沪铜、伦铜期货日夜盘价格关联性研究

发布时间：2018-07-17 03:16

【摘要】：中国是世界上最大的铜生产、消费、进口国家,铜期货市场对铜定价起到关键作用。2013年12月,我国推出铜期货夜盘市场,希望藉此加强我国铜期货市场与世界铜期货市场的联动性,降低投资者的隔夜头寸风险。回首夜盘推出一年多时间,夜盘交易量不断提高。本文选取夜盘上线伊始至2014年10月上海铜期货夜盘每小时高频价格数据,及2013年3月至夜盘推出期间日盘高频数据,以同期伦敦铜期货价格高频数据为参照,研究推出夜盘后上海与伦敦铜期货市场联动性状况,以及不同交易时间对铜期货市场关联性的影响。同时,本文还基于套利角度对汇率对铜期货市场关联性的影响作出实证研究。在实务研究的基础上,通过构建VAR和VECM模型,分别对日盘、夜盘同期铜期货市场价格时间序列进行协整检验、格兰杰因果关系检验和误差修正分析。实证结果表明,汇率的变化对两期货市场之间剔除税费、运费因素的套利价格比率有显著影响,上海与伦敦铜期货市场价格存在长期均衡关系,上海铜期货市场与伦敦铜期货市场之间存在相同方向的修正机制。上海铜期货市场价格在日盘交易时间对伦敦铜期货市场价格有引导作用,但在日盘交易时间上海铜期货市场定价效率低、市场有效性弱,伦敦铜期货市场价格在夜盘交易时间与上海铜期货市场价格呈现相互引导作用,但伦敦铜期货市场定价效率高、市场有效性强。不同交易时间铜期货市场关联性所表现出的差异是由不同市场交易主体活跃时间不同导致。我国铜期货市场与世界市场联系紧密,价格信息传递、响应效率高。铜期货夜盘市场能够有效帮助降低投资者隔夜头寸风险,吸引国外投资者参与交易,并以之加强我国铜期货市场与世界铜期货市场的联动性,提高我国铜期货市场在世界定价体系中的地位。
[Abstract]:China is the largest copper producer, consumer and importer in the world. Copper futures market plays a key role in copper pricing. It is hoped that the linkage between China's copper futures market and the world copper futures market will be strengthened so as to reduce the risk of investors' overnight positions. Looking back on the launch of the night disk for more than a year, night disk trading volume continues to improve. This paper selects the hourly high frequency price data of Shanghai copper futures from the beginning of the night market to October 2014, and the high frequency data of the day from March 2013 to the night market, taking the high frequency data of the London copper futures price as the reference during the same period. The paper studies the interaction between Shanghai and London copper futures market and the influence of different trading time on the relevance of copper futures market. At the same time, based on the arbitrage perspective, this paper makes an empirical study on the impact of exchange rate on copper futures market relevance. On the basis of practical research, by constructing VAR and VECM models, the paper carries out cointegration test, Granger causality test and error correction analysis on the time series of copper futures market price in the same period of day and night respectively. The empirical results show that the change of exchange rate has a significant impact on the arbitrage price ratio between the two futures markets excluding taxes and freight, and that there is a long-term equilibrium relationship between Shanghai and London copper futures market prices. There is a correction mechanism in the same direction between Shanghai copper futures market and London copper futures market. The price of Shanghai copper futures market plays a leading role in the London copper futures market price during the daily trading hours, but the Shanghai copper futures market has low pricing efficiency and weak market effectiveness during the day trading time. The price of London copper futures market plays a leading role with Shanghai copper futures market price in the nightly trading hours, but London copper futures market has high pricing efficiency and strong market efficiency. The difference in the relevance of copper futures market with different trading times is caused by the different active time of different trading bodies in different markets. China's copper futures market is closely linked with the world market, price information transmission, high response efficiency. The copper futures market can effectively help reduce the risk of investors' overnight positions, attract foreign investors to participate in trading, and strengthen the linkage between China's copper futures market and the world copper futures market. To improve the position of China's copper futures market in the world pricing system.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F764.2;F724.5

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