摘要
期货市场国际关联性主要通过同一期货产品在跨国跨市场的期货价格互动关系上体现出来。利用多元协整检验、格兰杰因果检验、方差分解和脉冲响应函数等技术对中、美、马三家期货交易所的豆油与棕榈油期货价格和中国豆油与棕榈油现货价格关联性进行研究。结果发现:大连、芝加哥、大马交易所的期货价格和中国植物油现货价格之间存在长期均衡关系。在世界植物油期货市场中,芝加哥市场在影响力和定价权方面起到主导作用。
The international relevance of futures markets is mainly reflected by the price interactive relation of the same futures contract from different countries＇ futures exchange. The price international relevance of the three vegetable oil futures markets of China, America and Malaysia and the two Chinese futures markets of soybean oil and palm oil are examined by means of muhi-cointegration test, Granger causal test, variance decomposition and impulse responses function analysis, etc. It is suggested as resuh that there exists a longrun equilibrium relationship between the DCE, CBOT, BMD futures and China＇s vegetable oil cash prices, and the CBOT futures market plays a more important role in the power of influence and pricing around the world vegetable oil markets.
出处
《沈阳农业大学学报（社会科学版）》
2008年第5期528-533,共6页
Journal of Shenyang Agricultural University(Social Sciences Edition)
关键词
植物油期货
国际关联性
多元协整检验
格兰杰因果检验
方差分解
vegetable oil futures
international relevance
multi-cointegration test
Granger causal test
variance decomposition
