钢材市场定价效率、主导性及价格发现功能研究.pdfVIP

Modern Management 现代管理, 2017, 7(5), 306-311 Published Online October 2017 in Hans. /journal/mm /10.12677/mm.2017.75041 Pricing Efficiency, Dominance, Price Discovery of Chinese Steel Markets Wen Fang School of Economics and Management, Xidian University, Xi’an Shaanxi th th th Received: Oct. 5 , 2017; accepted: Oct. 20 , 2017; published: Oct. 26 , 2017 Abstract This research employs event study method, discusses the pricing efficiency, price dominance, and price discovery of Chinese steel trading markets for four great events. The conclusions based on analysis of steel market price discovery during great events, can be used by the policy planner to develop steel futures market and B2B electronic market to some extent. The results show that steel B2B electronic market and futures market exist hedging and arbitrage oppor- tunities. The results also show that steel B2B electronic is found to be sounder in terms of dis- counting new information than spot market during financial crisis. Steel futures price and B2B electronic price react differently to the event of raising margin level. Our results show that price dominance and price discovery are two different terms, thus their empirical results may be dif- ferent. Keywords Steel Trading Markets, Pricing Efficiency, Price Discovery, Event Study 钢材市场定价效率、主导性 及价格发现功能研究 方 雯 西安电子科技大学经济与管理学院，陕西 西安 收稿日期：2017年10月5 日；录用日期：2017年10月20 日；发布日期：2017年10月26 日 文章引用: 方雯. 钢材市场定价效率、主导性及价格发现功能研究[J]. 现代管理, 2017, 7(5): 306-311. DOI: 10.12677/mm.2017.75041 方雯 摘 要 本文将事件研究方法应用到中国钢材交易市场现实情境，研究4个重大事件下钢材市场定价效率、市场