CAJ | 학술논문

考虑到不同期限商品期货合约的流动性差异,低流动性合约可能存在双重信息传导机制,即供求冲击信息分别从现货价格和高流动性合约价格向低流动性合约价格传递。基于双重信息传递机制本文提出商品期货嵌套定价模型,以分别为高流动性合约和低流动性合约提供定价。基于SHFE数据的实证检验表明,在Granger因果检验中该双重信息传递机制统计意义上存在;而且,嵌套模型可以较好地拟合SHFE有色金属期货的市场价格数据,各到期合约对模型参数和状态变量的信息贡献与其市场流动性较为一致。
고필도불동기한상품기화합약적류동성차이,저류동성합약가능존재쌍중신식전도궤제,즉공구충격신식분별종현화개격화고류동성합약개격향저류동성합약개격전체。기우쌍중신식전체궤제본문제출상품기화감투정개모형,이분별위고류동성합약화저류동성합약제공정개。기우SHFE수거적실증검험표명,재Granger인과검험중해쌍중신식전체궤제통계의의상존재;이차,감투모형가이교호지의합SHFE유색금속기화적시장개격수거,각도기합약대모형삼수화상태변량적신식공헌여기시장류동성교위일치。
Considering the difference in liquidity of different maturity commodity futures contracts, the low liquidity contract may have a two-dimensional information transmission mechanism, namely the information implied by supply and demand shocks transfers from the spot price and the price of high liquidity contract to the low liquidity contract price separately. Then this paper develops a nested model of commodity futures pricing based on the two-dimensional information transmission mechanism, in which the high liquidity and low liquidity contract can be priced respectively. The empirical test based on SHFE data shows that, the Granger causality test gives proof to the existence of the proposed two-dimensional information transmission mechanism; furthermore, the nested model can fi t the market price data of SHFE nonferrous metals futures contracts very well. The contribution of each contract to the model parameters and state variables is consistent with its liquidity.