中国期货市场价格波动非对称性效应的实证研究  

An empirical study on asymmetric effect of price volatility on future market of China

作　　者：罗孝玲[1] 李一智[1] 杨怀东[1] 

机构地区：[1]中南大学商学院,湖南长沙410083

出　　处：《中南大学学报（社会科学版）》2005年第6期771-775,共5页Journal of Central South University：Social Sciences

基　　金：国家自然科学基金(70473105)

摘　　要：采用EGARCH模型,以铜、大豆及小麦三个主要的连续期货合约收益序列为样本的实证研究表明:利空消息对我国期货价格波动的影响,要大于利多消息对期货价格波动的影响。对300个期货交易者的问卷调查结果也表明:我国期货投资者普遍存在的"过度恐惧"心理,是造成利空消息对期货价格波动的影响大于利多消息对期货价格波动的影响的最为重要的原因。With the profound changes of the structure of international trade, intra-industry trade is becoming more and more important in international trade. This thesis elaborates the concept of intra-industry trade and its index, then analyzes the present situation of intra-industry trade through the indexes of intraindustry trade and competitiveness. Turvey shows that the economic development and the rise of income level lay the material basis of the development for intra-industry trade. And the improvement trade and the foreign investment enterprises trade create the good condition for the intra-industry trade of our country. But the structure of international trade of our country remains mainly the inter-industry trade on the basis of labor-concentrated products. The overall competitiveness of intra-industry trade is still lags behind the developed countries. The government and enterprises should, therefore, adjust and optimize the structure of industry, develop intra-industry trade in accordance with the economic tendency, and take part in the international division of labor through intra-industry trade, so as to gain the preponderance of international trade and international competition.

关 键 词：期货市场 利多消息 利空消息 非对称性效应 EGARCH模型 

分 类 号：F713.35[经济管理—产业经济]