国内外金属期货市场价格联动性分析

发布时间：2018-03-03 03:08

本文选题：联动性　切入点：ADF单位根检验　出处：《华中科技大学》2014年硕士论文　论文类型：学位论文

【摘要】：随着国际经济一体化，我国经济与世界经济联系也越来越密切，期货市场尤其在金属期货市场方面联系更加密切，期货市场因其具有价格发现,套期保值的功能，所以金属期货定价权对一国的整体经济实力越来越重要。本文以上海期货交易所（SHFE），伦敦金属交易所（LME）为国内外期货市场，就国内外期货市场价格联动性进行研究，以锌（ZN）和铝(AL)为所选期货品种，所选时间跨度为2013年1月4日至2014年3月12日的最新278对时间序列数据；以ADF单位根检验，协整检验，误差修正模型，Granger因果关系检验等作为实证分析方法；本文对国内外期货市场基本面与期货联动分析相关理论方法进行整理介绍，通过对最新数据进行实证分析，来研究国内外金属期货市场定价权现状。结论表明：上海期货交易所与伦敦金属期货交易所在长期内具有稳定的均衡关系，这表明国内外期货市场价格联动性较强。通过对比分析国内锌，，铝两个合约价格在短期内都收到伦敦方面的影响，但影响程度有显著不同，锌期货相对于铝期货更受伦敦方面的影响，表明上海期货交易所正逐渐走向成熟。但是价格方面具体引导关系更多表现为国外期货市场引导国内期货市场。这说明现阶段国内期货市场相对于国外期货市场在国际定价权方面处于弱势，期货市场成熟及活跃程度方面还有待提高。
[Abstract]:With the international economic integration, China's economy is more and more closely linked with the world economy, and the futures market, especially in the metal futures market, is more closely linked. The futures market has the function of price discovery and hedging. So metal futures pricing power for a country's overall economic strength is becoming more and more important. In this paper, we take SHFE (Shanghai Futures Exchange) and LME (London Metal Exchange) as futures markets at home and abroad to study the price linkage of futures markets at home and abroad. The selected time span is the latest 278-pair time series data from January 4th 2013 to March 12th 2014, using ADF unit root test, cointegration test, error correction model and Granger causality test as empirical analysis methods. This paper introduces the related theories and methods of fundamental and linkage analysis of futures market at home and abroad, and studies the current situation of pricing power of metal futures market at home and abroad through empirical analysis of the latest data. The conclusion shows that the Shanghai Futures Exchange and the London Metal Futures Exchange have stable equilibrium relations in the long run, which indicates that there is a strong price linkage between domestic and foreign futures markets. Both aluminum contract prices have been affected by London in the short term, but to a significantly different extent, and zinc futures are more affected by London than aluminium futures. This indicates that the Shanghai Futures Exchange is gradually maturing, but the specific guiding relationship in price is that the foreign futures market guides the domestic futures market. This indicates that the domestic futures market is relative to the foreign futures market at the present stage. Being in a weak position in terms of international pricing power, The maturity and activity of the futures market need to be improved.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F831.54;F831.53

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