我国铜铝期货市场与现货市场关系的实证分析
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摘要
期货市场是现货市场发展的高级形式。铜铝是不可再生资源,是工业生产的重要战略物资,是国民经济发展的基础材料。我国铜铝期货市场现在已具有一定规模,已基本具备对现货市场的规避风险和价格发现的功能。本文在总结国内外相关研究的基础上,运用协整检验方法及误差修正模型,探讨了国内铜铝市场期货价格与现货价格的相互影响关系,又对铜铝国内市场与国际市场的价格引导关系做了分析。
随着全球经济一体化进程的加快,国内铜铝期货现货价格不仅在国内存在相互影响的关系,同时,与国际价格的变化也越来越趋于同步,这表明我国在这个市场中的成熟度在逐步增强,已经成为国内相关行业在生产和流通领域定价的基础。
本文分为五个部分:绪论;国内外研究现状;铜的期货与现货关系;铝的期货与现货关系;结论与建议。绪论部分介绍了论题提出的意义与研究的基本范畴;第二部分包括两个小节:文献综述和研究方法。第三部分详细分析了铜的期货与现货关系,包括数据来源与描述统计、铜的期货与现货关系的因果检验与协整分析模型和误差修正模型分析;第四部分是铝的期货与现货关系,包括数据来源与描述统计、铝的期货与现货关系的因果检验与协整分析模型和误差修正模型分析。第五部分是结论与建议。
Spot market, futures market is the advanced form of development, China's copper and aluminum futures market now has a certain size, has been basically on the spot market with risk aversion and the price discovery function. Copper is a non-renewable resources is an important strategic materials in industrial production is the basis for material development of the national economy. In conclusion, this article studies both at home and abroad, based on the use of co-integration test and error correction model to explore the domestic market, copper and aluminum futures prices and spot prices influence of mutual relations, but also the domestic market for copper and aluminum prices with the international market andguide the relationship between analyzed.
With the global economy to speed up the integration process, the domestic spot price of copper and aluminum futures, not only in the domestic impact of the existence of the relationship between each other at the same time, changes in international prices and also more and more synchronized, indicating that in our country in this market maturity gradually increased, and has become a domestic related industries in the area of production and circulation of the basis of pricing.
This article is divided into five sections: Introduction; research abroad; copper in the relationship between futures and spot; aluminum relations between futures and spot; the conclusions and recommendations. Introduction section describes the significance of the topic and put forward the basic areas of study; the second part includes two sections: literature review and research methods. The third part of a detailed analysis of the futures and spot copper, including data sources and descriptive statistics, copper futures and spot test the causal relationship between the co-integration analysis and error correction models and model analysis; fourth part is the aluminum relationship between futures and spot , including data sources and descriptive statistics, aluminum futures and spot test the causal relationship between the co-integration analysis and error correction models and model analysis. The fifth part is the conclusions and recommendations.
随着全球经济一体化进程的加快,国内铜铝期货现货价格不仅在国内存在相互影响的关系,同时,与国际价格的变化也越来越趋于同步,这表明我国在这个市场中的成熟度在逐步增强,已经成为国内相关行业在生产和流通领域定价的基础。
本文分为五个部分:绪论;国内外研究现状;铜的期货与现货关系;铝的期货与现货关系;结论与建议。绪论部分介绍了论题提出的意义与研究的基本范畴;第二部分包括两个小节:文献综述和研究方法。第三部分详细分析了铜的期货与现货关系,包括数据来源与描述统计、铜的期货与现货关系的因果检验与协整分析模型和误差修正模型分析;第四部分是铝的期货与现货关系,包括数据来源与描述统计、铝的期货与现货关系的因果检验与协整分析模型和误差修正模型分析。第五部分是结论与建议。
Spot market, futures market is the advanced form of development, China's copper and aluminum futures market now has a certain size, has been basically on the spot market with risk aversion and the price discovery function. Copper is a non-renewable resources is an important strategic materials in industrial production is the basis for material development of the national economy. In conclusion, this article studies both at home and abroad, based on the use of co-integration test and error correction model to explore the domestic market, copper and aluminum futures prices and spot prices influence of mutual relations, but also the domestic market for copper and aluminum prices with the international market andguide the relationship between analyzed.
