运行效率做出客观公正的评价,并解决以下两个问题:
1、上海期货交易所的运行是否有效,锌期货价格是否具有价格发现功能?
2、期货价格与现货价格之间是否存在引导关系?如果存在,是期货价格引导现货价格,或现货价格引导期货价格,还是两者相互引导?
本文利用单位根检验、协整检验,Granger因果检验,GS模型以及误差修正模型等方法对上海期货交易所的锌的价格发现功能进行了实证研究,得出了以下几个结论。
1、锌期货价格序列和现货价格序列均是非平稳的,但它们的一阶差分是平稳的。
2、锌期货价格与现货价格之间存在协整关系,且期货价格是现货价格的无偏估计量。
3、锌期货与现货价格存在引导关系,实证表明:锌期货价格对现货价格有引导作用。
综合以上结论可知:上海期货交易所的锌期货价格与现货价格之间存在长期均衡关系,期货价格与现货价格之间存在较为紧密的联系,期货市场与现货市场是有机地联系在一起的,上海期货交易所的锌期货价格发现功能良好。
同时,以对上海期货交易所的锌期货价格发现功能为出发点,结合期货的其他功能,根据湖南ZY公司的实际经营情况,就该公司如何充分利用期货市场的积极作用展开相关研究,总结出锌期货在该公司生产经营运用中应加强的实际方法、理论、经验教训及建议。
本研究创新之处在于:首先深入细致地研究了锌期货价格的影响因素;同时对期货、现货之间的价格引导与发现的相互关系进行了实证研究;并且在此基础上,结合锌期货的其它主要功能运用到具体的企业经营活动中。
This paper has introduced the characteristics and distribution of zine future in detail through the history and current situation.Simultaneously the paper has carried on relatively deep research in the zine price discovery the function and relation in the commodity exchange house of Shanghai base on the substantiation form 26/3/2007 to 30/4/2008.
The two main functions of forward market separately are the price discovery function and hedge function.The price is found and hedges the foundation of the function and guarantee of full play in function,From the point of view of this one,the price finds the real value that the function gives play to well or not andinfluences the forward market directly, It is the important part of the function of themarket of the futures.At present,the function is in evading price risk that theforward market of our country hedges,which is playing a more and more important role.
The price of futures finds that it is about understanding of the price of future,the price find that makes future be defined to exist,Just as sureness of the spot price,so the futures are known as trade future.Meanwhile,the futures find prices,planning to produce and consume and offering the facility for the relevant trader that consumes manufacturer,which promoted circulation of commodities.About the understanding,people have not many objections at present.
The futures are trade future in essence,because it speculates on relatively other markets of the function remarkably again.The price finds the function very obvious.In expounding the fact price find content,have scholar think futures it finds to be the discoveries of upward price trend by price,It is not merely that the level of the price discovery,the price finds that it is a dynamic course.So,the ones that adhered rigidly to at the concrete price too much have realistic meaning.
Futures the characteristic who price find,think forward market often brisk in the market than stock,futures market price fluctuate,Because among concrete trades transaction person lie in concrete price competence very much the latter,To consider the quality information of future of the price is as not more abundantly as the futures.
The forward market of our country has experienced the developing way not usual since running at the beginning of the 1990s,A lot of incidents in violation of rules and regulations have taken place,make people produce prejudice to the forward market,And function produce suspect and waver function in forward market,this restrain of our country the developments of forward markets from seriously.Restructuring through the standard in recent years,the market environment,inside structure,market scale of the forward market of our country changed greatly,But gives play to the situation and lacks deep understanding and overall assurance to the operational efficiency,function,function of the forwardmarket.As our country joins WTO,the forward market of our country faces the good development opportunity,It its strengthens to be at of our country forward markets very essential theoretical research and price find function at whole forward market have and foundation that develops,It is the prerequisite that the function that the forward market hedges too at the same time,Have very important significance to the forward market.So copies of selected works select commodity exchange house of Shanghai zine at representative,carry on overall deep researches to its discovery function,Thus make objective and just appraisal to the operational efficiency of the commodity exchange house of Shanghai.After probing into reason,it is easy to give play to zine find the countermeasure and suggestions the of function by price for this text to propose.
Simultaneously,according to the state of affairs Hunan's ZY corporation,the study carrys out the proactive effect to take advantage of futures market and how to apply zinc futures in operation.
