我国铜期货合约的价格发现功能实证研究摘要：本文回顾总结了铜期货价格发现功能国内外的相关文件，选取了2017年1月2日到2020年4月30日上海铜期货、长江铜现货的日交易价格数据，运用Johansen协整检验、Granger因果关系检验、脉冲响应分析、回归分析等研究方法对我国铜期货合约的价格发现功能进行了研究，结果表明：铜现货与期货具有长期的均衡关系。也就是说我国的铜现货价会对铜期货价造成一定影响，现货市场与期货市场的价格可以进行相互传导然而我国的铜期货市场一般不会受到现货价格的严重影响，反之，铜现货价更容易被期货价所影响，也就是说铜现货市场和期货市场的价格传导关系不均衡，这可以证明我国的铜期货市场价具有价格发现功能。以长远的目光来看，国内铜期货市场可以较快获取来自铜现货市场的信息，且不同信息的变化会直接反映在铜期货的价格变动上，因此铜期货市场的运转效率极快，同时也说明我国的铜期货合约也具备价格发现功能。综上所述，国内的铜现货及期货市场存在双向传导的关系，铜现货的价格与铜期货的价格可以互相影响，而且铜期货价对铜现货价的影响更为明显，而铜现货价对期货价的影响则较弱，由此可知我国的铜期货市场存在价格发现功能。因此，铜现货供求信息能在期货之间快速流动，并从铜期货价格变化中表现出来，表明我国铜期货市场价格发现效率较强。关键词：铜期货；铜现货；价格发现功能IAnempiricalstudyonthepricediscoveryfunctionofcopperfuturescontractsinChinaAbstract：Thisarticlereviewsandsummarizestherelevantdomesticandforeigndocumentsofcopperfuturespricediscoveryfunction.ItselectsthedailytransactionpricedataofShanghaicopperfuturesandYangtzeRivercopperspotfromJanuary2,2017toApril30,2020,andusesJohansencointegrationtestandGrangerCausalitytesting,impulseresponseanalysis,regressionanalysisandotherresearchmethodshavestudiedthepricediscoveryfunctionofmycountry'scopperfuturescontracts.Theresultsshowthatcopperspotandfutureshavealong-termequilibriumrelationship.Thatistosay,mycountry’scopperspotpricewillhaveacertainimpactonthecopperfuturesprice.Thepriceofthespotmarketandthefuturesmarketcanbetransmittedtoeachother.However,mycountry’scopperfuturesmarketisgenerallynotseverelyaffectedbythespotprice.Onthecontrary,thecopperspotpriceItismorelikelytobeaffectedbyfuturesprices,thatistosay,thepricetransmissionrelationshipbetweenthecopperspotmarketandthefuturesmarketisnotbalanced,whichcanprovethatmycountry'scopperfuturesmarketpricehasapricediscoveryfunction.Fromalong-termperspective,thedomesticcopperfuturesmarketcanquicklyobtaininformationfromthecopperspotmarket,andchangesindifferentinformationwillbedirectlyreflectedinthepricechangesofcopperfutures.Therefore,theoperationefficiencyofthecopperfuturesmarketisextremelyfast.Itshowsthatmycountry'scopperfuturescontractsalsohaveapricediscoveryfunction.Insummary,thereisatwo-waytransmissionrelationshipbetweenthedomesticcopperspotandfuturesmarkets.Thepriceofcopperspotandthepriceofcopperfuturescaninfluenceeachother,andthepriceofcopperfutureshasamoreobviousimpactonthespotpriceofcopper.Theinfluenceoffuturespricesisrelativelyweak,whichshowsthatmycountry'scopperfuturesmarkethasapricediscoveryfunction.Therefore,copperspotsupplyanddemandinformationcanquicklyflowbetweenfutures,anditcanbeexpressedfromchangesincopperfuturesprices,indicatingthatmycountry'scopperfuturesmarketpricediscoveryefficiencyisrelativelystrong.Keywords：Copperfuturesmarket；Copperspotmarket；PricediscoveryfunctionII一、引言.....................................................................................................................................1...
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