近年来,上海期货交易所频繁调整大宗商品期货的交易保证金,以期抑制市场风险。这种调整措施给中国钢材市场的价格发现过程究竟会带来何种影响,是理论界和实践界关注的问题。本文针对上海期货交易所于2010年11月29日上调钢材期货保证金比例和2012年5月2日下调保证金比例这两项措施,采用基于VECM模型的信息份额方法,定量测算了中国三类钢材市场对钢材价格发现过程的贡献。研究结果表明,调升期货保证金的措施可抑制钢材市场价格波动风险、提升期货市场的价格发现功能;调降期货保证金后,期货市场对价格发现过程的贡献度仍占1/3以上;电子交易市场价格发现功能受期货保证金调整影响较大。在钢材期货价格剧烈波动时,电子交易市场作为价格发现工具能引导其它两类市场价格。
In recent years, China's steel prices often fluctuate violently. Shanghai Futures Exchange (SHFE) controls the price volatility risk by means of adjusting steel futures margin level. In Nov 29, 2010, SHFE increased the steel futures margin level from 8% to 12%, while decreased the margin level from 8% to 7% in May 2, 2012. Do these adjustment measures influence the price discovery of Chinese steel markets? The study of the effects of adjusting futures margin level on the steel price discovery is of great concern for researchers and market traders. Most previous studies have analyzed the price discovery of Chinese steel spot and futures market. However, steel traders nowadays can also trade in steel electronic market. Which market contributes more to the process of uncovering steel's full information or permanent value? Does their information contributions vary before and after the adjusting of steel futures margin level? Transaction costs are higher (lower) in the futures markets after the margin level increases (decreases). Given that the magnitude of the transaction costs determines whether a trader can profitably trade on a given piece of information, the adjustment of futures margin level should influence the price discovery of steel futures markets. Consequently, the steel price discovery process should be changed dynamically. The standard methodology to analyze price discovery is to estimate an vector error correction model. Applying this methodology to data on three steel markets are rare. The present paper contributes to this line of research. Steel futures price, steel electronic price and spot price over the period July 1st 2010-April 29th 2011 and June 7th 2011-March 21st 2013 are employed to analyze questions of price discovery of the three steel markets. Information share (IS) method based on three-dimension vector error correction model is used. Our results can be summaried as follows. The price discovery of steel futures market are enhanced by increasing of margin level whereas weakened by decreasing of margin level. Steel electronic market dominates the price discovery process when steel price flutuates violently. The dynamic of the price discovery of steel electronic market is different when futures margin level changes. This finding underpins the importance of taking the price discovery of steel electronic market explicitly into account. Important implications are provided in our results for the application of IS method to three commodity markets, and for the establishment of futures margin level in order to enhance the price discovery of Chinese steel futures market as well.
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