信息传递视角下山西省煤炭价格引导分析  

An Analysis of Guiding Role in Shanxi Coal Prices from the Perspective of Information

作　　者：景海霞[1] 寇明婷[1] 武毓涵 王团维 高鸿[4] 

机构地区：[1]山西大同大学商学院,山西大同037009 [2]上海财经大学金融学院,上海200433 [3]大同煤矿集团财务有限责任公司,山西大同037003 [4]中国人民银行大同市中心支行,山西大同037008

出　　处：《经济问题》2014年第7期113-117,共5页On Economic Problems

基　　金：教育部人文社会科学研究青年基金项目(13YJC790062);国家自然科学基金面上项目(71173088);山西大同大学博士科研启动项目(2012-B-29)

摘　　要：基于协整、Granger检验及向量自回归多元GARCH模型，实证研究与深入分析2006～2013年间山西省煤炭类股票市场对中部省域煤炭类股票市场及焦炭期货市场的价格引导与互动关联。研究发现，山西省煤炭类股票市场与中部省域煤炭类股票市场及焦炭期货市场之间存在低阶长期关联关系与高阶双向波动溢出关系；在中部省域煤炭股票板块中，山西煤炭类股票价格是中部省域煤炭类股票价格变动的Granger因果关系，且山西省煤炭类股票价格波动对河南省煤炭类股票未来价格的影响更显著；在煤炭类股票价格与焦炭期货合约之间，山西省煤炭类股票价格波动对未来焦炭期货合约价格的影响更为显著。上述实证结果表明，在相关金融市场资产价格互动关系中，山西省煤炭类股票价格表现出显著的引导作用。This paper applies the progressive quantitative analysis framework comprised of Cointegration, Granger test and MGARCH model, to make an empirical research and profound analysis of the price guidance and interactive relationship between Shanxi coal stock market and the central provincial coal stock market, and coke futures market during the period of 2006 -2013. The research finds that there is a strong relevancy between Shanxi coal stock market and the central provincial coal stock market, and coke futures market, which has a low order longterm equilibrium interaction and high order bidirectional volatility spillover effect; In the central provincial coal stock market, Shanxi coal stock prices are the Granger causality of the central provincial coal stock prices, and have a more significant effect on future price of Henan province coal stock market; Shanxi coal stock price fluctuation has a more significant impact on coke futures contract price between the two kinds of market. The empirical results show that Shanxi coal stock market plays a significant guiding role in the interaction of related assets price in the financial markets.

关 键 词：期货市场 股票市场 市场互动 多元GARCH模型 

分 类 号：F224.12[经济管理—国民经济]