玉米期货价格收益率和波动性的实证研究——以中国大连与美国CBOT市场为例  

Empirical Study of Corn Futures Price Returns and Volatility——Case Study of Dalian,China and CBOT,USA

作　　者：赵进文[1] 高辉[2] 

机构地区：[1]东北财经大学金融学院,大连116025 [2]东北财经大学研究生院,大连116025

出　　处：《天津商业大学学报》2011年第1期8-12,共5页Journal of Tianjin University of Commerce

基　　金：国家自然科学基金项目(70873015);2008年度教育部回国人员科研启动金项目;2009年度东北财经大学社会与行为跨学科研究中心核心项目;2010年度辽宁省重点实验室项目(WS2010003);辽宁省教育厅2007年度创新项目计划(2007T030);2009年辽宁省百千万人才工程项目(2009921099)

摘　　要：采用协整模型、Granger因果关系检验、误差修正(EC)模型及几种GARCH模型对中国大连与美国CBOT的玉米期货价格及收益率和波动性进行了实证研究。分析发现:两市期货价格之间存在双向的Granger因果关系和显著的协整关系;两个市场之间存在显著的同向变动关系,存在长期的共同趋势;EC模型反映出两市的长期期货价格收益率没有显著差异,两市均受到对方市场期货价格收益率的影响,但短期波动过程则存在一定的差异。此外,通过建立GARCH类模型发现:两市在波动性的传导和影响上存在一定程度的非对称性;两市均存在溢出效应与一定的杠杆效应,大连玉米期货市场对CBOT玉米期货市场的溢出效应显著存在,而CBOT玉米期货市场对大连玉米期货市场的溢出效应不显著存在,市场的波动性对消息影响呈现一定程度的非对称性。由此可见,大连玉米期货价格已经具备了较强的国际定价功能。The paper makes an empirical analysis of corn futures priee returns and volatility in Dalian, China and CBOT, USA through Co-integration Model, Granger Causality Relation Testing, Error Correction Model and several GRACH Models. It flints that there is dual-directional Granger causality relation, prominent co-integrated relation, marked change in the same direction and long-term common trend between Dalian and CBOT＇ s futures prices. Error Correction Model shows that there is no maiked difference in the long-term futures price returns between the two markets; corn futures prices of one market have been affected by those of the other market; and there is definite difference in the short-term fluctuation process. In addition, several GARCH Models show that there is definite asymmetr7 in interaction arid influence of volatility between the two markets. There exist spillover effects and leverage effects on the two markets. Dalian eorn futures market has significant spillover effects on CBOT corn futures market while CBOT corn futures market has no significant spillover effeets on Dalian corn futures market. There exists some asymmetry in tire influenee of volatility on news. Hence, Dalian corn flltures price has some function of international pricing.

关 键 词：玉米期货价格 波动性 非对称性 协整 溢出效应 杠杆效应 

分 类 号：F831.5[经济管理—金融学] O212[理学—概率论与数理统计]