premium and market friction, but not the unbiased estimators of the national average price. The empirical analysis of the lead-lag relationship between the cash market and the wheat futures markets show that the futures markets dominate the cash markets. The Granger cause test shows that the change of the cash price correlates with the prophase change of the futures markets;
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论文范文http://www.chuibin.com/ however, the change of the futures markets doesn’t correlate with the prophase change of the cash price. And the change of the futures price leads to the change of the cash price about 20 days, but the change of the cash price doesn’t lead to the change of the futures markets. All these results show that the wheat futures markets in Zhengzhou take the role of the finding price certainly. 3 Market Microstructures and the Micro-efficiencies of Futures Markets Market efficiencies can be mainly described by allocation efficiencies and operational efficiencies. 本文来自优.文~论^文·网原文请找腾讯324,9114 and volumes. Different market microstructures not only have an influence on the market’s liquidity and trading cost, but also affect the process and the mechanism of information entering into the market. And the market efficiencies is closely bound up the market microstructures. To understand futures markets efficiencies better, it is needed to discuss the factor and mechanism from the point of the market microstructures. Then we mainly analyze the effect of market transparency and liquidity on the market efficiencies and quality. In a general way, the more transparency market, the better the price efficiencies, which reflect the basic trend that different markets strive to be the first to consummate the system of information publishing and increase the market transparency. However, market transparency can actually increase price volatility and lower market liquidity under certain conditions. At last, there may be in a dilemma between the efficiencies and fair, and different efficient market systems can exist together. The empirical studies of the liquidity of wheat futures contract trading in ZCE find that the liquidity of the contract with the same maturity improves greatly with the development of the futures markets and the increase of trading volume, and turn into the successful investment tool step by step. The contract with different maturity has different liquidity, and the liquidity of the futures contract changes with the time of trading, which takes the rule of some cycle movement. The bigger the average trading volume, the littler the average spread, and so the better of the market liquidity. The practice proves that the market liquidity is the key factor of a successful contract; the futures markets need to maintain proper liquidity. And only in this way, we can put forward the successful futures contract. 4 The Innovation of the Research The innovation of the research mainly embodies three sides. Firstly, we expand the intension and the extension about the notion of futures markets on the basis of market efficiencies theories. It contributes to understand the market efficiencies from a broader view. Secondly, we look at the futures markets as a complicated economic system. Then we try to explore the rule of this system’s movement using the advanced tools of econometrics, which include the unit root test, the Granger causality test and the Cointegration tests etc. using these tools, we work over the futures markets efficiencies hypothesis, and efficiencies of the hedging and the finding price. Thirdly, using the new development of market microstructures theory, we discuss the mechanism that the market microstructures affect the running of futures markets from the points of market liquidity and market transparency. Furthermore, all these researches have been done according to the practice of development on the futures markets in China.
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