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中文摘要：
首先利用PP检验对白糖期货价格和现货价格数据的平稳性加以检验,其次用Johansen检验分析白糖期货价格与现货价格的协整关系,再次建立了相应的误差修正模型以考察长期趋势和短期效应对期货价格和现货价格变动的影响,最后通过格兰杰因果检验确定信息在期货市场和现货市场之间的传递方向。实证结果表明：我国白糖期货市场是有效的;信息在白糖期货价格和现货价格之间是双向传导的;与现货市场相比,期货市场对于非均衡的反应速度更快且反强度更大。
英文摘要：
This paper use the PP test for the stationarity of white sugar futures price and spot price data,and then use the Johansen test to analyze the co- integration relationship between futures price and spot price,once again,establish the error correction model to investigate the impact of the long- term trend and short-term on the futures price and spot price change,finally determine the information transfer between futures market and cash market direction through Granger causality test. The empirical results show that the white sugar futures market in China is effective; Information between white sugar futures price and spot price is two-way transmission; Compared with the spot market,the futures market’s response for unbalanced is more rapid and intense.
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