白糖期货价格波动特征及联动效应分析  

Analysis of White Sugar Future Price's Fluctuation Characteristic and Linkage Effect

作　　者：袁庆禄[1,2] 

机构地区：[1]信阳师范学院经济与管理学院,河南信阳464000 [2]财政部财科所博士后流动站,北京100142

出　　处：《信阳师范学院学报（哲学社会科学版）》2011年第6期62-66,共5页Journal of Xinyang Normal University(Philosophy and Social Sciences Edition)

基　　金：河南省科技计划项目(102400450126);河南省教育厅人文社科项目(2011-ZX-099)

摘　　要：为揭示国内外糖类期货价格的波动性规律及关联关系,文章基于ZCE白糖期货和ICE原糖11期货的日收盘价数据,建立GARCH族模型,对郑糖指数和糖11指数的波动特征及联动效应进行比较分析。结果表明:郑糖指数和糖11指数均存在ARCH效应和非对称效应,利好消息比等量的利空消息产生更大的波动;郑糖指数和糖11指数之间存在单向联动效应,糖11指数的波动导致郑糖指数的波动。In order to reveal the fluctuation＇s law and the relationship of domestic and international sugar future price,basing on the closing price data of Zhengzhou Commodity Exchange＇s white sugar future and Intercontinental Exchange＇s sugar No.11 future,this paper establishes the family of GARCH models,and comparatively analyses the fluctuation characteristic and linkage effect of Zhengzhou white sugar future index and ICE sugar No.11 future index.The results show that,both Zhengzhou white sugar future index and ICE sugar No.11 future index have ARCH effect and asymmetry effect,and the fluctuation caused by good news is greater than that caused by comparable bad news;there is only one-way linkage effect from ICE sugar No.11 future index to Zhengzhou white sugar future index.

关 键 词：白糖期货 GARCH模型 波动特征 联动效应 

分 类 号：F830.9[经济管理—金融学]