中国期货市场功能及国际影响的实证研究被引量：86

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摘要本文对我国金属和农产品期货的主要品种进行实证研究,全面、系统地剖析整个期货市场。与传统文献不同,我们依据经济学原理对市场的价格发现与套期保值功能加以区别,通过Granger因果分析考察市场的价格发现功能,采用误差修正模型和协整技术得到市场套期保值绩效。为克服传统非结构方程的缺陷,利用结构向量自回归(StructureVAR)模型、结构性脉冲响应及方差分解技术定量刻画了国内外期货市场关系。研究发现现实中国期货市场发挥了基本功能,但农产品期货市场仍存在很大不足,国际期货市场对国内期货市场的价格有着单向的影响,国内期货市场的效率低于国际期货市场。

作者张屹山方毅黄琨

机构地区吉林大学商学院

出处《管理世界》 CSSCI 北大核心 2006年第4期28-34,共7页 Journal of Management World

基金教育部重大项目(项目编号:02JAJD790007 02JAZJD790008)资助

关键词期货市场价格发现套期保值风险规避

分类号 F224 [经济管理—国民经济]

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参考文献14

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