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英文文献：International Market Integration Under Wto: Evidence In The Price Behaviors Of Chinese And Us Wheat Futures-Wto下的国际市场整合:中美小麦期货价格行为的证据
英文文献作者：Du, Wen
英文文献摘要：
China's 10-year old wheat futures market, the China Zhengzhou Commodity Exchange (CZCE) has been in stable development since establishment and is expected to be integrated to the world market after China joined WTO. This paper compares the price behavior of CZCE with that of the Chicago Board of trade (CBOT) in the US using ARCH/GARCH based univariate and multivariate time series models for the period between 1999 and 2003, around when China joined the World Trade Organization (WTO). Results show both markets can be modeled by an ARCH (1) or a GARCH (1,1), and the models have better fit when conditional error variance is t distributed. The price series in CZCE and CBOT are interrelated but not cointegrated. The existing interrelations between the two markets are significant and asymmetric, where CBOT holds a dominant position in the interactions while CZCE is more like a follower.
中国郑州商品交易所(CZCE)成立已有10年历史，自成立以来发展稳定，有望在中国加入WTO后与世界市场接轨。摘要本文采用基于ARCH/GARCH的单变量和多变量时间序列模型，比较了1999年至2003年中国加入世贸组织前后，CZCE与美国芝加哥期货交易所(CBOT)的价格行为。结果表明，两种模型均可采用ARCH(1)或GARCH(1,1)模型，且在条件误差方差为t分布时模型拟合效果更好。CZCE和CBOT中的价格序列是相互关联的，但不是协整的。这两个市场之间现有的相互关系是显著的和不对称的，芝加哥期货交易所在相互作用中占据主导地位，而CZCE更像是一个跟随者。
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