中文摘要：

考虑到不同期限商品期货合约的流动性差异,低流动性合约可能存在双重信息传导机制,即供求冲击信息分别从现货价格和高流动性合约价格向低流动性合约价格传递。基于双重信息传递机制本文提出商品期货嵌套定价模型,以分别为高流动性合约和低流动性合约提供定价。基于SHFE数据的实证检验表明,在Granger因果检验中该双重信息传递机制统计意义上存在;而且,嵌套模型可以较好地拟合SHFE有色金属期货的市场价格数据,各到期合约对模型参数和状态变量的信息贡献与其市场流动性较为一致。

英文摘要：

Considering the difference in liquidity of different maturity commodity futures contracts, the low liquidity contract may have a two-dimensional information transmission mechanism, namely the information implied by supply and demand shocks transfers from the spot price and the price of high liquidity contract to the low liquidity contract price separately. Then this paper develops a nested model of commodity futures pricing based on the two-dimensional information transmission mechanism, in which the high liquidity and low liquidity contract can be priced respectively. The empirical test based on SHFE data shows that, the Granger causality test gives proof to the existence of the proposed two-dimensional information transmission mechanism; furthermore, the nested model can fi t the market price data of SHFE nonferrous metals futures contracts very well. The contribution of each contract to the model parameters and state variables is consistent with its liquidity.