关于国内外期货价格协整效应的实证研究

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1、▾ắᦻEmpiricalStudyonCointegrationEffectsofChina'sᦻ⚪(•™dInternationalFutures'Prices./：1«1103809004ᢣ:ᦟᣴ：=ᦟᣴ▾ᑴ⊤201AᨴC万方数据ắᦻᐵEFᑁ᜜IJKLM᦮ᦔPḄRSẆUEMPIRICALSTUDYONCOINTEGRATIONEFFECTSOFCHINA’SANDINTERNATIONALFUTURES’PRICESVὅ：XY:Z：ᑢYᦟ

2、ᣴ]ᜧ_▾`〇b`Acᨴ万方数据EmpiricalStudyonCointegrationEffectsofChina'sandInternationalFutures'PricesByXUJunUndertheSupervisionofProfessorLIUJunSubmittedinPartialFulfillmentoftheRequirementsFortheDegreeofMasterInFinanceShanghaiAdvancedInstituteofFinan

3、ceShanghaiJiaoTongUniversityMay2012万方数据ContentsAbstractAbstractii1.1BriefOverviewofChina’sFuturesMarket...........................31.2TheoreticalFoundationforFuturesPriceCointegration................52Literature3Methodology&3.1DataCollection..........

4、......................................113.2Methodology.................................................133.2.1UnitrootTest............................................133.2.2JohansenCointegrationTest................................173.2.3VectorErrorCor

5、rectionModel..............................194EmpiricalResulte“““““““““““““““““““““““^224.1DescriptiveStatistics............................................224.2UnitrootTest.................................................254.3JohansenCointegrationTes

6、t......................................274.4VectorErrorCorrectionModel...................................294.5ComparisonandDiscussion......................................40Conclusion....................................................................

7、........................49Acknowledgement................................................................................53万方数据万方数据AbstractTogetherwithChina’srapidlydevelopingeconomy,China’sfuturesmarketshavegonethroughanexplosivedevelopmentwithincrea

8、singtradingvolumesandgrowingpricingpower.Unlikemoststudieswhichhaveputtheirresearchfocusesonthecointegraionrelationshipbetweenfuturesandspotprices，thisarticleisaimedatstudyingthedynamicsbetweenpricesofcopper,soybean，cottonandwheatfuturescontra