摘要
本文通过向量GARCH模型考察上海和伦敦两个期铜市场间收益率波动的溢出效应。研究结果表明:上海期铜与伦敦期铜市场之间存在双向的波动溢出效应。分阶段的进一步研究发现,在2001年前两个市场间,仅存在伦敦期铜市场对上海期铜市场的单向波动溢出;而2001年后,两个市场的联系加强,存在双向的波动溢出效应。
We examine the volatility spillover effect of daily returns in the futures copper market between Shanghai and London by multivariate GARCH model. The result shows that there is the volatility spillover effect between Shanghai and London during the whole data period. Before 2001, London had a one-directional spillover effect to Shanghai. However, after 2001 there is hi-directional volatility spillover effect between Shanghai and London.
出处
《管理工程学报》
CSSCI
2007年第3期111-115,共5页
Journal of Industrial Engineering and Engineering Management
基金
国家自然科学基金资助项目(70202005)
