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本文根据2010年郑州商品交易所的棉花期货货价格和中国棉花协会的现货价格,运用单位根检验、协整检验、误差修正模型等方法来实证研究中国棉花期货市场的价格发现作用。结果表明:棉花期货价格与现货价格有很强的相关性,但这是单向相关的,即现货价格对期货价格有明显的引导作用,而期货价格对现货价格的引导作用不强。
According to the price of cotton futures of Zhengzhou Commodity Exchange in 2010 and the spot price of China Cotton Association, this paper empirically studies the price discovery effect of China cotton futures market by unit root test, cointegration test and error correction model. The results show that there is a strong correlation between the price of cotton futures and the spot price, but this is one-way related. That is, the spot price has a clear guiding function on the futures price, while the futures price does not play a guiding role in the spot price.