期货与现货价格的动态关系——基于沪市期货交易所铜铝的实证分析

journal6 ›› 2008, Vol. 29 ›› Issue (3): 35-39.

期货与现货价格的动态关系——基于沪市期货交易所铜铝的实证分析

(东北财经大学数学与数量经济学院，辽宁大连 116025)

出版日期:2008-05-25 发布日期:2012-05-23
作者简介:佟孟华（1965-），男，吉林白城人，东北财经大学数学与数量经济学院副教授，数量经济学博士，主要从事数理金融研究.
基金资助:
国家社会科学基金资助项目(07BJY159)

Dynamic Relation Between Future Price and Spot Price

(School of Math. and Quantitative Economics,Dongbei University of Finance ＆ Economics,Liaoning 116025,Dalian China)

Online:2008-05-25 Published:2012-05-23

摘要/Abstract

摘要：期货与现货价格之间的变动关系从一个侧面揭示出期货市场的运行效率，同时也是投资者十分关注的问题.借助单位根检验、协整检验、误差修正模型和Granger因果关系检验，以上海期货交易所铜、铝这2个期货品种为例，主要研究期货价格变动对现货价格变动的影响，定量地刻画出期货价格变动对现货价格变动的影响程度.研究结果显示，这2个品种期货与现货价格之间存在长期均衡关系，期货与现货价格相互作用，互为因果.

关键词： 期货价格, 现货价格, 协整关系, Granger因果关系

Abstract: The changeable relationship between future price and the spot price discloses the efficiency of the future market.And it is one problem which the investors concentrate.The authors study the effects of the copper and aluminum future price changes on the copper and aluminum spot price in shanghai future exchange market with ADF，co-integration，ECM and Granger.Furthermore,the changeable relationship is described accurately.Finally,the result demonstrates that the future price and the spot price have a long balanced relationship,the future price and the spot price interact each other,and there is mutural causality between them.

Key words: future price, spot price, co-integration, Granger causality

佟孟华, 杨竹莘, 王丽娜, 陈传秀. 期货与现货价格的动态关系——基于沪市期货交易所铜铝的实证分析[J]. journal6, 2008, 29(3): 35-39.

TONG Meng-Hua, YANG Zhu-Shen, WANG Li-Na, CHEN Chuan-Xiu. Dynamic Relation Between Future Price and Spot Price[J]. journal6, 2008, 29(3): 35-39.