几种有色金属期货品种定价效率的比较研究

发布时间：2018-03-06 22:15

本文选题：期货市场　切入点：有色金属　出处：《电子科技大学》2012年硕士论文　论文类型：学位论文

【摘要】：运用时间序列分析建模方法，本文构造了期货市场定价效率的各种量化指标并对其进行了检验，进而从期货价格与现货价格的信息传递机制角度分析了上交所的铜、锌、铝三大有色金属期货的定价效率，其主要从以下几个方面进行：国内需求因素、产业链企业参与深度、现货市场的行业结构、现货定价机制等因素对各期货品种定价效率的差异进行了分析。如果期货市场领先于现货市场吸收和反映新信息，并且新信息通过期货市场迅速传递到现货市场从而引起现货价格的变动，那么这样的期货市场是具有较高定价效率的。基于期现价格信息传递机制的实证结果表明：（1）上期所3大有色金属品种的期现价格之间存在显著的长期均衡关系和良好的短期误差修正机制。整体而言，这三大有色金属品种的定价效率都比较高。（2）相对于现货市场信息份额对期货市场价格的波动的影响，期货市场的信息份额在影响现货市场价格波动因素中占的比例更大，说明期货价格对现货价格波动具有引领作用，而且相对来说，，铜期货的定价效率最高，锌期次之，铝期货最低。（3）国内需求、产业链企业参与深度、现货市场的的行业结构等因素是影响有色金属期货定价效率差异的主要原因。
[Abstract]:The application of time series analysis and modeling method, this paper constructs a variety of quantitative index futures market pricing efficiency and tested, and then from the futures price and spot price information transmission mechanism is analyzed on the exchange of copper, zinc, aluminum three pricing efficiency of non-ferrous metal futures, which mainly from the following aspects are: domestic demand factors, industry chain enterprises to participate in the spot market depth, industry structure, differences in the spot pricing mechanism on the futures pricing efficiency are analyzed.
If the futures market ahead of the spot market to absorb and reflect the new information and new information through the rapid delivery of the futures market to the spot which caused the change of spot price, so that the futures market has higher pricing efficiency. The empirical period of price information transmission system based on the results: (1) there is a long-term equilibrium relationship the good and short-term error correction mechanism among the 3 varieties of non-ferrous metal futures price. Overall, the three major non-ferrous metal varieties pricing efficiency is relatively high. (2) compared with the spot market share information on the futures price volatility, the futures market's information share factors in the spot market the price fluctuation in the proportion of larger that the futures price has a leading role on the spot price volatility, but relatively speaking, copper futures pricing efficiency is highest, zinc Next, aluminum futures are the lowest. (3) domestic demand, the depth of industry chain participation, and the industry structure of spot market are the main reasons that affect the difference of pricing efficiency of nonferrous metals futures.

【学位授予单位】：电子科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F724.5

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