国内外锌期货价格与现货价格动态关系实证分析

发布时间：2018-03-13 14:07

本文选题：锌期货　切入点：价格关系　出处：《吉林财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：自2007年3月上海期货交易所推出锌期货以来，合约交易量逐步攀升，2009年交易量一度越居第一。2008年金融危机导致锌价连连跳水，锌生产和加工企业面临的风险逐步加大，越来越多的现货企业将期货套期保值作为指导生产和规避价格波动风险的手段。自2004年中国由锌净出口国转变为净进口国，进口依存度不断上升，中国作为锌生产和消费的第一大国，在世界锌市场定价中究竟扮演着怎样的角色？是世界锌价格的主导者，还是定价中的参与者之一，抑或仅仅是世界锌市场价格的接受者？在国际市场上存在怎样的价格影响关系？锌期货的价格发现功能是否有效？本文的主要目标是探析国际锌期货市场、中国锌期货市场以及中国锌现货市场间的价格关系，即我国锌期货价格与国际锌期货价格是否有很强的相关性，期货和现货市场之间是否存在着市场整合与协整之间的关系？三大市场之间怎样展开价格影响和信息传递关系？价格波动是否存在溢出效应？基于上述研究目标，本研究依据市场整合理论和波动溢出理论，应用向量自回归（VAR）模型和广义误差修正模型（GARCH）模型，通过协整检验、格兰杰因果关系检验、脉冲响应函数以及方差分解等步骤实证分析了我国锌期货市场与世界锌期货市场和国内现货市场的价格关系、信息传递关系和价格波动效应。在研究中我们得出以下几点主要结论：（1）国内外期货市场同国内现货市场锌价格存在很强的相关性，相关系数在0.9以上；（2）三大市场之间存在着协整关系，表明各市场间整合程度很高，信息在市场间的传导能够快速进行，且世界锌期货市场表现出主导作用，我国锌期货目前作用有限，但价格发现功能已经明显体现；（3）虽然我国在世界锌期货定价的影响中有限，但作为世界锌价和国内锌价的中间传导体，使得国内定价与世界定价联系更加紧密；（4）价格波动溢出效应明显，国内现货和期货之间的波动溢出效应一致，存在杠杆效应，“利空消息”大于“利好消息”。本研究将向量自回归（VAR）模型和广义误差修正模型（GARCH）模型应用到国内外期货市场和现货市场价格关系的分析之中，但本为并没有深入分析目前这种价格关系形成的影响因素，，这需要进一步的后续研究。
[Abstract]:Since the launch of zinc futures on the Shanghai Futures Exchange in March 2007, the trading volume of the contracts has gradually risen, and the volume of trading volume has been among the highest since 2009. The financial crisis of 2008 led to a continuous plunge in the price of zinc, and the risks faced by zinc production and processing enterprises gradually increased. A growing number of spot companies are using futures hedging as a means of guiding production and avoiding the risk of price fluctuations. Since 2004, when China changed from a net zinc exporter to a net importer, import dependence has been increasing. As the largest country in zinc production and consumption, what role does China play in the pricing of zinc in the world? Is the world zinc price dominant, or one of the participants in the pricing, or is it just a recipient of the world zinc market price? What is the price impact relationship in the international market? Is the price discovery function of zinc futures effective? The main purpose of this paper is to explore the price relationship among the international zinc futures market, China zinc futures market and the Chinese zinc spot market, that is, whether there is a strong correlation between the Chinese zinc futures price and the international zinc futures price. Is there a relationship between market integration and cointegration between futures and spot markets? How to develop the relationship between price influence and information transmission among the three major markets? Is there a spillover effect from price volatility? Based on the above research objectives, based on the market integration theory and volatility spillover theory, this study applies vector autoregressive (VAR) model and generalized error correction model (GARCH) model, through cointegration test, Granger causality test. The impulse response function and variance decomposition are used to analyze the price relationship between China's zinc futures market and the world zinc futures market and the domestic spot market. In the study, we draw the following main conclusions: 1) there is a strong correlation between domestic and foreign futures markets and zinc prices in the domestic spot market. There is a cointegration relationship among the three major markets, which indicates that the degree of integration among the three markets is very high, the transmission of information among the markets can be carried out quickly, and the world zinc futures market is playing a leading role. Although our country has a limited influence on the pricing of zinc futures in the world, we are the intermediate conductors of the world zinc price and domestic zinc price. The volatility spillover effect between domestic spot and futures is consistent, and there is leverage effect. The "bad news" is bigger than the "good news". In this study, the VAR model and the generalized error correction model are applied to the analysis of the price relationship between domestic and foreign futures market and spot market, but the factors that influence the formation of this kind of price relationship have not been deeply analyzed. This requires further follow-up research.
【学位授予单位】：吉林财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F426.32;F724.5

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