With the global economy to speed up the integration process, the domestic spot price of copper and aluminum futures, not only in the domestic impact of the existence of the relationship between each other at the same time, changes in international prices and also more and more synchronized, indicating that in our country in this market maturity gradually increased, and has become a domestic related industries in the area of production and circulation of the basis of pricing.
This article is divided into five sections: Introduction; research abroad; copper in the relationship between futures and spot; aluminum relations between futures and spot; the conclusions and recommendations. Introduction section describes the significance of the topic and put forward the basic areas of study; the second part includes two sections: literature review and research methods. The third part of a detailed analysis of the futures and spot copper, including data sources and descriptive statistics, copper futures and spot test the causal relationship between the co-integration analysis and error correction models and model analysis; fourth part is the aluminum relationship between futures and spot , including data sources and descriptive statistics, aluminum futures and spot test the causal relationship between the co-integration analysis and error correction models and model analysis. The fifth part is the conclusions and recommendations.
引文
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[2]吴冲峰.何勇.李卫东(1994).《期货价格及其模型初探》.《系统工程理论方法应用》.1994年4月.
[3]彭朝晖.上海期货交易所与伦敦金属交易所金属铜期货价格关系的实证分析.《云梦学刊》.2002.23.
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[5]高辉.中国上海与英国伦敦期货价格收益率及波动性实证分析.2005.中国资本市场发展与金融工程创新论文集2005.
[6]高辉.“国内外铝期货价格关联性及动态走势的建模研究”.浙江中大期货公司.万方数据.
[7]张光平.《上海期铜与国际期铜市场相关性分析》2003.12.16.
[8]邹炎(2004).上海期铜与伦敦铜的跨市套利及其实证检验.《系统工程理论方法应用》2004.2.
[9]华仁海.钟伟俊.对我国期货市场价格发现功能的实证分析[J].南开管理评论.2002年6期.
[10]唐衍伟.陈刚.张晨宏.期货市场价格波动与市场弱有效性的检验与分析.《系统工程》2004.
[11]华仁海.陈百助.期货市场期货价格之间的关联研究.《经济学》.北京大学出版社.2004.4.
[12]郭彦峰.黄登仕.魏宇.中国铜铝业类股价与国际铜铝价格间的关联研究.《统计与决策》2007.22.
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[15]赵骏.项红周.殷弘.上海证券市场价格行为分析.第二届中国证券市场发展与中外证券市场比较会议论文.1994.
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[17]徐剑刚.上海和深圳股市股票报酬的条件异方差和周末效应.统计研究.1995.6.
[18]奉立城.中国股票市场的“周内效应”.经济研究.2000.11.
[19]戴国强.陆蓉.中国股票巾场的周末效应检验.金融研究.1999. 4.
[20]刘彤.利用非参数方法对上海股市周末效应的研究.数理统计与管理.2003.1.
[21]周少甫.陈千里.上海股市波动的周日效应检验.数理统计与管理.2004.5.
[22]希克斯(英).《价值与资本――对经济理论某些基本原理的探讨》.薛蕃康译.商务印书馆.
[23]高铁梅.计量经济分析方法与建模(Eviews应用及实例).清华大学出版社.
[24] (美)古扎拉蒂著.林少宫译.计量经济学(第三版)「M〕.中国人民大学出版社.
[25]张晓炯.计量经济分析〔M],经济科学出版社.2000.
[26]宋逢明.《金融工程原理一无套利均衡分析》北京.清华大学出版社.1999.
[27]汪五一.《期货与期权交易》合肥.中国科学技术大学出版社.2005.
[28]罗孝玲.《期货投资案例》北京.经济科学出版社.2003.
[29]黄海沧等.《期货交易精要及案例》杭州.浙江大学出版社.2005.
[30]王振龙编(1999).《时间序列分析》[M]中国统计出版社.
[31]褚块海.《中国期货市场风险研究》北京.中国财政经济出版社.2002.
