中国金属期货价格联动效应研究

发布时间：2018-01-22 07:39

本文关键词： 中国金属商品价格发现功能频域法 G-S模型　出处：《山东大学》2017年硕士论文　论文类型：学位论文

【摘要】：近年来,我国金属商品市场金融化程度呈现快速上升的趋势,金属期货价格波动却较以往更为剧烈。探究其背后原因,全球角度而言,经济一体化和金融自由化促使全球金融市场之间更为频繁地相互联系和影响,使之呈现出明显的联动性;就国内而言,主要有两方面原因,一方面在于我国经济快速发展所引发的金属资源的稀缺以及对外金属商品交易的依存度急剧增加。近些年来,我国由大宗商品原材料净输出国转变为原材料净输入国,2015年年度,中国铜、铝的对外依存度已达到32%和46%。另一方面是由于我国在大宗商品定价权方面并不占据主导权地位,反而受国际市场价格变动的制约。目前,我国是世界上最大的制造业大国,对金属为代表的大宗商品的需求与日俱增,这就使得国内大宗商品市场大而不强,国际大宗商品市场价格变动很容易引起国内商品价格剧烈波动,引起诸如输入型通货膨胀等问题,不利于经济持续平稳发展。本文重点关注大宗商品市场中的金属商品市场,研究中国金属期货市场和现货市场以及金属期货市场之间的价格联动效应,从市场有效性、价格联动理论、主导市场理论等角度进行理论分析,利用频域分析、G-S模型等实证方法实证检验,得到如下研究结论:(1)我国金属期货市场与现货市场之间存在价格联动效应,有色金属市场的期货价格在价格联动过程中处于主导地位,贵金属和黑色金属由于在国际经济发展过程中充当重要的角色,现货价格波动往往反映整体经济走向,因此二者的现货价格在价格联动过程中起决策作用;(2)我国金属期货市场之间存在价格联动效应,其他金属期货价格在很大程度受黄金期货价格走势影响,表明黄金期货在金属期货市场中扮演"主导市场"的角色,在金属期货市场价格波动过程中起到总领作用。由此可见,中国作为金属商品净进口国,在期货市场发展较国外缓慢的现阶段下,应高度重视国内期货市场的发展,关注期货市场和现货市场以及期货市场之间的价格联动效应,把握其内在联动性,致力于建立健全大宗商品市场资源储备体系,加快大宗商品期货市场的发展步伐,促使国内期货市场完善价格形成机制,在价格剧烈波动时发挥稳定器功能。
[Abstract]:In recent years, the degree of financialization of the metal commodity market in China has shown a rapid upward trend, but the price fluctuation of metal futures is more intense than before. Economic integration and financial liberalization promote more frequent interrelation and influence among the global financial markets, which make them show obvious linkage; In domestic terms, there are two main reasons, on the one hand, the scarcity of metal resources caused by the rapid economic development of China and the sharp increase of dependence on foreign metal commodities. China changed from a net exporter of commodities raw materials to a net importer of raw materials. In 2015, China copper. The external dependence of aluminum has reached 32% and 46. On the other hand, because China does not occupy the leading position in the commodity pricing power, it is restricted by the change of international market price. China is the largest manufacturing country in the world, the demand for the commodities represented by metals is increasing day by day, which makes the domestic commodity market large and not strong. Changes in international commodity market prices can easily lead to sharp fluctuations in domestic commodity prices, causing problems such as imported inflation. This paper focuses on the metal commodity market in the commodity market and studies the price linkage effect between the Chinese metal futures market and the spot market as well as the metal futures market. From the market effectiveness, price linkage theory, dominant market theory and other theoretical analysis, using frequency domain analysis of G-S model and other empirical methods empirical test. The conclusions are as follows: 1) there is a price linkage effect between the metal futures market and the spot market in China, and the futures price in the non-ferrous metal market plays a leading role in the process of price linkage. As precious metals and ferrous metals play an important role in the international economic development, spot price fluctuations often reflect the overall economic trend, so their spot prices play a decision-making role in the process of price linkage. 2) there is a price linkage effect between the metal futures markets in China, and the other metal futures prices are greatly affected by the trend of gold futures prices. It shows that gold futures play a leading role in the metal futures market and play a leading role in the price fluctuation of metal futures market. Thus, China is a net importer of metal commodities. At the present stage when the development of futures market is slower than that of foreign countries, we should attach great importance to the development of domestic futures market, pay attention to the price linkage effect between futures market, spot market and futures market, and grasp its intrinsic linkage. It is committed to establish and perfect the resource reserve system of the commodity market, accelerate the development of the commodity futures market, impel the domestic futures market to perfect the price formation mechanism, and play the role of stabilizer when the price fluctuates violently.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F724.5;F764.2

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