Applications of nonferrous metal price volatility to prediction of China's stock market  

有色金属价格波动率对中国股票市场预测的应用(英文)

作　　者：彭叠峰[1] 王建新[1] 饶育蕾[1] 

机构地区：[1]中南大学金属资源战略研究院,长沙410083

出　　处：《Transactions of Nonferrous Metals Society of China》2014年第2期597-604,共8页中国有色金属学报（英文版）

基　　金：Project(71071166)supported by the National Natural Science Foundation of China

摘　　要：The aim of the present work is to examine whether the price volatility of nonferrous metal futures can be used to predict the aggregate stock market returns in China. During a sample period from January of 2004 to December of 2011, empirical results show that the price volatility of basic nonferrous metals is a good predictor of value-weighted stock portfolio at various horizons in both in-sample and out-of-sample regressions. The predictive power of metal copper volatility is greater than that of aluminum. The results are robust to alternative measurements of variables and econometric approaches. After controlling several well-known macro pricing variables, the predictive power of copper volatility declines but remains statistically significant. Since the predictability exists only during our sample period, we conjecture that the stock market predictability by metal price volatility is partly driven by commodity financialization.研究的主要目的在于检验有色金属期货价格波动是否能够预测中国股票市场收益。以2004年至2011年为样本区间,通过实证分析发现铜和铝的价格波动率均能较好地预测不同时间区间的股票收益,这种预测能力在样本内和样本外预测中均存在,其中铜价波动率比铝价波动率的预测能力更强。实证结果的稳健性并不受变量的不同测度以及计量经济学估计方法的影响。在多元回归分析中控制一些主要的宏观预测因子之后,铜价与铝价波动率的预测能力有所下降,但在不同的预测区间仍然表现出统计意义上的显著性。本结论成立依赖于所选取的研究样本区间,故此我们认为金属价格波动率对股市的预测能力可能由近期的商品金融化所导致。

关 键 词：commodity futures nonferrous metals price volatility stock return PREDICTABILITY 

分 类 号：F832.51[经济管理—金融学] F764.2