中文摘要：

基于最新发展的非线性Granger因果检验方法,侧重于非线性视角全面探究了中国期货市场价格发现功能的现状.研究结果表明,金属期货市场价格发现功能最强,农产品期货市场次之,而金融期货市场价格发现功能则相对较弱.具体表现为沪金期货和沪铜期货市场中期货价格对现货价格的引导关系具有非常显著的非线性Granger因果关系,强麦期货市场和玉米期货市场中期货价格对现货价格的引导关系也相对较强,而沪深300股指期货和国债仿真期货中期货价格对现货价格的非线性Granger因果关系则相对较弱.最后,传统线性Grangerr因果检验方法可能由于忽略变量的非线性特征而使得研究结果出现较大偏差.

英文摘要：

This paper uses the latest nonlinear Granger causality test methods to explore the status quo of the price discovery function in China＇s futures market,focusing on the non-linear perspective.The results show that the metal futures market has the best price discovery function,with the agricultural future market the second,and the financial future market weakest.The causal relationships between the futures price and the spot price in both Shanghai gold futures market and Shanghai copper futures market have a significant nonlinear Granger causality,the causal relationships of futures prices to spot prices in wheat futures market and corn futures market also have a relative strong nonlinear Granger causality.However,the causal relationship of the future prices to spot prices in CSI 300 stock index futures market and Treasury simulation futures market is relatively weak.Finally,the paper finds that the traditional linear Granger causality test may result in larger deviations due to neglecting variables＇ nonlinear characteristics.