The study brings forth new ideas that the influence factor in zinc futures' price is discussed,and the relation of guide and exhumation between the futures and the merchandise on hand.Base on it,how to apply the fuction of zinc futures to the practice operation in enterprise is expounded.
我国期货市场自90年代初开办以来,经历了不平常的发展道路,发生了多起违规事件,使人们对期货市场产生了偏见,对期货市场的功能和作用产生了怀疑和动摇,这严重制约了我国期货市场的发展。经过近几年的规范整顿,我国期货市场的市场环境、内部结构、市场规模均发生了很大的变化,但对期货市场的运行效率、功能、作用发挥情况缺乏深入的了解和全面的把握。因此加强对我国期货市场的理论研究十分必要,而价格发现功能作为整个期货市场存在和发展的基础,同时也是期货市场套期保值功能发挥作用的前提,对于期货市场具有特别重要的意义。因此本文选择了上海期货交易所锌作为代表,对其价格发现功能进行全面深入的研究,从而对上海期货交易所的运行效率做出客观公正的评价,并解决以下两个问题:
1、上海期货交易所的运行是否有效,锌期货价格是否具有价格发现功能?
2、期货价格与现货价格之间是否存在引导关系?如果存在,是期货价格引导现货价格,或现货价格引导期货价格,还是两者相互引导?
本文利用单位根检验、协整检验,Granger因果检验,GS模型以及误差修正模型等方法对上海期货交易所的锌的价格发现功能进行了实证研究,得出了以下几个结论。
1、锌期货价格序列和现货价格序列均是非平稳的,但它们的一阶差分是平稳的。
2、锌期货价格与现货价格之间存在协整关系,且期货价格是现货价格的无偏估计量。
3、锌期货与现货价格存在引导关系,实证表明:锌期货价格对现货价格有引导作用。
综合以上结论可知:上海期货交易所的锌期货价格与现货价格之间存在长期均衡关系,期货价格与现货价格之间存在较为紧密的联系,期货市场与现货市场是有机地联系在一起的,上海期货交易所的锌期货价格发现功能良好。
同时,以对上海期货交易所的锌期货价格发现功能为出发点,结合期货的其他功能,根据湖南ZY公司的实际经营情况,就该公司如何充分利用期货市场的积极作用展开相关研究,总结出锌期货在该公司生产经营运用中应加强的实际方法、理论、经验教训及建议。
本研究创新之处在于:首先深入细致地研究了锌期货价格的影响因素;同时对期货、现货之间的价格引导与发现的相互关系进行了实证研究;并且在此基础上,结合锌期货的其它主要功能运用到具体的企业经营活动中。
This paper has introduced the characteristics and distribution of zine future in detail through the history and current situation.Simultaneously the paper has carried on relatively deep research in the zine price discovery the function and relation in the commodity exchange house of Shanghai base on the substantiation form 26/3/2007 to 30/4/2008.
The two main functions of forward market separately are the price discovery function and hedge function.The price is found and hedges the foundation of the function and guarantee of full play in function,From the point of view of this one,the price finds the real value that the function gives play to well or not andinfluences the forward market directly, It is the important part of the function of themarket of the futures.At present,the function is in evading price risk that theforward market of our country hedges,which is playing a more and more important role.
The price of futures finds that it is about understanding of the price of future,the price find that makes future be defined to exist,Just as sureness of the spot price,so the futures are known as trade future.Meanwhile,the futures find prices,planning to produce and consume and offering the facility for the relevant trader that consumes manufacturer,which promoted circulation of commodities.About the understanding,people have not many objections at present.
The futures are trade future in essence,because it speculates on relatively other markets of the function remarkably again.The price finds the function very obvious.In expounding the fact price find content,have scholar think futures it finds to be the discoveries of upward price trend by price,It is not merely that the level of the price discovery,the price finds that it is a dynamic course.So,the ones that adhered rigidly to at the concrete price too much have realistic meaning.
Futures the characteristic who price find,think forward market often brisk in the market than stock,futures market price fluctuate,Because among concrete trades transaction person lie in concrete price competence very much the latter,To consider the quality information of future of the price is as not more abundantly as the futures.
