我国大豆期货与现货市场之间的波动溢出效应研究被引量：11

An analysis on volatility relationship in China's soybean spot-futures markets

下载PDF

导出

摘要根据所构建的双变量EC-EGARCH模型,对我国大豆期货与现货市场之间的波动溢出效应进行实证分析的结果表明:协整残差项对期货与现货市场的条件均值和条件方差均具有很好的解释作用,能够准确地刻画两市场之间的波动性关系;期货和现货价格之间存在长期的均衡关系;并且,期货与现货市场之间的波动溢出效应是对称的。 The volatility relationship in China's spot-futures markets are investigated empirically based on the bivariate EC-EGARCH model.The empirical results show that the co-integrating residual can be an important explanatory variable for both the conditional mean and the conditional variance and can describe the volatility accurately in spot-futures markets.And there is a longrun equilibrium relationship in spot-futures prices and a symmetrical spillover in volatilities of spot-futures markets.In addition,the countermeasures and suggestion are given according to the practical situation of China's soybean futures market.

作者仲伟俊戴杨

机构地区东南大学经济管理学院

出处《东南大学学报（哲学社会科学版）》 CSSCI 2007年第3期23-27,共5页 Journal of Southeast University(Philosophy and Social Science)

关键词双变量EC—EGARCH模型波动均衡关系溢出效应

分类号 F724.5 [经济管理—产业经济] F224 [经济管理—国民经济]

引文网络
相关文献

参考文献22

1[1]Engle R F,Granger C W.Cointegration and error correction representation,estimation and testing[J].Econometrica,1987,55:251-276.
2[2]Johansen S,Juselius K.Maximum likelihood estimation and inference on cointegration-with applications to the demand for money[J].Oxford bulletin of economics and statistics,1990,52:169-210.
3[3]Min J,Najand M.A further investigation of the lead-lag relationship between the spot market and stock index futures:Early evidence from korea[J].Journal of futures markets,1999,19(2):217-232.
4[4]Sarno L,Valente G.The cost of carry model and regime shifts in stock index futures markets:An empirical investigation[J].Journal of Futures Markets,2000,20(7):603-624.
5[5]Haigh M S.Cointegration,unbiased expectations,and forecasting in the BIFFEX freight futures market[J].Journal of Futures Markets,2000,6:545-571.
6[6]Meneu V,Torro H.Asymmetric covariance in spot-futures markets[J].Journal of Futures Markets,2003,23 (11):1019-1046.
7[7]So R,Tse Y.Price discovery in the hang seng index markets:index,futures,and the tracker fund[J].Journal of Futures Markets.2004,24(9):887-907.
8[8]Lee T -H.Spread and volatility in spot and forward exchange rates[J].Journal of international money and finance,1994,13:375-383.
9[9]Kroner K F,Sultan J.Time varying distributions and dynamic hedging with foreign currency futures[J].Journal of Financial and Quantitative Analysis,1993,28:535-551.
10[10]Tse Y.Price discovery and volatility spillovers in the DJIA index and futures markets[J].Journal of Futures Markets,1999,19:911-930.

二级参考文献48

1马正兵.我国粮食期货价格发现功能的交叉谱实证研究[J].统计与决策,2005,21(01X):64-66. 被引量：19
2徐剑刚.我国期货市场有效性的实证研究[J].财贸经济,1995,16(8):14-19. 被引量：35
3.中国证券期货统计年鉴(1998)[M].,..
4BIS (2003). "Quarterly Review: International Banking and Financial Market Developments." June.
5Chatrath, A and F Sang (1998). "Information and Volatility in Futures and Spot Markets: The Case of Japanese Yen." Journal of Futures Markets 18(2), 201 - 223.
6Chari, V V ,R Jagannathan, L Jones (1990), "Price Stability and Futures Trading in Commodities." Quarterly Journal Economics, 105,527 - 534.
7Cox, Chades, C (1976)."Futures Trading and Market Information." Journal of Political Economy, Vol. 84 (6), 1215-1237.
8Dathine, J. (1978). "Information, Futures Prices, and Stabilizing Speculation." Journal of Economic Theory, 17, 79-98.
9Harvey (1996). "The Market for Futures Contracts on Canadian Bankers' Acceptances." Bank of Canadian Review, Autumn,19-36.
10Hirotaka Inoue (1999). "The Stylized Facts of Price Discovery Processes in Govermment Securities Markets: A Comparative Study ", BIS Committee Publications.