摘要
本文对市场情绪、玉米期货价格和现货价格相关性进行分析研究,研究发现:(1)玉米现货价格和期货价格、玉米期货价格和市场情绪间存在双向均值溢出效应;市场情绪对玉米现货价格具有单向均值溢出效应;(2)市场情绪、玉米现货价格和玉米期货价格均呈现显著的波动集聚性,且变量间存在双向波动溢出效应。最后,根据本文结论提出了相关政策建议。
Using the monthly data from January, 2009 to December, 2016, this paper establishes MSVAR-Full BEKK-GARCH model to study the mean and volatility spillover ef- fects among market sentiment, futures price and spot price of corn from the perspec- tive of nonlinearity. Our study shows that, （1）there are bi-directional mean spillovers effects between futures price and spot price of corn and market sentiment and futures price of corn, （2）there is uni-directional mean spillover effects from market sentiment to spot price of corn. （3）there are strong volatility clustering and significantly bi-directional volatility spillover effects among market sentiment, fu- ture price and spot price of corn. At the end of this paper, we propose some policy recommendations.
出处
《价格理论与实践》
CSSCI
北大核心
2017年第2期127-130,共4页
Price:Theory & Practice
关键词
市场情绪
玉米期货
玉米现货
Market Sentiment
Futures of Corn
Spot of Corn
