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期货市场在价格发现过程中的作用与定位尚存较大争议。本文认为:期货市场在价格发现过程中与现货市场紧密相联,期货市场与现货市场内在一致地确立市场的价格体系,期货价格与现货价格之间存在较好的协整关系;强调期货市场的价格发现功能,不能否定现货市场在价格发现过程中的作用;期货价格只在特定条件下与预期未来现货价格相一致,考察期货价格是预期未来现货价格无偏估计的实证研究似乎没有经济意义。但这并不能否定期货市场的价格发现功能,“内在期货价格”的测算尤为重要。
The role and orientation of the futures market in price discovery remain controversial. This paper argues that the futures market is closely linked with the spot market in the process of price discovery, and the futures market and the spot market are internally consistent with each other to establish the price system of the market. There is a good cointegration relationship between the futures price and the spot price. Emphasis on the futures market The function of price discovery can not deny the role of the spot market in the process of price discovery. Futures prices are consistent with the expected future spot prices only under certain conditions. It does not seem economically significant to examine whether futures prices are an unbiased estimate of future spot prices. However, this does not negate the price discovery function in the futures market. The calculation of the “intrinsic futures price” is especially important.