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目标价格机制给棉花期货市场带来的政策效应是期货投资者和政策制定者密切关注的问题.选取CF401、CF501期货合约作为政策实施前后的对比序列,运用基于GED和Normal的ARCH族模型进行实证分析,结果表明:目标价格政策实施后,期货市场活跃度增强,投资者投资意愿增强,与现货市场联动性增强;同时,波动集群效应更显著,不存在高风险高报酬特征,价格收益率波动呈现非对成型,目标价格机制的政策效应基本发挥.最后,针对完善期货市场提出相应建议.
The policy effect of the target price mechanism on the cotton futures market is closely concerned by the futures investors and policy makers.Choose CF401 and CF501 futures contracts as comparison series before and after the implementation of the policy and use the ARCH family model based on GED and Normal for empirical research The results show that: after the implementation of the target price policy, the activeness of the futures market is enhanced, the investors’ willingness to invest is enhanced, and the linkage with the spot market is enhanced; meanwhile, the effect of fluctuation cluster is more significant, there is no high-risk and high-reward characteristics, and the price yield fluctuates Showing the non-formation of the target price mechanism of the policy effect of the basic play.Finally, the improvement of the futures market for the corresponding recommendations.