标题:
中国棉花期货市场价格发现功能的实证研究An Empirical Study on the Function of Price Discovery of China’s Cotton Futures Market
作者:
贺馨燃, 喻蕾
关键字:
棉花期货, 格兰杰, 误差修正, 价格发现Cotton Futures, Granger, Error Correction, Price
Discovery
期刊名称:
《World Economic Research》, Vol.3 No.3, 2014-09-25
摘要:
本文用相关性分析、单位根检验、协整检等分析方法，实证分析中国棉花期货市场的价格发现功能。结果显示，我国棉花期货市场成立近10年来，期货市场价格发现功能已经初步具备，但由于我国棉花期货市场成立时间较短，国内涉棉企业参与较少等原因，在价格形成方面有待于进一步完善。Based on correlation analysis, unit root test and co-integration test, this paper empirically analyzes the price discovery function of China’s Cotton Futures Market. The result shows that the cotton futures market initially has the price discovery function with the market having been established nearly 10 years. However, the price forming needs to be further improved because of the short developing history and little participation of domestic cotton related enterprises.