夜盘交易对中国农产品期货市场定价权的影响
Night Trading and Pricing Power of China’s Agricultural Futures Market

基于信息溢出视角，利用DCE与CBOT豆油期货连续合约收盘价数据，实证分析了夜盘交易启动对中国农产品期货市场定价权的影响。研究结果表明：夜盘交易的启动，未能有效提升DCE豆油期货对CBOT豆油期货的收益溢出效应，CBOT豆油期货对DCE豆油期货的收益溢出始终处于强势地位。夜盘交易前，CBOT对DCE豆油期货的波动溢出效应显著强于后者对前者的波动溢出效应，而夜盘交易的启动有效改善了这一现状；夜盘交易启动后，DCE与CBOT豆油期货呈现双向显著的波动溢出效应。综合来看，夜盘交易影响DCE向CBOT信息溢出的主要渠道为波动溢出而非收益溢出，夜盘交易未能有效提升以DCE豆油期货为代表的中国农产品期货市场定价权。
Based on the perspective of information spillover, taking DCE and CBOT soybean oil futures contract as an example, this paper analyzes the influence of Night Trading on the pricing power of China’s agricultural futures market. The results show that: (1) The Night trading fails to improve the revenue spillover effect from DCE soybean oil futures to CBOT soybean oil futures, CBOT soybean oil futures is always on the DCE soybean oil futures revenue spill is always in a strong position; (2) before carrying out the Night trading, fluctuation spillover effect from CBOT soybean oil futures to DCE soybean oil futures is stronger than DCE to CBOT. But the above status Is effectively improved by carrying out the Night trading. There is two way volatility spillover between CBOT and DCE soybean futures while after carrying out the Night trading. In summary, the Night trading fails to effectively enhance the DCE soybean oil futures as the representative of the Chinese agricultural futures market pricing power.