中国期货价格的时变跳跃性及对现货价格影响的研究  

Time-varying Jump Behaviors of China's Futures Price and the Impacts of Jumps on Spot Prices

作　　者：赵华[1] 王一鸣[2] 

机构地区：[1]厦门大学经济学院,厦门361005 [2]北京大学经济学院,北京100871

出　　处：《金融研究》2011年第1期195-206,共12页Journal of Financial Research

基　　金：教育部人文社会科学基金项目(08JC790089);中国博士后科学基金项目(20090450006);中央高校基本科研业务费专项资金资助(2010221055)

摘　　要：期货价格受到异常消息的影响会发生跳跃行为,本文通过构建ARMAJI-GARCH模型刻画了我国金属期货的自相关性、条件异方差性以及动态跳跃性,并分析其跳跃行为对现货市场的影响。经研究表明,期货价格具有时变跳跃特征,铜期货的跳跃强度受到滞后一期跳跃强度的显著影响,铝期货的跳跃强度不仅受到自身滞后的影响,还受到跳跃强度残差的影响;当期和滞后一期的期货跳跃强度均对现货的收益率和波动性形成影响,期货价格的跳跃行为起到价格发现的作用。Futures prices display jump behaviors because of the impacts of the unusual news, so that the paper establishes autoregressive moving average jump intensity GARCH model to describe the autocorrelation, conditional heteroskadasticity, and conditional jump of China＇s metals futures, and then analyzes the impacts of the jump on the spot markets. The results show that the dynamic jump intensity model comprehensively captures the autocorrelation, conditional heteroskedasticity, as well as conditions jump, of China＇s metal futures. Futures prices show time-varying jump characteristics where the jump intensity of the copper futures is affected significantly by first-lag jump intensity, and the jump intensity of the aluminum futures is affected significantly by its own lag and the jump intensity residuals. Moreover, current and first-lag futures jump intensity has an effect on return and volatility of spot market. Jump behavior of futures price plays a role in price discovery, and affects hedge.

关 键 词：ARMAJI—GARCH 跳跃强度 期货价格 套期保值 

分 类 号：F224[经济管理—国民经济] F724.5