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芝加哥商品期货交易所(CBOT)是全球最大的农产品期货交易市场,与此同时,我国的大连商品交易市场(DCE)也在不断进步,尤其是在以大豆为标的物的期货市场发展迅速。文中采用单位根检验、格兰杰因果检验、协整检验、方差分解等方法研究两者之间的关系,结果表明,两者之间存在长期均衡关系,并且CBOT大豆期货价格对DCE大豆期货价格具有单向引导关系,总体来说,CBOT在整个大豆期货市场价格发现功能方面占有主导地位。
The Chicago Mercantile Exchange (CBOT) is the world’s largest agricultural futures market, meanwhile, China’s DCE is also making continuous progress, especially in the soybean futures market is developing rapidly. The paper uses unit root test, Granger causality test, cointegration test and variance decomposition to study the relationship between the two. The results show that there is a long-term equilibrium relationship between CBOT soybean futures price and DCE soybean futures price With one-way guidance, in general, the CBOT plays a dominant role in the price discovery function of the entire soybean futures market.