沪铜期货基差之非线性动态调整特性研究  

The Nonlinear Dynamic Adjustment Characteristic of Copper Futures Basis of SHFE

作　　者：易蓉[1,2] 周学军[2] 张松[1] 陆凤彬[3] 

机构地区：[1]中国科学院研究生院管理学院,北京100190 [2]华东交通大学经济管理学院,南昌330013 [3]中国科学院数学与系统科学研究院,北京100190

出　　处：《管理评论》2008年第10期3-7,共5页Management Review

摘　　要：本文采用平滑转换自回归模型分析基差变动的机制转换特性,实证分析并验证了沪铜近月合约期货的基差变动具有非线性平滑转换机制,实证过程还反映了基差序列具有残差异方差性,故而本文将模型延伸为STAR-EGARCH。分析结果表明:沪铜期货基差具有非线性平滑转换特性;基差在无套利区间内外都具有均值返还特性,但区间内返还速度比区间外的慢;基差变动具有偏离不对称性,不存在波动不对称性;均值返还的市场反应时间为2天。This paper describes the regime switching characteristics in basis series by STAR model. The empirical research indicates that Shanghai copper futures basis has obvious characteristics of nonlinear smooth transition regime, and that the basis series has heterokedasticityt. Therefore, this paper applies STAR-EGARCH instead of STAR. Nonlinear dynamic analysis concludes that, Shanghai copper futures basis has the property of nonlinear smooth transition; there are different performance in different intervals and mean reversion characteristic appear both inside and outside the interval, though speed of the inner is Significantly slower than the outer; the deviation of Basis is asymmetric, but volatility isn't asymmetric; and the market mean reversion takes two days.

关 键 词：基差 非线性 STAR EGARCH 

分 类 号：F724.5[经济管理—产业经济] F224