The forward market of our country has experienced the developing way not usual since running at the beginning of the 1990s,A lot of incidents in violation of rules and regulations have taken place,make people produce prejudice to the forward market,And function produce suspect and waver function in forward market,this restrain of our country the developments of forward markets from seriously.Restructuring through the standard in recent years,the market environment,inside structure,market scale of the forward market of our country changed greatly,But gives play to the situation and lacks deep understanding and overall assurance to the operational efficiency,function,function of the forwardmarket.As our country joins WTO,the forward market of our country faces the good development opportunity,It its strengthens to be at of our country forward markets very essential theoretical research and price find function at whole forward market have and foundation that develops,It is the prerequisite that the function that the forward market hedges too at the same time,Have very important significance to the forward market.So copies of selected works select commodity exchange house of Shanghai zine at representative,carry on overall deep researches to its discovery function,Thus make objective and just appraisal to the operational efficiency of the commodity exchange house of Shanghai.After probing into reason,it is easy to give play to zine find the countermeasure and suggestions the of function by price for this text to propose.
Simultaneously,according to the state of affairs Hunan's ZY corporation,the study carrys out the proactive effect to take advantage of futures market and how to apply zinc futures in operation.
The study brings forth new ideas that the influence factor in zinc futures' price is discussed,and the relation of guide and exhumation between the futures and the merchandise on hand.Base on it,how to apply the fuction of zinc futures to the practice operation in enterprise is expounded.
引文
[1]ABOUT THE LME,LONDON METAL EXCHANGE
[2]关于交易所,上海期货交易所网站
[3]Working,Holbrook,"Theory of the inverse carrying charge in future market s",Journal of Farm Economics,1948,30,1-28
[4]Hoffman,G.Wright,Future trading upon organized commodity markets in the United States(Philadelphia:University of Pennsylvania,1932)
[5]Work in g,Horbrook,"Price effects of futures trading",Food Research Institute Studies,1960,1,3-31.Reprinted in Selected writings of Holbrook Working,compiled by Ann E.Peck,pp.45-75,Chicago:Board of trade of the city of Chicago,1997
[6]PSilvapulle,I.A.Moosa,"The relationship between the spot and futures prices:evidence from the crude oil market",Journnl of Futures markets,1999,19,175-93
[7]Albert Ballinger,Gerald P.Dwyer Jr.,and Ann B.Gillette.,"Trading institutions and price discovery:the cash and futures markets for crude oil",Federal reserve bank of Atlanta working paper series,2004-28
[8]Cox,C.C.,"Futures trading and market information",Journal of Political Economy,1976,vo 1.84,No.6,pp.1215-37
[9]Grossman,S.J.,"The informational role of prices",Wicksell Lectures,MIT Press,Cambridge,MA and London,1989,x,218
[10]Garbade,K.D.,and Silber,WL.,"Price movement and price discovery in futures and cash markets",Review of Economics and Statistics,1983,65,289-297
[11]Oellermann,C.M.,Brorsen,B.W,and Farris,P.L.,"Price discovery for feeder cattle",Journal of Futures Markets,1989,9,113-121
[12]Schroeder,T.and B.Goodwing,"Price discovery and cointegration for live hogs",Journal of Futures Markets,1991,11,685-969
[13]Victor K.Ng,Stephen Craig Pirrong,"Price dynamics in refined petroleum spot and futures markets",Journal of Empirical Finance,1996,2,359-388
[14]Schwarz,T.and A.Szakmary,"price discovery in petroleum markcts:price discovery,cointegration,and the time interval of analysis",Journal of Futures Markets,1994,.9,147-167
[15]Imad A.Moosa,"Price discovery and risk transfer in the crude oil futures market:some structural time series evidence",Economic notes by Banca Monte dei Paschi di Siena SPA,2002,31,no.1,155-165
[16]J.Quan,"Two step testing procedure for price discovery role of futures prices",Journal of Futures of markets,1992,12.99,139-49
[17]Engle,R.F,Granger C.WJ,"Cointegration and error correction,representation estimation and testing",Ecomometrica,1987,55,251-276
[18]Bopp,A.E.,and Sitzer,S."Are petroleum futures prices good predictors of cash value",Journal of futures markets,1987,7,705-719
[19]Bopp,A.E.,and Lady,G,"A comparison of petroleum futures versus spot prices as predictors of prices in the futures",Energy Economics,1991,13(4),274-282
[20]Bong-Soo Lee,Oliver M.Rui.,"The dynamic relationship between stock returns and trading volume:domestic and cross-country evidence",Journal of Banking& Finance,2002,26,51-78
[21]Granger C.VJ.J.,"Some recent development in a concept of causality",Journal of Econometrics,1988,39,199-211
[22]Ross,S.,"Information and volatility:the no-arbitrage martingale approach to timing and resolution irrelevancy",Joumal of Finance,1989,44,1-17
[23]Chan,IC,"A further analysis of the lead-lag relationship between the cash market and stock index futures markets",Review of Financial Studies,1992,5,123-152
[24]Yiuman Tse.,"Price discovery and volatility spillover in the DJIA index and futures markets",Journal of Futures Markets,1999,19(8),911-930.
