国内、国际期货市场期货价格之间的关联研究被引量：115

International Linkages of the Chinese Futures Markets

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摘要本文利用协整检验和Granger因果检验等技术，首次对国内和国际期货市场的铜、铝、大豆和小麦的期货价格之间的动态关系进行了实证研究。结果显示：上海期货交易听与伦敦金属交易所铜、铝为期货价格之间存在长期均衡关系，大连商品交易所与芝加哥期货交易所大豆的期货价格之间存在协整关系；相对而言，国外市场的影响力较大；郑州商品交易所与芝加哥期货交易所小麦期货价格之间不存在协整关系。 This paper is the first to study the relationship between the Chinese and world fu-tures markets of copper, aluminum, soybean and wheat, using cointegration test, the Grangercausality test and other tests. We find that the futures prices in the Shanghai Futures Exchangeare cointegrated with the futures prices in the London Metal Exchange (LME) for copper and alu-minum. We also find that a cointegration relationship exists for Dalian Commodity Exchange andChicago Board of Trade (CBOT) soybean futures prices, but no such relationship for ZhengzhouCommodity Exchange and CBOT wheat futures prices. We further find that while LME has a big-ger impact on Shanghai copper and aluminum futures, and CBOT a bigger impact on Dalian soy-bean futures, the Chinese futures markets also have a feedback impact on LME and CBOT fu-tures.

作者华仁海陈百助

机构地区南京财经大学金融学院美国南加州大学马歇尔商学院

出处《经济学（季刊）》 2004年第3期727-742,共16页 China Economic Quarterly

关键词期货市场期货价格协整检验因果检验中国铜小麦大豆铝

分类号 F713.35 [经济管理—产业经济] F724.5 [经济管理—产业经济] F224 [经济管理—国民经济]

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