中美棉花期货市场泡沫风险测度与比较

为探究中美棉花期货市场泡沫风险的水平与特征，基于2004—2019年中美棉花期货价格日度数据，运用GSADF方法对中美棉花期货市场泡沫风险进行了测度与比较。结果表明:中美棉花期货市场均面临泡沫风险，并在泡沫出现时多伴随着价格的暴涨或暴跌；综合泡沫的持续时间、发生频率和发生强度来看，中国棉花期货市场的泡沫风险程度高于美国棉花期货市场；中美棉花期货市场泡沫风险特征存在差异，中国棉花期货市场的泡沫发生频率更高，但泡沫期内价格变动率较低。基于此，需要通过加快风险管理理论的发展并将其应用于棉花期货市场，完善期货市场监管体系，注重对棉花期货市场机构投资者的培育等措施，保障中国棉花期货市场的健康发展，进一步提升中国棉花期货的国际竞争力。

Measurement and comparison of bubble risk in China and the United States cotton futures markets

To investigate the level and characteristics of the bubble risk in China and the United States cotton futures market, based on the daily price data of China and the United States cotton futures market from 2004 to 2019, the GSADF method is used to measure and compare the bubble risk in China and the United States cotton futures market. The results show that price bubbles exist both in China and the United States cotton futures market, and bubbles are often accompanied by price booms or crashes. Considering the duration, occurrence frequency and occurrence intensity of the bubble, cotton futures market in China presents a higher degree of bubble risk than the United States. There are some differences between the price bubble characteristics of China and the United States cotton futures market. Compared with the United States, bubbles in China cotton futures market occur more frequently, and the price dynamic during the bubble period is lower. Therefore, to ensure the healthy development and enhance the international competitiveness of China cotton futures market, we should accelerate the development of risk management theory and apply it to the cotton futures market, improve the futures market supervision system, and focus on the cultivation of institutional investors in the cotton futures market.