[25]Maosen Zhong,Ali FDarrat,Rafael Otero.,"Price discovery and volatility spillovers in index futures markets:some evidence from Mexico",Journal of Banking&Finance,2004,28,3037-3054
[26]张冬平,李瑞琪,闰梦薏,绿豆期货价格波动分析.河南农业大学学报,1994,28(4):327-331
[27]吴冲锋,王海成,幸云,期铜价格引导关系和互谐关系实证研究,系统工程理论方法应用,1997 6(2):1-9
[28]俨太华,刘显洋.我国商品期货价格与现货价格协整关系的实证研究.预测,1999,(3):58,72-74
[29]俨太华,孟卫东,刘显洋.铜和绿豆期货价格与现货价格协整关系的实证.重庆大学学报(自然科学版),2000,23(4):115-119
[30]王洪伟,蒋馥,吴家春.铜期货价格与现货价格引导关系的实证研究.预测,2001,20(1):75-77
[31]刘军峰.基于协整理论的中国商品期货市场与现货市场长期均衡关系的研究天津大学硕士学位论文.博硕士论文数据库,2003
[32]高辉.大连商品期货价格协整关系与引导关系的实证研究.太原理工大学学报(社会科学版),2003 21(1):40-43
[33]华仁海,仲伟俊.对我国期货市场价格发现功能的实证分析 南开管理评论,2002(5):,57-60
[34]贺涛,沈荣芳,刘杰.上海粮食期货市场价格发现功能分析.同济大学学报(社会科学版)1999,10(2)
[35]邹书中,对我国期货市场价格发现功能的实证分析——以铜铝为例,中南大学硕士学位论文
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[38]陈曦,沪铜期价影响因素的实证分析,武汉理工大学硕士论文,2006
[39]Davidson,I.E.,D.F.Hendry,F.Srba,et S.Y.en,1978,"Econometric Modelling of the Aggregate Time-Series Relationships Between Consumer' s Expenditure and Income", Vol. 88, pp. 661. 692.
[40] Dickey, D.A., et W.A. Fuller, 1981, "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root", Econometrica, Vol. 49, pp. 1057-1072
[41]Grossman, S. J., 1977, "The Existence of Futures Markets, Noisy Rational Expectations, and informational Extematity", Review of Economic Studies, Vol. 44, pp. 431.449
[42]Hasbrouck, J, 1995, "One Security, Many Markets;Determining the Contributions to Price Discovery", Working Paper, Stem School of Business, New York University.
