【摘要】：中國是世界上最大的銅生產(chǎn)、消費(fèi)、進(jìn)口國家,銅期貨市場(chǎng)對(duì)銅定價(jià)起到關(guān)鍵作用。2013年12月,我國推出銅期貨夜盤市場(chǎng),希望藉此加強(qiáng)我國銅期貨市場(chǎng)與世界銅期貨市場(chǎng)的聯(lián)動(dòng)性,降低投資者的隔夜頭寸風(fēng)險(xiǎn)�；厥滓贡P推出一年多時(shí)間,夜盤交易量不斷提高。 本文選取夜盤上線伊始至2014年10月上海銅期貨夜盤每小時(shí)高頻價(jià)格數(shù)據(jù),及2013年3月至夜盤推出期間日盤高頻數(shù)據(jù),以同期倫敦銅期貨價(jià)格高頻數(shù)據(jù)為參照,研究推出夜盤后上海與倫敦銅期貨市場(chǎng)聯(lián)動(dòng)性狀況,以及不同交易時(shí)間對(duì)銅期貨市場(chǎng)關(guān)聯(lián)性的影響。同時(shí),本文還基于套利角度對(duì)匯率對(duì)銅期貨市場(chǎng)關(guān)聯(lián)性的影響作出實(shí)證研究。在實(shí)務(wù)研究的基礎(chǔ)上,通過構(gòu)建VAR和VECM模型,分別對(duì)日盤、夜盤同期銅期貨市場(chǎng)價(jià)格時(shí)間序列進(jìn)行協(xié)整檢驗(yàn)、格蘭杰因果關(guān)系檢驗(yàn)和誤差修正分析。 實(shí)證結(jié)果表明,匯率的變化對(duì)兩期貨市場(chǎng)之間剔除稅費(fèi)、運(yùn)費(fèi)因素的套利價(jià)格比率有顯著影響,上海與倫敦銅期貨市場(chǎng)價(jià)格存在長(zhǎng)期均衡關(guān)系,上海銅期貨市場(chǎng)與倫敦銅期貨市場(chǎng)之間存在相同方向的修正機(jī)制。上海銅期貨市場(chǎng)價(jià)格在日盤交易時(shí)間對(duì)倫敦銅期貨市場(chǎng)價(jià)格有引導(dǎo)作用,但在日盤交易時(shí)間上海銅期貨市場(chǎng)定價(jià)效率低、市場(chǎng)有效性弱,倫敦銅期貨市場(chǎng)價(jià)格在夜盤交易時(shí)間與上海銅期貨市場(chǎng)價(jià)格呈現(xiàn)相互引導(dǎo)作用,但倫敦銅期貨市場(chǎng)定價(jià)效率高、市場(chǎng)有效性強(qiáng)。不同交易時(shí)間銅期貨市場(chǎng)關(guān)聯(lián)性所表現(xiàn)出的差異是由不同市場(chǎng)交易主體活躍時(shí)間不同導(dǎo)致。 我國銅期貨市場(chǎng)與世界市場(chǎng)聯(lián)系緊密,價(jià)格信息傳遞、響應(yīng)效率高。銅期貨夜盤市場(chǎng)能夠有效幫助降低投資者隔夜頭寸風(fēng)險(xiǎn),吸引國外投資者參與交易,并以之加強(qiáng)我國銅期貨市場(chǎng)與世界銅期貨市場(chǎng)的聯(lián)動(dòng)性,提高我國銅期貨市場(chǎng)在世界定價(jià)體系中的地位。
[Abstract]:China is the largest copper producer, consumer and importer in the world. Copper futures market plays a key role in copper pricing. It is hoped that the linkage between China's copper futures market and the world copper futures market will be strengthened so as to reduce the risk of investors' overnight positions. Looking back on the launch of the night disk for more than a year, night disk trading volume continues to improve. This paper selects the hourly high frequency price data of Shanghai copper futures from the beginning of the night market to October 2014, and the high frequency data of the day from March 2013 to the night market, taking the high frequency data of the London copper futures price as the reference during the same period. The paper studies the interaction between Shanghai and London copper futures market and the influence of different trading time on the relevance of copper futures market. At the same time, based on the arbitrage perspective, this paper makes an empirical study on the impact of exchange rate on copper futures market relevance. On the basis of practical research, by constructing VAR and VECM models, the paper carries out cointegration test, Granger causality test and error correction analysis on the time series of copper futures market price in the same period of day and night respectively. The empirical results show that the change of exchange rate has a significant impact on the arbitrage price ratio between the two futures markets excluding taxes and freight, and that there is a long-term equilibrium relationship between Shanghai and London copper futures market prices. There is a correction mechanism in the same direction between Shanghai copper futures market and London copper futures market. The price of Shanghai copper futures market plays a leading role in the London copper futures market price during the daily trading hours, but the Shanghai copper futures market has low pricing efficiency and weak market effectiveness during the day trading time. The price of London copper futures market plays a leading role with Shanghai copper futures market price in the nightly trading hours, but London copper futures market has high pricing efficiency and strong market efficiency. The difference in the relevance of copper futures market with different trading times is caused by the different active time of different trading bodies in different markets. China's copper futures market is closely linked with the world market, price information transmission, high response efficiency. The copper futures market can effectively help reduce the risk of investors' overnight positions, attract foreign investors to participate in trading, and strengthen the linkage between China's copper futures market and the world copper futures market. To improve the position of China's copper futures market in the world pricing system.
【學(xué)位授予單位】：浙江大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2015
【分類號(hào)】：F764.2;F724.5

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