沈阳工业大学学报（社会科学版）2016，Vol.9Issue(5)：409-413,5.DOI:10.7688/j.issn.1674-0823.2016.05.05
我国白糖期货价格和现货价格关系的实证研究∗
Empirical study on relationship between futures price and spot price of white sugar in China
摘要
Abstract
The market data of the futures prices and spot prices of white sugar are sampled from March 1st, 2006 to March 31st, 2016. Such analysis methods are used as correlation test, ADF unit root test, VAR model, Johansen co-integration test, and Grainger causality test. It is proposed that the futures prices and spot prices of white sugar have the relationship in the long-run equilibrium, and are highly correlated; and that futures price of white sugar has a guiding role on the spot price of white sugar in the future, but not vice versa. Suggestions are proposed concerning the establishment of perfect futures market system and market environment, so as to give full play to the price discovery function of white sugar futures market, and to form a more effective and equitable system of white sugar prices.关键词
白糖/期货价格/现货价格/相关性检验/单位根检验/协整检验/格兰杰因果检验Key words
white sugar/futures price/spot prices/correlation test/unit root test/co-integration test/Granger causality test分类
管理科学引用本文复制引用
罗丹程,黄月,王添钰..我国白糖期货价格和现货价格关系的实证研究∗[J].沈阳工业大学学报（社会科学版）,2016,9(5):409-413,5.基金项目
辽宁省社会科学规划基金项目(L15BGZ002)。 （L15BGZ002）