[32]周大庆等.《风险管理前沿一风险价值理论与应用》北京.中国人民大学出版社.
[33]李子奈等.《高等计量经济学》北京.清华大学出版社.2000.
[34]张晓桐.《计量经济学软件Eviews使用指南》天津.南开大学出版社.2002.
[35]张光平.铜期货期权一铜期货市场的避险工具.《期货日报》2004.9.29.
[36]鲍建平.候晓鸿.《我国铜期货市场有效性实证分析》2002.10.10.
[37]华仁海.陈百助.期货市场期货价格之间的关联研究《经济学(季刊)》北京学出版社.2004年4月(总第11期).
[38] CIintonWatkins、Miehael Aleer ,“EeonometriedellingofNon一ferrousofMetalPriee",《JournalofEeonieSurveys》,Vol.18,No.5.
[39] Chanee,D.M.,,’EassaysinDerivatives”,NewHoPe,PA,FrankFavozzi Associates,1998.
[40] Johnson,P.M.,“Derivatives:AManager’5Guidetotheorld’sstPo’erfu FinaneialInstruments",NewYork,Megr一Hill,1999.
[41] BrennanL.TheSuPPlyofStorage.TheAmerieanEeonomieReview.
[42]Johansen5.Estimation and HyPothesis Testing of Coiniegration Vectorsin Gauss. Veetor Autoregressive Models.Eeonomitrica1991(59):1551一1580.
[43]Keim D B, Stambaugh R F. A further investigation of the weekend effect in stock returns[J].The Journal of Finance, 1984, 39(3):819-835.
[44]Lakonishok J, Smidt S. Are seasonal anomalies real aninety-year perspective[J]. Review of Financial Studies, 1988, 1(4):403-425.
[45]Chen G, Kw1ok C, Rui M. The day-of-the-week regularity in the stock markets of China[J]. Journal of Multinational FinancialManagement, 2001, 11:139-163.
[46]Yu H C, Chiou I, Wagner J J. Does the weekday effect of the yen/dollar spot rates exist inTokyo, London, and NewYork [J].Applied Economices, to appear in 2008.
[47]Schwert G W. Anomalies and market efficiency[R]. NBER Working Paper 9277, 2002.
[48]Yasuhiro Yamai and Toshinao Yoshiba, Comparative Analyses of ExpectedShortfall and Value-at-Risk: Their Estimation Error, Decomposition, and Optimization. Monetary and Economic Studies, January 2002.
[2]吴冲峰.何勇.李卫东(1994).《期货价格及其模型初探》.《系统工程理论方法应用》.1994年4月.
[3]彭朝晖.上海期货交易所与伦敦金属交易所金属铜期货价格关系的实证分析.《云梦学刊》.2002.23.
[4]华仁海.仲伟俊.我国期货市场期货价格收益、交易量、波动性关系的动态分析.统计研究2003(7).
[5]高辉.中国上海与英国伦敦期货价格收益率及波动性实证分析.2005.中国资本市场发展与金融工程创新论文集2005.
[6]高辉.“国内外铝期货价格关联性及动态走势的建模研究”.浙江中大期货公司.万方数据.
[7]张光平.《上海期铜与国际期铜市场相关性分析》2003.12.16.
[8]邹炎(2004).上海期铜与伦敦铜的跨市套利及其实证检验.《系统工程理论方法应用》2004.2.
[9]华仁海.钟伟俊.对我国期货市场价格发现功能的实证分析[J].南开管理评论.2002年6期.
[10]唐衍伟.陈刚.张晨宏.期货市场价格波动与市场弱有效性的检验与分析.《系统工程》2004.
[11]华仁海.陈百助.期货市场期货价格之间的关联研究.《经济学》.北京大学出版社.2004.4.
[12]郭彦峰.黄登仕.魏宇.中国铜铝业类股价与国际铜铝价格间的关联研究.《统计与决策》2007.22.
[13]史代敏.沪深股票市场风险变异性实证研究.数量经济技术经济研究.2002.3.
[14]樊智.张世英.VaR的波动持续性研究.系统工程理论方法应用.2002.12.
