| 我国小麦期货市场有效性的实证分析 |
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| 引用本文： | 张国强,杨雪晴.我国小麦期货市场有效性的实证分析[J].唐山学院学报,2019,32(1):95-98. |
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| 作者姓名： | 张国强 杨雪晴 |
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| 作者单位： | 许昌学院 商学院, 河南 许昌 461000,许昌学院 商学院, 河南 许昌 461000 |
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| 摘 要： | 主要探讨了小麦现货价格和期货价格是否存在短期均衡关系以及小麦期货市场是否有效的问题。通过定量性研究发现,我国小麦期货价格和现货价格之间不存在均衡关系;小麦期货市场不具有价格发现功能,即小麦期货市场处于无效状态。由此,针对性地对小麦期货市场的有效性提出了一些建议。
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| 关 键 词： | 小麦期货市场 均衡关系 市场的有效性 协整检验 格兰杰因果关系检验 |
Empirical Analysis on the Effectiveness of China's Wheat Futures Market |
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| ZHANG Guo-qiang and YANG Xue-qing.Empirical Analysis on the Effectiveness of China's Wheat Futures Market[J].Journal of Tangshan College,2019,32(1):95-98. |
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| Authors: | ZHANG Guo-qiang and YANG Xue-qing |
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| Institution: | Business School, Xuchang University, Xuchang 461000, China and Business School, Xuchang University, Xuchang 461000, China |
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| Abstract: | In this paper, the authors mainly study whether there is a short-term equilibrium relationship between spot price and futures price of wheat and whether the wheat futures market is effective. Through quantitative study, it is found that there is no equilibrium relationship between the futures price and the spot price and the wheat futures market does not have the function of price discovery in China. In other words,the wheat futures market is invalid. Accordingly,some suggestions on the effectiveness of the wheat futures market are put forward. |
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| Keywords: | wheat futures market equilibrium relationship market effectiveness cointegration test Granger Causal Relation Test |
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