上海期货交易所铜期货价格形成机制的实证分析

【作者】 邹书中；

【导师】 罗孝玲；

【作者基本信息】 中南大学 ， 工商管理， 2004， 硕士

【摘要】 本文主要运用数理统计学与计量经济学方法对2000年7月至2003年7月上期所铜期货价格以及相应的主要影响因素进行实证分析。首先，论文简单描述与分析国内外期货价格形成理论以及上期所铜期货价格形成机制，分析表明铜期货价格主要影响因素为上海铜现货价格、LME铜期货价格与我国GDP月增长率等微观与宏观因素；其次，论文运用数理统计学方法对上期所铜期货价格以及主要影响因素走势与分布特征进行实证分析，分析表明样本期间铜期货价格与上海铜现货价格、LME铜期货价格以及我国GDP月增长率走势基本一致，且JB检验表明上期所铜期货价格与主要影响因素在总体上服从正态分布；再次，论文运用R／S检验对上期所铜期货市场有效性进行实证分析，分析表明上期所铜期货价格时间序列是一个状态持续性时间序列，表现为分形布朗运动，序列内元素是正相关的，且时间序列具有长期记忆性，过去或今天的信息对未来收益有明显影响，样本期间上期所铜期货市场未达到有效性；然后，论文运用二元回归分析与Granger检验对上期所铜期货价格与主要影响因素进行实证分析，二元回归分析与Granger检验结果完整地描述了主要影响因素对上期所铜期货价格的影响机制与影响程度，其中：上海铜现货价格每变动1单位，上期所铜期货价格变动0.9887单位；LME铜期货价格每变动1单位，上期所铜期货价格变动9.2821单位；我国GDP月增长率倒数每变动1单位，上期所铜期货价格变动-25624.51单位。且倒数回归分析表明只有我国GDP月增长率超过1.31％时，上期所铜期货价格才会上涨，同时，上期所铜期货价格与上海铜现货价格、LME铜期货价格、我国GDP月增长率之间存在即时与滞后互动关系；最后，在前面章节分析成果的基础上论文运用多元回归分析方法对上期所铜期货价格与主要影响因素进行全面的实证分析，构建上期所铜期货价格形成的多元回归模型，分析表明上期所铜期货价格显著性影响因素为滞后一期上海铜现货价格、即时LME铜期货价格与滞后一期上期所铜期货价格，模型可靠度为98%。更多还原

【Abstract】 The Statistics and the Basic Econometrics are mainly applied to analyze the SHFE copper futures and main influence factors from Jul 2000 to Jul 2003 in this text. First, the thesis describes the lasted futures price formation theories in the world and the SHFE copper futures price formation mechanism, and the result expresses the main influence factors include microscopic and macroscopic factors, such as the copper actual price, the LME copper futures price, and the GDP increasing rate in china. The next, the thesis make use of the Statistics method to analyze the SHFE copper futures and the main influence factors’ trend in the period, and the result expresses the SHFE copper futures price and the copper actual price, the LME copper futures price, and the GDP increasing rate have the consistent trend basicly, and JB test expresses the SHFE copper futures, the copper actual price, the LME copper futures, the GDP increasing rate, all obey normality totally. Again, the thesis makes use of the R/S test to analyze the copper futures market’s evidence, and the SHFE copper futures market comes short of the evidence in the period. Then, the thesis makes use of the Two-Variable regression and Granger test to analyze the SHFE copper futures price and the main influence factors, and the result describes that the main influence factors’ influence mechanism and degree of affect. When the copper actual price changes one unit each, the copper futures price will change 0.9887 units. When the LME copper futures price changes one unit each, the futures price will change 9.2821 units. When the GDP increasing rate’s reciprocalchanges one unit each, the futures price will change -25624.51 units. And only when the GDP increasing rate is over 1.31%, the futures price would soar. At the same time, the futures price and actual price, LME copper futures price and GDP increasing rate exist real time and lag relation. Finally, after the fore chapter analysis, the thesis makes use of regression analysis to analyze the copper futures price and the influence factors completely, becoming the SHFE copper futures price model, the result expresses the important influence factors of the copper futures price include the lag copper actual price, the instant LME copper futures price, and the lag copper futures price. The dependable degree of model is 97%.更多还原