铜期货市场信息的国际传递  

International Transmission on Information in Copper Futures Markets

作　　者：韩立岩[1] 郑葵方[1] 

机构地区：[1]北京航空航天大学经济管理学院,北京100083

出　　处：《管理评论》2008年第1期9-16,25,共9页Management Review

摘　　要：本文运用AR(1)-非对称GARCH模型研究伦敦和上海铜期货市场之间的收益均值、波动和成交量的信息传递关系。实证结果表明,伦敦市场交易信息被整合反映到上海市场的开盘价上,并影响上海交易收益的波动。上海交易信息对伦敦交易收益及其波动的溢出效应十分显著,但对伦敦开盘价的影响小于伦敦交易对上海开盘价的影响。虽然上海市场能对伦敦交易施加短期影响,但在长期走势上伦敦市场引领上海市场。投资者和期货市场的监管者可以通过把握国际铜期货市场信息传递对期货定价的影响,决定投资和监管的关注重点。Using AR(1)-Asymmetric GARCH specification, this paper studies return, volatility and trading volume spillover effects between LME and SHFE copper futures markets. Empirical results indicate LME trading information is incorporated into SHFE open price, and affects SHFE trading returns’ volatility. SHFE trading information has a very significant spillover effect on LME trading return’s level and volatility, whereas less significant on LME open auction than LME trading on SHFE open price. Although in short term SHFE copper trade greatly affects LME, LME still leads SHFE in long term. Investors and supervisors can grasp the impact of information transmission between international markets on futures pricing to figure out their focuses.

关 键 词：国际市场 期货定价 信息传递 溢出效应 

分 类 号：F724.5[经济管理—产业经济]