中国钢材交易市场价格发现：谁是主角？

管理评论 ›› 2021, Vol. 33 ›› Issue (2): 31-43.

中国钢材交易市场价格发现：谁是主角？

方雯¹, 冯耕中^2,3, 陆凤彬⁴, 李志俊¹, 汪寿阳⁴

1. 西安电子科技大学经济与管理学院, 西安 710126;
2. 西安交通大学管理学院, 西安 710049;
3. 西安交通大学过程控制与效率工程教育部重点实验室, 西安 710049;
4. 中国科学院数学与系统科学研究院, 北京 100190

收稿日期:2017-12-08 出版日期:2021-02-28 发布日期:2021-03-08
通讯作者: 方雯(通讯作者),西安电子科技大学经济与管理学院讲师,博士
作者简介:冯耕中,西安交通大学管理学院教授,博士生导师,博士;陆凤彬,中国科学院数学与系统科学研究院研究员,博士;李志俊,西安电子科技大学经济与管理学院讲师,博士;汪寿阳,中国科学院数学与系统科学研究院教授,博士生导师,博士。
基金资助:
教育部人文社会科学基金青年项目（15YJC790017）；国家自然科学基金青年项目（71602153）；陕西省软科学研究计划一般项目（2017KRM117）。

Price Discovery on Chinese Steel Markets: Who's Winning?

Fang Wen¹, Feng Gengzhong^2,3, Lu Fengbin⁴, Li Zhijun¹, Wang Shouyang⁴

1. School of Economics and Management, Xidian University, Xi'an 710126;
2. School of Management, Xi'an Jiaotong University, Xi'an 710049;
3. The Key Lab of the Ministry of Education for Process Control & Efficiency Engineering, Xi'an Jiaotong University, Xi'an 710049;
4. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190

Received:2017-12-08 Online:2021-02-28 Published:2021-03-08

摘要/Abstract

摘要： 本文研究中国已上市的3种钢材期货（螺纹钢、线材和热卷板）与现货市场在价格发现过程中的短期动态行为和长期功能表现。针对市场收益率序列建立向量自回归模型，分析市场短期价格发现行为，在协整框架下构建向量误差修正模型，采用信息份额方法，定量测算价格发现信息份额，研究3种钢材期货市场在较长时域价格发现功能发挥状况。并从理论层面分析为何各类市场或是同一市场在不同时域价格发现表现存在差异。研究显示，从短期价格发现行为看，钢材现价变化明显受自身及期货价格变化影响。螺纹钢期货价格是其现价重要预测变量，线材和热卷板期货价格与现价互为Granger因果关系。从长区间看，螺纹钢和热卷板期货市场价格发现功能发挥较好，而线材期货市场价格发现功能未有效发挥。稳健性研究显示，热卷板期货价格发现功能研究结果与合约类型及测算方法选取有关。螺纹钢和线材期货价格发现功能在热卷板期货上市后有不同表现。螺纹钢期货价格发现功能增强，线材期货价格发现功能退化。此外，若不考虑电子交易市场，会高估热卷板期货市场价格发现功能。

关键词: 短期价格发现行为, 价格发现功能, 多变量VECM-IS模型, 钢材交易市场

Abstract: Price discovery is the timely and efficient incorporation of new information into transaction prices. This paper investigates the price discovery function of futures market for three non-precious metals-rebar, wire, and hot roll bar on Shanghai Financial Exchange (SHFE) using VAR, Granger causality test, cointegration test and VECM. The study uses daily data on spot prices and dominant futures prices of rebar and wire over the period from March 2009 to March 2017, and hot roll bar over the period from March 2013 to March 2017 which are obtained from SHFE website. The study analyzes the differences in the price discovery function of different markets in the theoretical level. The study concludes that all the series of spot and futures prices are closely correlated, synchronized, and codependent in the long-run. The results of VAR model show that rebar futures returns Granger cause rebar spot returns, and there is a bi-directional causality in wire and hot roll bar spot and futures market. The results of VECM and Information Shares model indicate the rebar and hot roll bar futures market is found to be sounder in terms of discounting new information than their spot market, but wire futures market displays weaker price discovery than spot market. Our results of the role of rebar and wire futures market in the price discovery process are robust to different lengths of transaction windows and futures contracts of different types. However, hot roll bar futures market exhibit different price discovery function according to the research method and contracts whichare used. The price discovery of wire futures market has diminished during the period of official launch of hot roll bar futures. If we ignore the role of steel B2B electronic market in the price discovery process, we will overestimate the degree of hot roll bar futures market price discovery function.

Key words: short-term price information transmission, price discovery, multi VECM-information shares model, steel trading markets

方雯, 冯耕中, 陆凤彬, 李志俊, 汪寿阳. 中国钢材交易市场价格发现：谁是主角？[J]. 管理评论, 2021, 33(2): 31-43.

Fang Wen, Feng Gengzhong, Lu Fengbin, Li Zhijun, Wang Shouyang. Price Discovery on Chinese Steel Markets: Who's Winning?[J]. Management Review, 2021, 33(2): 31-43.

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