钢材市场定价效率、主导性及价格发现功能研究

Pricing Efficiency, Dominance, Price Discovery of Chinese Steel Markets

摘要: 本文将事件研究方法应用到中国钢材交易市场现实情境，研究4个重大事件下钢材市场定价效率、市场主导性，以及价格发现功能发挥状况。基于历史事件的研究结果，可为发展我国钢材期货及衍生品交易市场提供辅助性参考。研究显示，钢材电子交易市场和期货市场存在着套保、套利空间。钢材电子交易市场在金融风暴爆发区间的市场主导性和价格发现功能表现较好。对于市场上调交易保证金水平这一行为，电子交易市场和期货市场反应不一。市场主导性与价格发现功能实证结果可能不一致。

Abstract: This research employs event study method, discusses the pricing efficiency, price dominance, and price discovery of Chinese steel trading markets for four great events. The conclusions based on analysis of steel market price discovery during great events, can be used by the policy planner to develop steel futures market and B2B electronic market to some extent. The results show that steel B2B electronic market and futures market exist hedging and arbitrage opportunities. The results also show that steel B2B electronic is found to be sounder in terms of dis-counting new information than spot market during financial crisis. Steel futures price and B2B electronic price react differently to the event of raising margin level. Our results show that price dominance and price discovery are two different terms, thus their empirical results may be different.