市场情绪、动力煤期货价格和现货价格相关性研究——基于MSVAR-Full BEKK-GARCH模型的实证分析  

Market Sentiment,Futures Price and Spot Price of Steam Coal Empirical Research Based on the Model of MSVAR-Full BEKK-GARCH

作　　者：刘林[1] 杨文静[1] 

机构地区：[1]太原理工大学经济管理学院

出　　处：《价格理论与实践》2016年第3期109-112,共4页Price:Theory & Practice

基　　金：山西省高校哲学社会科学项目(2014220);太原理工大学引进人才项目(t yut-rc201263a);太原理工大学校基金(2013Z012);2015年山西省优秀青年学术带头人项目(154010149-s)

摘　　要：本文利用我国2013年9月26日至2015年12月31日的日数据,考虑到变量间可能存在非线性关系,构建三元MSVAR-Full BEKK-GARCH模型对市场情绪、动力煤期货价格和现货价格之间的均值溢出及波动溢出效应进行实证研究。研究结果表明:(1)存在动力煤期货价格对现货价格的均值溢出效应,表明动力煤期货在一定程度上具有价格发现功能;(2)动力煤现货和期货价格对市场情绪具有单向均值溢出效应,但市场情绪不会对动力煤期货和现货价格产生影响,且所有变量间均不存在双向均值溢出效应;(3)市场情绪、动力煤期货价格和现货价格具有显著的波动集聚性,且变量间存在双向波动溢出效应。最后,根据本文结论提出了相关政策建议。Using the daily data from September 26, 2013 to December 31, 2015, this paper constructs a tri-variate MSVAR-Full BEKK-GARCH model to investigate the mean and volatility spillover effects among market emotions, futures price and spot price of steam coal. The results show that,（1）there is uni-directional mean spillovers from futures price to spot price, which indicates that steam coal futures has price discovery function to some extent;（2）there are uni-directional mean spillovers from present price and future price to market sentiment. However, there aren’t bi-directional mean spillovers among three variables;（3） there are strong volatility clustering and persistence, and significantly bi-directional volatility spillover effects among market sentiment, futures price and spot price of steam coal. At the end of this paper, we propose some policy suggestions.

关 键 词：动力煤 市场情绪 动力煤期货 动力煤现货 

分 类 号：F426.21[经济管理—产业经济] F764.1F724.5