[15]赵骏.项红周.殷弘.上海证券市场价格行为分析.第二届中国证券市场发展与中外证券市场比较会议论文.1994.
[16]俞乔.市场有效、周期异常与股价波动.经济研究.1994.4.
[17]徐剑刚.上海和深圳股市股票报酬的条件异方差和周末效应.统计研究.1995.6.
[18]奉立城.中国股票市场的“周内效应”.经济研究.2000.11.
[19]戴国强.陆蓉.中国股票巾场的周末效应检验.金融研究.1999. 4.
[20]刘彤.利用非参数方法对上海股市周末效应的研究.数理统计与管理.2003.1.
[21]周少甫.陈千里.上海股市波动的周日效应检验.数理统计与管理.2004.5.
[22]希克斯(英).《价值与资本――对经济理论某些基本原理的探讨》.薛蕃康译.商务印书馆.
[23]高铁梅.计量经济分析方法与建模(Eviews应用及实例).清华大学出版社.
[24] (美)古扎拉蒂著.林少宫译.计量经济学(第三版)「M〕.中国人民大学出版社.
[25]张晓炯.计量经济分析〔M],经济科学出版社.2000.
[26]宋逢明.《金融工程原理一无套利均衡分析》北京.清华大学出版社.1999.
[27]汪五一.《期货与期权交易》合肥.中国科学技术大学出版社.2005.
[28]罗孝玲.《期货投资案例》北京.经济科学出版社.2003.
[29]黄海沧等.《期货交易精要及案例》杭州.浙江大学出版社.2005.
[30]王振龙编(1999).《时间序列分析》[M]中国统计出版社.
[31]褚块海.《中国期货市场风险研究》北京.中国财政经济出版社.2002.
[32]周大庆等.《风险管理前沿一风险价值理论与应用》北京.中国人民大学出版社.
[33]李子奈等.《高等计量经济学》北京.清华大学出版社.2000.
[34]张晓桐.《计量经济学软件Eviews使用指南》天津.南开大学出版社.2002.
[35]张光平.铜期货期权一铜期货市场的避险工具.《期货日报》2004.9.29.
[36]鲍建平.候晓鸿.《我国铜期货市场有效性实证分析》2002.10.10.
[37]华仁海.陈百助.期货市场期货价格之间的关联研究《经济学(季刊)》北京学出版社.2004年4月(总第11期).
[38] CIintonWatkins、Miehael Aleer ,“EeonometriedellingofNon一ferrousofMetalPriee",《JournalofEeonieSurveys》,Vol.18,No.5.
[39] Chanee,D.M.,,’EassaysinDerivatives”,NewHoPe,PA,FrankFavozzi Associates,1998.
[40] Johnson,P.M.,“Derivatives:AManager’5Guidetotheorld’sstPo’erfu FinaneialInstruments",NewYork,Megr一Hill,1999.
[41] BrennanL.TheSuPPlyofStorage.TheAmerieanEeonomieReview.
[42]Johansen5.Estimation and HyPothesis Testing of Coiniegration Vectorsin Gauss. Veetor Autoregressive Models.Eeonomitrica1991(59):1551一1580.
[43]Keim D B, Stambaugh R F. A further investigation of the weekend effect in stock returns[J].The Journal of Finance, 1984, 39(3):819-835.
[44]Lakonishok J, Smidt S. Are seasonal anomalies real aninety-year perspective[J]. Review of Financial Studies, 1988, 1(4):403-425.
[45]Chen G, Kw1ok C, Rui M. The day-of-the-week regularity in the stock markets of China[J]. Journal of Multinational FinancialManagement, 2001, 11:139-163.
[46]Yu H C, Chiou I, Wagner J J. Does the weekday effect of the yen/dollar spot rates exist inTokyo, London, and NewYork [J].Applied Economices, to appear in 2008.
[47]Schwert G W. Anomalies and market efficiency[R]. NBER Working Paper 9277, 2002.
[48]Yasuhiro Yamai and Toshinao Yoshiba, Comparative Analyses of ExpectedShortfall and Value-at-Risk: Their Estimation Error, Decomposition, and Optimization. Monetary and Economic Studies, January 2002.