沪铜期货与现货市场的价格发现与波动溢出效应  

Price Discovery and Volatility Spillovers Between Shanghai Copper Futures and Spot Market

作　　者：颜斌斌[1] 田立平[1] 刘洪伟[1] 

机构地区：[1]北京物资学院信息学院,北京101149

出　　处：《数学的实践与认识》2016年第2期114-120,共7页Mathematics in Practice and Theory

基　　金：国家自然科学基金(61571052);北京市高层次创新创业人才支持计划教学名师项目;北京物资学院高级别科研项目培育基金项目(GJB20141004)

摘　　要：运用了Granger因果检验、脉冲响应函数、VEC模型以及BEKK模型,对沪铜期货与现货市场的价格发现与波动溢出效应进行实证分析.实证结果表明:期货价格与现货价格存在着长期均衡关系和Granger双向引导关系,在价格发现中,期货市场占主导地位,且比现货市场有着更强的信息效应;期货市场与现货市场各自的波动持久性均显著,而两者间的交叉波动效应相对较小,但是现货市场来自期货市场的波动溢出效应大于期货市场来自现货市场的波动溢出效应.In this paper, empirical analysis of price discovery and volatility spillovers for Shanghai copper futures and spot marketadopted the Granger causality test, impulse re- sponse function, VEC model and BEKK model. The empirical results show that： there is a long-run equilibrium relationship and the two-way relationship guide Granger betweenthe spot price and the futures price. The futures market is dominatedin price discovery, and the futures market has a stronger information effect than spot market; Volatility lagging effects in the futures and spot markets persistence were significantly, and cross-wave effect is small, but the spot market volatility spillovers from the futures market is larger than the futures market volatility spiUovers from the spot market.

关 键 词：VEC模型 BEKK模型 价格发现 波动溢出效应 

分 类 号：F724.5[经济管理—产业经济] F764.2