市场情绪、玉米期货价格和现货价格相关性分析——基于MSVAR-Full BEKK-GARCH模型的实证研究  

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

作　　者：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》2017年第2期127-130,共4页Price:Theory & Practice

摘　　要：本文对市场情绪、玉米期货价格和现货价格相关性进行分析研究,研究发现:(1)玉米现货价格和期货价格、玉米期货价格和市场情绪间存在双向均值溢出效应;市场情绪对玉米现货价格具有单向均值溢出效应;(2)市场情绪、玉米现货价格和玉米期货价格均呈现显著的波动集聚性,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 monthly data from January, 2009 to December, 2016, this paper establishes MSVAR-Full BEKK-GARCH model to study the mean and volatility spillover ef- fects among market sentiment, futures price and spot price of corn from the perspec- tive of nonlinearity. Our study shows that, （1）there are bi-directional mean spillovers effects between futures price and spot price of corn and market sentiment and futures price of corn, （2）there is uni-directional mean spillover effects from market sentiment to spot price of corn. （3）there are strong volatility clustering and significantly bi-directional volatility spillover effects among market sentiment, fu- ture price and spot price of corn. At the end of this paper, we propose some policy recommendations.

关 键 词：市场情绪 玉米期货 玉米现货 

分 类 号：F724.5[经济管理—产业经济] F323.7