摘要
采用协整模型、Granger因果关系检验、ECM模型及几种GARCH模型对中国上海与英国伦敦金属期货价格收益率和波动性做了研究。发现两市期货价格之间存在G ranger因果关系、协整关系、同向变动关系和长期的共同趋势。采用ECM模型研究了两市的短期波动差异。GARCH类模型研究发现,两市波动性存在非对称性、溢出效应、杠杆效应。上海对伦敦市场的单向溢出效应显著存在。两市存在的利空消息均大于利多消息的作用,伦敦期货市场风险大于上海期货市场风险。
In the paper, we made research for futures price return and volatilities in Shanghai of China and London of U. K through Co - integration model and Granger Causality relation Testing and ECM model and several GRACH models. We found that there is Granger Causality relation and co - integrated relation and same direction change relation and long -term common trend between Shanghai＇s and London＇s metal futures prices. We study short term fluctuation difference between two markets by ECM. The several GARCH models show that there is asymmetric and spillover effects and leverage effects between two markets. There have been prominent single direction spillover effects of Shanghai＇s futures market of China to London of U. K, and the effect of bad news is bigger than that of good news in the two markets, risk of London is bigger than Shanghai＇s .
出处
《财经问题研究》
CSSCI
北大核心
2007年第2期54-66,共13页
Research On Financial and Economic Issues
基金
国家自然科学基金项目:"泛协整理论"框架下中国市场化利率
稳健货币政策规则形成机制等的模型实证研究(批准号:70473012)
教育部人文社会科学重点研究基地--中国人民大学应用统计科学研究中心重大项目:我国季度GDP核算方法及其应用(批准号:05jjd910153)联合资助
"辽宁省高等学校优秀人才支持计划"(辽教发[2006]124号)资助
