期货市场沪铜价格与伦铜价格的动态关系研究

发布时间：2018-04-19 04:31

本文选题：铜 + 上海金属交易所　；参考：《暨南大学》2013年硕士论文

【摘要】：大宗商品价格波动产生的风险从社会大生产的产业链上游开始传导至消费终端，使整个宏观经济运行环境充满变动，因此期货市场成为生产企业用于规避价格风险和经济监管部门稳定宏观经济环境的主要场所。但在信息共享和全球经济一体化趋势下，同一品种的商品期货虽然在不同市场上的价格波动表现不同步和不一致，却同时也存在密切的动态相关关系。本文基于考察铜期货市场上海金属交易所和伦敦金属交易所之间的动态影响机制，选取沪铜连三合约和伦铜场外三月合约2012年5月4号到2013年3月1号的日均价数据，基于期货市场价格发现的理论模型和价格传导的理论模型，建立起时间序列分析的ADF检验，协整检验，Granger因果关系检验和误差修正模型，实证分析两个市场的长期均衡关系和短期波动回归机制，在分析动态均衡的基础上，，采用脉冲响应函数分析两者之间的动态冲击反应。分析显示，沪铜市场价格和伦铜市场价格存在长期的动态均衡关系，并且影响方向是伦铜市场价格的波动能带动沪铜市场的价格波动，当两者之间的价格变动超出均衡范围，存在反向的修正机制使之回归市场长期均衡。沪铜市场在目前全球的大宗商品贸易和期货交易中，缺乏主动定价能力，市场价格基本上受伦铜价格的影响而上下波动。这与我国目前作为世界第一大金属铜消费大国的定位不相匹配。
[Abstract]:Risks arising from the volatility of commodity prices began to transfer to the consumer terminal from the upstream industry chain of social production, the macroeconomic environment is full of changes, so the futures market is the main place for production enterprises to avoid price risk and economic regulatory stable macroeconomic environment. But in the information sharing and the trend of global economic integration, with the a variety of commodity futures price volatility although the performance in different markets is not synchronous and inconsistent, but there are also closely related to the dynamic. The dynamic mechanism between the futures market of Shanghai metal exchange and the London Metal Exchange Based on average data from three copper contracts and even copper OTC contract in March May 4, 2012 in March 1, 2013, the theoretical model theory of conduction model and price discovery based on futures market, Set up ADF test of time series analysis, cointegration test, Granger causality test and error correction model, analysis the two market long-term equilibrium relationship and short-term volatility in the empirical regression mechanism, based on the dynamic equilibrium analysis, using the impulse response function analysis of dynamic impact between the two reactions. Analysis shows that there is a dynamic equilibrium relationship the copper market price and the market price of copper, and the impact of fluctuations in the price of copper is the direction of the market price fluctuations can drive the copper market, when the price changes between the two exceed the equilibrium range, return to the market has a reverse correction mechanism to long-term equilibrium. Copper market in the current global commodity trading and futures trading the lack of initiative, pricing power, market prices basically affected copper prices fluctuate. This is our present as the world's largest metal The position of the copper consuming country does not match.

【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F831.5;F224

【参考文献】