不同趋势下沪铜场内外风险传染实证——基于整体传染与时变传染的分析  

An Empirical Study of SHFE-CU Risk Contagion in ITC and OTC Markets during Different Trends

作　　者：周伟[1] 何建敏[1] 余德建[1] 

机构地区：[1]东南大学经济管理学院,江苏南京211189

出　　处：《管理工程学报》2013年第2期79-87,共9页Journal of Industrial Engineering and Engineering Management

基　　金：国家重点基础研究发展计划(973计划)资助项目(2010CB328104-02);国家自然科学基金资助项目(71071034);江苏省普通高校研究生科研创新计划资助项目(CXZZ-0183;0184);教育部博士研究生学术新人奖资助

摘　　要：考虑风险传染实际影响建立传染方程,结合均值和波动溢出构建了时变风险传染模型,并利用MCMC方法进行参数估计,理论上优于原有传染模型。利用沪铜、沪铝和伦铜三月连续数据,以及整体传染和时变风险传染模型进行实证,得出结论:在整体趋势与下降趋势中,沪铜场内外风险传染仅存在量的差异;在整体趋势与上升趋势中,沪铜对沪铝及伦铜的风险传染存在质的差异,该结论充分证实了分趋势进行风险传染研究的必要性。通过进一步的比较研究,发现沪铜场内外风险传染存在的三个突变期,即危机爆发后下降趋势形成期、下降趋势逆转期、两市场价格变动速度交替期,以上三个时期值得相关投资者与监管部门重点关注。The study is about risk contagion in different financial markets and has the potential of optimizing measurement and modeling financial price sequence and its volatility. The international financial markets have bigger and higher frequency of risks. We could effectively prevent and reduce the loss for contagion risks by researching contagion laws and identifying financial contagion risk factors. Therefore, this study about the financial contagion risk will have theoretical values and practical implications. In the first part, we study theoretical models about financial contagion and propose a new financial contagion model. Based on the existing researches and financial contagion practices, we propose a time-varying contagion model to compute the contagion risk in different financial markets, i. e. Contagion-MGARCH model, by combining mean spillover, volatility spillover and contagion equations. This new model could validly describe some features such as time-varying features, dynamic features and so on. Furthermore, MCMC estimation of parameters used in this new contagion model is also covered in this paper. Therefore, our proposed model is theoretically better than other contagion models. In the second part, we conduct some empirical studies using our new and old financial contagion models. Firstly, we use the whole contagion and time-varying contagion models to compute two kinds of risk contagion, and find that they are quantitatively different during the decreased trends, but materially different during the increased trend, which could reflect the necessity of conducting an empirical study of risk contagion in different trends. By computing and comparing the contagion diversity, we obtain three important periods about the risk contagion in the futures markets, including the formatted period of downward trend after some crisis, the reversed period after downward trend and the price speed＇s changed period in two markets. Of course, investors and regulators in these financial markets should put more attention

关 键 词：沪铜 整体风险传染 时变风险传染 

分 类 号：F803.91[经济管理]