【摘要】：中國是世界上最大的銅生產(chǎn)、消費、進口國家,銅期貨市場對銅定價起到關鍵作用。2013年12月,我國推出銅期貨夜盤市場,希望藉此加強我國銅期貨市場與世界銅期貨市場的聯(lián)動性,降低投資者的隔夜頭寸風險。回首夜盤推出一年多時間,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高頻價格數(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聯(lián)動性狀況,以及不同交易時間對銅期貨市場關聯(lián)性的影響。同時,本文還基于套利角度對匯率對銅期貨市場關聯(lián)性的影響作出實證研究。在實務研究的基礎上,通過構建VAR和VECM模型,分別對日盤、夜盤同期銅期貨市場價格時間序列進行協(xié)整檢驗、格蘭杰因果關系檢驗和誤差修正分析。 實證結果表明,匯率的變化對兩期貨市場之間剔除稅費、運費因素的套利價格比率有顯著影響,上海與倫敦銅期貨市場價格存在長期均衡關系,上海銅期貨市場與倫敦銅期貨市場之間存在相同方向的修正機制。上海銅期貨市場價格在日盤交易時間對倫敦銅期貨市場價格有引導作用,但在日盤交易時間上海銅期貨市場定價效率低、市場有效性弱,倫敦銅期貨市場價格在夜盤交易時間與上海銅期貨市場價格呈現(xiàn)相互引導作用,但倫敦銅期貨市場定價效率高、市場有效性強。不同交易時間銅期貨市場關聯(lián)性所表現(xiàn)出的差異是由不同市場交易主體活躍時間不同導致。 我國銅期貨市場與世界市場聯(lián)系緊密,價格信息傳遞、響應效率高。銅期貨夜盤市場能夠有效幫助降低投資者隔夜頭寸風險,吸引國外投資者參與交易,并以之加強我國銅期貨市場與世界銅期貨市場的聯(lián)動性,提高我國銅期貨市場在世界定價體系中的地位。
[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.
【學位授予單位】：浙江大學
【學位級別】：碩士
【學位授予年份】：2015
【分類號】：F764.2;F724.5

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