市场情绪、棉花期货价格和现货价格的相关性研究——基于MSVAR模型的实证检验  

Market sentiment, cotton futures price and spot price——empirical research on the model of MSVAR

作　　者：郭少红 董玲[1] 李达 王子昊 GUO Shao-hong;DONG Ling;LI Da;WANG Zi-hao(School of Econnomics and Management,Taiyuan University of Technology,Jinzhong 030600,Shanxi,China;School of Econnomics and Management,Nanchang University,Nanchang 330031,Jiangxi,China)

机构地区：[1]太原理工大学经济管理学院,山西晋中030600 [2]南昌大学经济管理学院,江西南昌330031

出　　处：《粮食与油脂》2019年第6期97-100,共4页Cereals & Oils

摘　　要：选取2015年5月至2018年4月的相关数据,从非线性的角度实证检验了市场情绪、棉花期货价格和棉花现货价格之间的相关关系。分析结果表明:棉花市场存在低迷、平稳及高涨3种状态;在3种状态下,棉花期货价格与市场情绪相互产生正向效应,市场情绪对现货价格产生正向效应;现货价格在市场低迷和高涨状态下对市场情绪产生负向效应;棉花现货和期货价格间存在均值溢出效应。根据分析结果,最后对稳定棉花市场提出了相关建议。Based on the data from May 2015 to April 2018,the correlation among market sentiment,cotton futures price and spot price of cotton were reri fied from a non-linear point of view.The results showed that there were three states in cotton market:depression,stability and rise;in these three states,cotton futures price and market sentiment had positive effects on each other,market sentiment had positive effects on spot price;spot price had negative effects on market sentiment in the state of market depression and rise;and cotton cash price had negative effects on market sentiment.Mean spillover effect existed between cotton cash and futures prices.According to the analysis results,some suggestions on stabilizing the cotton market were put forward.

关 键 词：棉花期货价格 棉花现货价格 市场情绪 价格发现 均值溢出 

分 类 号：F323.7[经济管理—产业经济]