中國大陸於1979年開始進行經濟改革，廣開經濟之門，大量吸收外資來活
潑各項經濟建設活動，正逐步邁向計劃商品經濟的新體制。其中，成立中
國鄭州市場的構想，乃至於正式開業，是大陸傳統社會主義的大改變，表
徵以市場機能為中心的資本主義在大陸抬頭，是應計劃經濟體制必需與自
由市場互相協調配合之經改政策的具體結果。中國鄭州商品交易所與上海
金屬交易所、深圳有色金屬交易所並稱為大陸三大期貨市場，占大陸期貨
總交易量的80％，深受舉世所矚目，成功與否，對大陸經改及形成亞太經
濟圈都具有重要意義。通常期貨市場加入純現貨市場經濟體系，對於穩定
價格和經濟發展有其正面貢獻。本文將探討中國大陸現階段如何建立期貨
市場？如何對大陸傳統經濟體制造成影響與挑戰？目前發展到甚麼程度？
如何善加利用自由經濟體制的市場機能來成功的發展期貨市場？本文欲對
大陸目前尚在初級水準的期貨市場提出意見，甚至期待其能發展成全球性
期貨市場。本文對全中國大陸期貨市場將作一全面性的概觀、對幾個主要
的期貨交易所作一重點式的簡介，然後進入本文重點，亦即對中國鄭州商
品交易所作詳細探討，包括其運作狀態、市場效率性等，以下是本文內容
。時間數列的資產價格大多為具有單根的非穩定性變數的特性已廣被接受
，非穩性變數使傳統的F-統計量或t-統計量會得出不正確的檢定結果及估
計。本文採用 Engle & Granger(1987)的二階段估計法，首先以
Dickey & Fuller (1981) 的單根檢定 (ADF unit root test) 得出鄭州
交易所及芝加哥交易所的期貨價格為具有單根的時間數列，其次以
Engle & Granger (1987) 的共整合檢定方法，得出對於才自1993年5月28
日成立的中國大陸鄭州商品交易所與自1865年即開始期貨交易的美國芝加
哥期貨交易所 ( CBOT) 同種商品之間，包括小麥、玉米及大豆，不具共
整合關係，推論此二市場目前尚沒有長期穩定均衡關係，亦即此二市場為
區隔性 ( seg- mented) ，而非共整合性 (cointegrated) 。反之，對鄭
州交易所內不同商品的期貨價格作兩兩共整合檢定，呈現相當高的共整合
現象，隱含一種商品的期貨價格可以被另一種商品的期貨價格所預測
(predictability)，違反市場效率性的假說，故本文得出結論：中國大陸
鄭州商品交易所成立至今短短十個月 (截至1994年3月底止之資料)，尚不
具市場效率性。 / It is now widely accepted that financial price series
are generally not stationary and consequently, conventional
statisti- cal procedures like F-statistic and t-statistic
are no longer appropriate for testing market efficiency and
estimation. Since nonstationary variables have infinite
variance that make the F- test or t-test invalid, the standard
hypothesis testing does not apply to time series with unit
roots. This article adopts Engle and Granger's (1987) two-stage
estimation. Firstly, apply augu- mented Dickey & Fuller unit
root test (1981) to the argricultur markets are with unit
roots which means both time series variables are
nonstationary. Secondly, apply Engle & Granger's (1987)
Cointegration Test to test whether the cointegration
relationship, including wheat, corn and soybean futures
market, between CZCE and CBOT exists or not, the
former one is established on May 28th, 1993 in Mainland
China and the latter one is established since 1865 in the
United States. The result is the wheat, corn and soybean
futures prices in these two markets are not cointegrated
which implys by now these two markets have no longterm
equilibrium relationship, also implys CZCE and CBOT are
segmented, not cointegrated. On the contrary,
applying Engle & Granger's (1987) Cointegration Tests
to test the different argriculture futures market in CZCE,
cointegration can not be rejected. That implys one
argriculture futures price can be predicted by other
argriculture futures price and the market efficiency
hypothesis is rejected. Therefore this article has the
following conclusion : the empirical results by now presented
the rejection of the market efficiency hypothesis for three
argriculture products -- wheat, corn, and soybean -- traded on
China Zhengzhou Commodities Exchange.
| Identifer | oai:union.ndltd.org:CHENGCHI/B2002003768 |
| Creators | 蕭媚綺, Hsiao, Meichi |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 中文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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