[43]Chan, K., K. C. Chan, et G. A. Karolyi, 1991, "Intraday Volatility in the Stock Index and Stock Index Futures Markets"Review of Financial Studies, Vol, 4, pp. 657-684
[2]关于交易所,上海期货交易所网站
[3]Working,Holbrook,"Theory of the inverse carrying charge in future market s",Journal of Farm Economics,1948,30,1-28
[4]Hoffman,G.Wright,Future trading upon organized commodity markets in the United States(Philadelphia:University of Pennsylvania,1932)
[5]Work in g,Horbrook,"Price effects of futures trading",Food Research Institute Studies,1960,1,3-31.Reprinted in Selected writings of Holbrook Working,compiled by Ann E.Peck,pp.45-75,Chicago:Board of trade of the city of Chicago,1997
[6]PSilvapulle,I.A.Moosa,"The relationship between the spot and futures prices:evidence from the crude oil market",Journnl of Futures markets,1999,19,175-93
[7]Albert Ballinger,Gerald P.Dwyer Jr.,and Ann B.Gillette.,"Trading institutions and price discovery:the cash and futures markets for crude oil",Federal reserve bank of Atlanta working paper series,2004-28
[8]Cox,C.C.,"Futures trading and market information",Journal of Political Economy,1976,vo 1.84,No.6,pp.1215-37
[9]Grossman,S.J.,"The informational role of prices",Wicksell Lectures,MIT Press,Cambridge,MA and London,1989,x,218
[10]Garbade,K.D.,and Silber,WL.,"Price movement and price discovery in futures and cash markets",Review of Economics and Statistics,1983,65,289-297
[11]Oellermann,C.M.,Brorsen,B.W,and Farris,P.L.,"Price discovery for feeder cattle",Journal of Futures Markets,1989,9,113-121
[12]Schroeder,T.and B.Goodwing,"Price discovery and cointegration for live hogs",Journal of Futures Markets,1991,11,685-969
[13]Victor K.Ng,Stephen Craig Pirrong,"Price dynamics in refined petroleum spot and futures markets",Journal of Empirical Finance,1996,2,359-388
[14]Schwarz,T.and A.Szakmary,"price discovery in petroleum markcts:price discovery,cointegration,and the time interval of analysis",Journal of Futures Markets,1994,.9,147-167
[15]Imad A.Moosa,"Price discovery and risk transfer in the crude oil futures market:some structural time series evidence",Economic notes by Banca Monte dei Paschi di Siena SPA,2002,31,no.1,155-165
[16]J.Quan,"Two step testing procedure for price discovery role of futures prices",Journal of Futures of markets,1992,12.99,139-49
[17]Engle,R.F,Granger C.WJ,"Cointegration and error correction,representation estimation and testing",Ecomometrica,1987,55,251-276
[18]Bopp,A.E.,and Sitzer,S."Are petroleum futures prices good predictors of cash value",Journal of futures markets,1987,7,705-719
[19]Bopp,A.E.,and Lady,G,"A comparison of petroleum futures versus spot prices as predictors of prices in the futures",Energy Economics,1991,13(4),274-282
[20]Bong-Soo Lee,Oliver M.Rui.,"The dynamic relationship between stock returns and trading volume:domestic and cross-country evidence",Journal of Banking& Finance,2002,26,51-78
[21]Granger C.VJ.J.,"Some recent development in a concept of causality",Journal of Econometrics,1988,39,199-211
[22]Ross,S.,"Information and volatility:the no-arbitrage martingale approach to timing and resolution irrelevancy",Joumal of Finance,1989,44,1-17
[23]Chan,IC,"A further analysis of the lead-lag relationship between the cash market and stock index futures markets",Review of Financial Studies,1992,5,123-152
[24]Yiuman Tse.,"Price discovery and volatility spillover in the DJIA index and futures markets",Journal of Futures Markets,1999,19(8),911-930.
[25]Maosen Zhong,Ali FDarrat,Rafael Otero.,"Price discovery and volatility spillovers in index futures markets:some evidence from Mexico",Journal of Banking&Finance,2004,28,3037-3054
[26]张冬平,李瑞琪,闰梦薏,绿豆期货价格波动分析.河南农业大学学报,1994,28(4):327-331
[27]吴冲锋,王海成,幸云,期铜价格引导关系和互谐关系实证研究,系统工程理论方法应用,1997 6(2):1-9
[28]俨太华,刘显洋.我国商品期货价格与现货价格协整关系的实证研究.预测,1999,(3):58,72-74
[29]俨太华,孟卫东,刘显洋.铜和绿豆期货价格与现货价格协整关系的实证.重庆大学学报(自然科学版),2000,23(4):115-119
[30]王洪伟,蒋馥,吴家春.铜期货价格与现货价格引导关系的实证研究.预测,2001,20(1):75-77
[31]刘军峰.基于协整理论的中国商品期货市场与现货市场长期均衡关系的研究天津大学硕士学位论文.博硕士论文数据库,2003
[32]高辉.大连商品期货价格协整关系与引导关系的实证研究.太原理工大学学报(社会科学版),2003 21(1):40-43
[33]华仁海,仲伟俊.对我国期货市场价格发现功能的实证分析 南开管理评论,2002(5):,57-60
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