波罗的海干散货运价指数与上证综合指数相关性探究  

Study on the correlations between Baltic Dry Index and Shanghai Composite Index

作　　者：张永锋[1,2] 赵刚[1,2] 陈继红[1,2] 

机构地区：[1]上海海事大学交通运输学院 [2]上海国际航运研究中心

出　　处：《价格理论与实践》2016年第9期120-123,共4页Price:Theory & Practice

基　　金：国家自然科学基金项目(51409157);上海高校知识服务平台建设项目资助(编号:ZF1209)

摘　　要：研究波罗的海干散货指数与上证综指的联动关系,对于更好地分析全球大宗货物贸易与实体经济、资本市场之间的相关关系,以及研究相互影响和未来市场走势都具有重要积极意义。本文搜集了1991年1月至2016年5月波罗的海干散货指数BDI指数与上证综指SCI;建立GARCH模型,评估大宗货物贸易与资本市场之间的溢出效应及其相关性的影响程度。根据研究结论,发现二者相互影响的规律,并提出未来大宗货物贸易与资本市场预测的相关政策建议。Study on the correlations between Baltic Dry Index and Shanghai Composite Index, is important and positive significance to inquiry the linkage mechanism and reflect the relationship between the international bulk market andreal economy, the finance market, also helpful to judge the market trend.The paper collects the daily data of the BDI and SCIfrom January 1991 to June 2015.Set up the GARCH model to verify the spillover effect and the influence degree of the correlations to the BDI and SCI. Based on the results of the study, this paper is planning to find the influence regularity of the both, and propose the suggestions to the future development and the trend of the bulkcommodity trading.

关 键 词：波罗的海干散指数 上证综指 大宗商品贸易 

分 类 号：F713.35[经济管理—产业经济] F551F832.51