| 中国和美国期货市场价格发现功能研究——以棉花为例 |
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| 引用本文： | 李慧茹. 中国和美国期货市场价格发现功能研究——以棉花为例[J]. 安徽农业科学, 2007, 35(3): 912-913. DOI: 10.3969/j.issn.0517-6611.2007.03.139 |
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| 作者姓名： | 李慧茹 |
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| 作者单位： | 中国矿业大学(北京),北京,100083 |
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| 摘 要： | 借助误差修正模型和方差分解方法,对中国和美国棉花期货市场价格发现功能进行了对比研究.结果表明:中国和美国棉花期货价格存在双向引导和长期均衡关系;2个期货市场都扮演重要的价格发现角色,且中国棉花期货市场在价格发现中处于主导地位.
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| 关 键 词： | 期货市场 价格发现功能 误差修正模型 方差分解 |
| 文章编号： | 0517-6611（2007）03-00912-02 |
| 修稿时间： | 2006-10-31 |
Research on Price Discovery Function of Future Market in China and US |
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| LI Hui-ru. Research on Price Discovery Function of Future Market in China and US[J]. Journal of Anhui Agricultural Sciences, 2007, 35(3): 912-913. DOI: 10.3969/j.issn.0517-6611.2007.03.139 |
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| Authors: | LI Hui-ru |
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| Affiliation: | China University of Mining and Technology, Beijing 100083 |
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| Abstract: | In the article the price discovery function of cotton future market in China and US was empirically measured with error correction model and variance decomposition method.The results showed that there were bi-directional relation and long-run equilibrium relationship.Thus,both ZCE and NYBOT played the important price discovery roles and the ZCE market was more dominate than the NYBOT market. |
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| Keywords: | Future market Price discovery function Error correction model Variance decomposition |
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