摘要
甲醇期货于2011年10月28日在郑州商品交易所上市,这标志着我国甲醇期货市场的正式成立。随着相关企业和投资者对甲醇期货的关注度上升,分析我国甲醇系期货产业链相关品种价格是否存在均值溢出效应,对国内甲醇现货期货市场发展、相关企业与投资者都具有重要意义。通过构建VAR模型,利用ADF单位根判别法、Johansen检验和Granger因果检验等方法对其进行分析,研究发现焦煤期货(JM0)价格序列对甲醇期货(MA0)和焦炭期货(J0)价格序列存在价格均值溢出效应,甲醇期货(MA0)价格序列对焦炭期货(J0)价格序列存在价格均值溢出效应,但原油期货(SCM)价格序列不存在价格均值溢出效应。
Methanol future was listed in Zhengzhou Commodity Exchange on October 28,2011,which marked the formal establishment of China's methanol futures market.With the increasing attention of related enterprises and investors to methanol futures,it is of great significance for the development of domestic methanol spot futures market,related enterprises and investors to analyze whether there is a mean spillover effect in the prices of related varieties of China's methanol futures industry chain.By constructing VAR model and using ADF unit root discriminant method,Johansen test and Granger causality test,it is found that the price series of coking coal futures(JM0)has price mean spillover effect on the price series of methanol futures(MA0)and coke futures(J0),and the price series of methanol Futures(MA0)has price mean spillover effect on the price series of coke futures(J0),However,there is no price mean spillover effect in SCM price series.
作者
林耿堃
龚庆
LIN Geng-kun;GONG Qing(School of Statistics,Jiangxi University of Finance and Economics,Nanchang 330013,China)
出处
《长春金融高等专科学校学报》
2021年第3期82-90,共9页
Journal of Changchun Finance College
关键词
甲醇系期货
甲醇上游产业链
VAR模型
价格均值溢出
methanol futures
methanol upstream industrial chain
VAR model
price average overflow
