重大风险事件对中国商品期货市场的冲击效应——基于学生分布的随机波动模型  

Impacts of Major Risk Events on Commodity Futures Markets in China

作　　者：刘庆富[1] 华仁海[2] 

机构地区：[1]复旦大学金融研究院 [2]南京财经大学金融学院

出　　处：《数量经济技术经济研究》2012年第5期89-103,共15页Journal of Quantitative & Technological Economics

基　　金：教育部人文社会科学规划项目(09YJC790044);国家自然科学基金项目(71073026;70873055);上海市哲学社会科学规划项目(2010BJB015)的资助

摘　　要：为检验重大风险事件对我国商品期货市场的冲击效应,本文在构建基于重大风险事件的随机波动模型的基础上,运用贝叶斯MCMC推断技术对中国商品期货市场进行了实证研究。实证结果表明:经济事件、政治事件和自然灾害对中国商品期货市场的收益和波动均存在显著的冲击,并且,"利好事件"和"利空事件"对收益和波动的影响均具有显著的不对称特征;相对而言,各类事件对期货市场影响的显著性、程度和方向既存在一定共性,也具有个体差异。In order to test the impacts of major risk events on Chinese commod- ity futures markets, this paper gives the stochastic volatility models with major risk events. Based on these methods, Chinese commodity futures markets are investiga- ted using Bayesian Markov Chain Monte Carlo. Findings show that there are sub- stantial evidences that economic, political and natural risk events have prominent impacts on returns and volatility in the commodity futures markets. Moreover, there all exist asymmetric leverage effects from the impact of ＂good events＂ and ＂bad event＂ on returns and volatility in commodity futures markets. In more de- tails, there are a certain extent commonness and individuality differentia of the sig- nificance level, degree and direction from impact of major economic events, political events and natural disaster events on commodity futures markets in China.

关 键 词：重大风险事件 商品期货市场 随机波动模型 贝叶斯MCMC 

分 类 号：F830[经济管理—金融学]