技术经济与管理研究
技術經濟與管理研究
기술경제여관리연구
Technoeconomics & Management Research
2015年
11期
96-100
,共5页
铜期货%期货价格%期货市场%金融经济
銅期貨%期貨價格%期貨市場%金融經濟
동기화%기화개격%기화시장%금융경제
Copper futures%Futures price%Futures market%Financial and economic
文章针对铜期现货价格关系，对已有的文献进行梳理后发现，国内对于我国不同品种的期现货间价格关系的研究多是静态研究，对于我国近年来铜期现货间价格关系的动态变化特点少有涉及。因此，文章通过综合利用向量误差修正模型和信息份额模型，对2011年12月以来我国铜期货与现货间的价格关系分阶段进行了动态研究。结论表明：我国铜期现货价格间始终存在显著的长期均衡关系。在价格震荡趋势中，期现货价格间存在双向引导关系，期货价格在期现货价格的引导关系中占据主导地位。期货信息份额贡献度为63.82%。而在价格下跌趋势中，只存在期货价格引导现货价格的单向引导关系，且期货价格对现货价格的引导影响力明显提升，信息份额贡献度提升至74.94%，期货的价格发现能力显著增强。
文章針對銅期現貨價格關繫，對已有的文獻進行梳理後髮現，國內對于我國不同品種的期現貨間價格關繫的研究多是靜態研究，對于我國近年來銅期現貨間價格關繫的動態變化特點少有涉及。因此，文章通過綜閤利用嚮量誤差脩正模型和信息份額模型，對2011年12月以來我國銅期貨與現貨間的價格關繫分階段進行瞭動態研究。結論錶明：我國銅期現貨價格間始終存在顯著的長期均衡關繫。在價格震盪趨勢中，期現貨價格間存在雙嚮引導關繫，期貨價格在期現貨價格的引導關繫中佔據主導地位。期貨信息份額貢獻度為63.82%。而在價格下跌趨勢中，隻存在期貨價格引導現貨價格的單嚮引導關繫，且期貨價格對現貨價格的引導影響力明顯提升，信息份額貢獻度提升至74.94%，期貨的價格髮現能力顯著增彊。
문장침대동기현화개격관계，대이유적문헌진행소리후발현，국내대우아국불동품충적기현화간개격관계적연구다시정태연구，대우아국근년래동기현화간개격관계적동태변화특점소유섭급。인차，문장통과종합이용향량오차수정모형화신식빈액모형，대2011년12월이래아국동기화여현화간적개격관계분계단진행료동태연구。결론표명：아국동기현화개격간시종존재현저적장기균형관계。재개격진탕추세중，기현화개격간존재쌍향인도관계，기화개격재기현화개격적인도관계중점거주도지위。기화신식빈액공헌도위63.82%。이재개격하질추세중，지존재기화개격인도현화개격적단향인도관계，차기화개격대현화개격적인도영향력명현제승，신식빈액공헌도제승지74.94%，기화적개격발현능력현저증강。
After researching the existing literatures about the price relationship of copper futures and spot , the result is that most domestic researches about the price relationship of copper futures and spot are based on the statistical data , but dynamic researches on the price relationship is limited. So, the research methods provided are Vector Error Correction Model and Information Share Model, in order to serve the researches about dynamical price relationship of copper futures and spot in Chinese market from December 2011 to April 2014. Conclusions show that there is a significant long-run equilibrium relationship between the spot and futures price of copper. In trend of price shocks, there is a two-way relationship between the spot and futures price of copper. Futures prices dominate the leading position in the price relationship. Information share contribution of Futures price is 63.82%. In trend of price downward , there is only the futures price guide-way relationship between the spot and the futures price. The guiding influences enhance futures price to spot price significantly, increased to 74.94%. It means that the price discovery capabilities of futures price significantly are intensive.
