证券市场导报Issue(4)：66-79,14.
状态依赖下商品期货对现货价格的波动影响研究
摘要
Abstract
This paper selects two representative steel products,rebar and hot-rolled coils,to empirically examine the impact of the steel futures market on spot price volatility and its underlying mechanisms.The findings are summarized as follows.(1)The impact of the steel futures market on spot price volatility is influenced by market state factors such as the price discovery function and tail risk.Specifically,the suppressing effect originates from the information transmission role of the price discovery function during normal market operations,while the amplifying effect stems from the accumulation and contagion of tail risks in the futures market.(2)In an environment of overcapacity,the tail risks in the steel futures market are closely related to product demand.When demand surges,overly optimistic expectations from futures investors may lead to right-tail risks and the rapid rise in futures prices induces increased spot price volatility transmitted through the price discovery function.(3)Due to the steady growth in demand for rebar and its strong market liquidity,the rebar futures market exhibits a strong ability to mitigate tail risks,resulting in a suppressing effect on spot price volatility.In contrast,the hot-rolled coil market faces greater demand uncertainty,a more diverse range of products,and higher hedging difficulties,leading to a weaker ability to mitigate tail risks and an amplifying effect on spot price volatility.It is recommended to emphasize the regulation of tail risks in the futures market,pay more attention to downstream demand information,actively promote the establishment and improvement of coordinated regulatory mechanisms between the futures and spot markets,and strengthen the inherent stability of the futures market.关键词
期现货波动溢出/状态依赖/价格发现/尾部风险/产品需求Key words
volatility spillover between futures and spot markets/state dependence/price discovery/tail risk/product demand分类
管理科学引用本文复制引用
关子桓,赵允宁,杨雨禾,丁思..状态依赖下商品期货对现货价格的波动影响研究[J].证券市场导报,2025,(4):66-79,14.基金项目
国家社科基金重大项目"外部突发事件引发金融风险跨市场传染的干预对策研究"(项目编号:20&ZD103)、国家自然科学基金青年基金项目"基于电话会议文本和深度学习的企业通胀预期:识别、测度和成因研究"(项目编号:72303251)、湖南省自然科学基金青年项目"'锤子'到'剪刀':企业通胀预期的测度及其供应链溢出效应研究"(项目编号:2024JJ6534) （项目编号:20&ZD103）
