我国动力煤期货市场的价格发现效率测度
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摘要
选取我国供给侧改革前后的两年期动力煤期货和现货价格日数据,以VECM模型为基础,创新性地使用信息份额IS模型,最新修正信息份额MIS模型以及永久短暂PT模型,对我国动力煤期现货市场受到短期内和长期内的新信息冲击时的价格发现效率进行实证研究并比较。结果表明:当我国动力煤期货市场受到短期内的新信息冲击时,供给侧改革后的期货价格发现效率更高,对现货市场的引导作用较强,效果更显著、持久;当我国动力煤期货市场受到长期内的新信息冲击时,供给侧改革前的期货价格发现效率更高,与现货市场为单向因果关系;整体而言,我国动力煤期货市场的价格发现效率高于现货市场,处于核心地位。
Selecting the two-year thermal coal futures and spot price daily data before and after the supply-side reform in China, based on the VECM model, innovatively using the information share IS model, the latest revised information share MIS model and the permanent short-term PT model, the price discovery efficiency of China's thermal coal spot market was empirically studied and compared under the impact of new information in the short and long term. The results showed that when China's thermal coal futures market was affected by new information in the short term, the futures price after supply side reform was more efficient, and it had a stronger guiding effect on the spot market, and the effect was more significant and lasting.When China's thermal coal futures market was affected by new information in the long-term, the futures price before the supply-side reform was more efficient, and it had a one-way causal relationship with the spot market. Overall, the price discovery efficiency of China's power coal futures market was higher than that of the spot market, and it was in the core position.
Selecting the two-year thermal coal futures and spot price daily data before and after the supply-side reform in China, based on the VECM model, innovatively using the information share IS model, the latest revised information share MIS model and the permanent short-term PT model, the price discovery efficiency of China's thermal coal spot market was empirically studied and compared under the impact of new information in the short and long term. The results showed that when China's thermal coal futures market was affected by new information in the short term, the futures price after supply side reform was more efficient, and it had a stronger guiding effect on the spot market, and the effect was more significant and lasting.When China's thermal coal futures market was affected by new information in the long-term, the futures price before the supply-side reform was more efficient, and it had a one-way causal relationship with the spot market. Overall, the price discovery efficiency of China's power coal futures market was higher than that of the spot market, and it was in the core position.
引文
[1]黄健柏,刘凯,郭尧琦.沪铜期货市场价格发现的动态贡献——基于状态空间模型的实证研究[J].技术经济与管理研究,2014(2):67-72.
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[9] HASBROUCK,JOEL.One Security,Many Markets:Determining the Contributions to Price Discovery[J]. The Journal of Finance,1995,50(4):1175-1199.
[10] Granger G C.Estimation of Common Long-Memory Components in Cointegrated Systems[J].Journal of Business&Economic Statistics,1995,13(1):27-35.
[11] Zhang Y J,Wei Y M.The crude oil market and the gold market:Evidence for cointegration,causality and price discovery[J].Resources Policy,2010,35(3):168-177.
[12]李成武,陈蕾.不同趋势下股指期货价格发现贡献度研究[J].经济与管理,2014,28(5):46-50.
[13]魏建国,李小雪.基于VECM-PT-IS模型的我国三大股指期货价格发现功能对比研究[J].武汉理工大学学报(社会科学版),2016,29(3):354-360.
[14] Chen Y L, Tsai W C. Determinants of price discovery in the VIX futures market[J]. Journal of Empirical Finance, 2017:59-73.
[15]赵照,贺强.我国铜期货与现货间价格关系的动态研究[J].技术经济与管理研究,2015(11):96-100.
[16]石宝峰,李爱文,王静.中国螺纹钢期货市场价格发现功能研究[J].运筹与管理,2018,27(6):162-171.
[17] Lien D,Shrestha K.A new information share measure[J].Journal of Futures markets,2009,29(4):377-395.
[2]王拉娣,安勇.我国黄金期货和现货价格的关系研究——基于期货价格发现功能的分析[J].价格理论与实践,2014(12):82-84.
[3]宋科艳.我国股指期货与指数现货价格引导关系研究——基于非对称门限协整模型的分析[J].财经问题研究,2016(9):57-63.
[4] Janzen J, Adjemian M. Estimating the location of world wheat price discovery[J]. American Journal of Agricultural Economics,2017,99(5):1188-1207.
[5]陈洪涛,陈良华.中外石油期货价格发现功能对比研究[J].价格理论与实践,2014(9):92-94.
[6]董莹,李素梅.我国石油期货市场价格发现功能及波动溢出效应研究[J].价格月刊,2017(7):19-24.
[7]王明刚,田立新,许华.能源期货价格的演化分析及定价效率实证研究[J].数学的实践与认识,2016,46(4):60-73.
[8] Zhang Y,Liu L.The lead-lag relationships between spot and futures prices of natural gas[J]. Physica A:Statistical Mechanics and its Applications,2018:203-211.
[9] HASBROUCK,JOEL.One Security,Many Markets:Determining the Contributions to Price Discovery[J]. The Journal of Finance,1995,50(4):1175-1199.
[10] Granger G C.Estimation of Common Long-Memory Components in Cointegrated Systems[J].Journal of Business&Economic Statistics,1995,13(1):27-35.
[11] Zhang Y J,Wei Y M.The crude oil market and the gold market:Evidence for cointegration,causality and price discovery[J].Resources Policy,2010,35(3):168-177.
[12]李成武,陈蕾.不同趋势下股指期货价格发现贡献度研究[J].经济与管理,2014,28(5):46-50.
[13]魏建国,李小雪.基于VECM-PT-IS模型的我国三大股指期货价格发现功能对比研究[J].武汉理工大学学报(社会科学版),2016,29(3):354-360.
[14] Chen Y L, Tsai W C. Determinants of price discovery in the VIX futures market[J]. Journal of Empirical Finance, 2017:59-73.
[15]赵照,贺强.我国铜期货与现货间价格关系的动态研究[J].技术经济与管理研究,2015(11):96-100.
[16]石宝峰,李爱文,王静.中国螺纹钢期货市场价格发现功能研究[J].运筹与管理,2018,27(6):162-171.
[17] Lien D,Shrestha K.A new information share measure[J].Journal of Futures markets,2009,29(4):377-395.