上海伦敦铜期货市场风险的测度与传导效应研究  

Study on the Risk Contagion Effect of Copper Futures between Shanghai and London Futures Exchanges

作　　者：林宇[1] 魏宇[2] 高勇[2] 黄登仕[2] 

机构地区：[1]成都理工大学商学院,成都610059 [2]西南交通大学经济管理学院,成都610031

出　　处：《管理评论》2008年第11期3-9,63,共7页Management Review

基　　金：国家自然科学基金(70501025)

摘　　要：本文针对金融时间序列存在的部分典型事实,运用AR(1)-GJR(1,1)构造出铜期货条件损失的标准残差序列;针对标准残差序列近似满足i.i.d特征,运用EVT对其极值尾部建模,并测度出两个铜期货市场的动态风险;然后运用Back-Testing方法对风险测度模型进行准确性检验,最后运用Granger-Causality检验来分析铜期货市场动态风险的传导效应。实证研究结果表明,基于EVT的风险测度方法能有效测度上海伦敦铜期货市场动态风险;上海伦敦铜期货市场动态风险在1%的显著性水平下存在双向传导效应,但由伦敦向上海传递的强度大于反向强度。This paper uses AR (1)-GJR (1,1) to construct a standardized residuals series of conditional loss of copper futures daily price based on some stylized facts, and uses EVT model to model extreme tail and measure dynamic risk. Then it uses Back- testing to check the accuracy of our risk measurement model, and analyses contagion effect between Shanghai copper futures market and London copper futures market. The results show that our method can accurately measure dynamic risk of the two copper futures markets and there exists risk contagion effect in the two markets at 1% level.

关 键 词：极值理论 铜期货市场 动态风险 测度 传导效应 

分 类 号：F724.5[经济管理—产业经济] F713.35F224