李苗 熊涛 ：中国农产品期货市场的动态价格发现研究【转】

摘要：

已有研究尚未充分探索中国农产品期货市场价格发现功能如何随时间变化。我们的论文基于三种成熟的平均价格发现贡献度量方法，以及动态价格发现度量方法，研究了中国农产品期货市场在价格发现过程中的作用。基于14 种农产品的日度期货和现货价格，我们发现 11个农产品期货品种有效发挥了价格发现功能。此外，以市场化为导向的政策变化增强了大多数期货品种的价格发现功能，但严重依赖国外进口的农产品除外。我们的结果还表明，对于成交十分低迷的合约，交易量在决定期货市场是否能有效发挥价格发现功能方面尤其重要。本研究使用平均和动态价格发现贡献度量方法，为评估中国农产品期货市场的效率提供了一个综合判断。本文的结果也表明，农产品现货市场的市场化改革有助于加强期货市场的定价能力。

Abstract:

Research has not fully explored how Chinese agricultural futures markets perform their price discovery function over time. Our paper examines the role of Chinese agricultural futures markets in the price discovery process based on three well-established measurements of average price discovery contribution, and more importantly, the dynamic price discovery measurement. Using daily futures and spot prices from fourteen agricultural commodities, we find eleven contracts are efficient in price discovery. Besides, market-oriented changes in policies strengthen the price discovery performance of most futures markets, except for commodities that rely heavily on imports from other countries. Our results also suggest that trading activity is particularly important in determining whether thinly traded contracts are efficient in price discovery. Our paper provides a comprehensive judgment involving both average and dynamic price discovery contribution measurements on assessing the efficiency of Chinese agricultural futures markets. Our results might also serve as a reminder that market-oriented reforms in the spot markets of commodities might be useful to intensify the pricing power of the futures markets.

原文链接（点击“阅读原文”跳转）：

https://doi.org/10.1016/j.asieco.2021.101370

——END

相关阅读：

编辑：王煜正

审核：龙文进