Position: Home > Articles > Empirical Analysis on Relationship between Futures Prices and Spot Prices of Cotton in Zhengzhou Commodity Exchange
Journal of Anhui Agricultural Sciences
2007,35
(35)
11653-11654
郑州商品交易所棉花期货价格与现货价格关系的实证分析
作 者：
唐立新
单 位：
武汉理工大学管理学院
关键词：
棉花期货价格;现货价格;单位根检验;协整检验;Granger因果检验
摘 要：
采用ADF单位根检验、协整检验、Granger因果检验对我国郑州商品交易所棉花期、现货价格之间的关系进行实证分析。结果表明,棉花期、现货价格之间有高度的相关性,二者之间存在协整关系,棉花期货的价格发现功能已经得到了有效发挥,运行状况良好。
译 名：
Empirical Analysis on Relationship between Futures Prices and Spot Prices of Cotton in Zhengzhou Commodity Exchange
作 者：
TANG Li-Xin (College of Management,Wuhan University of Technology,Wuhan,Hubei 430070)
关键词：
Cotton futures prices;Spot prices;Unit-root-testing;Cointegration theory;Granger causality testing
摘 要：
The relationship of futures prices and spot prices of cotton with unit-root-testing,cointegration theory and Granger causality testing were analyzed.The results showed that there were high interrelation and long-term equilibrium relationship between futures prices and spot prices of cotton in China.The function of price discovery of cotton futures had fficiently worked.
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