市场情绪与铅期货价格、现货价格的相关性研究:基于MSVAR模型的实证分析  

Research on the correlation between market sentiment,lead futures price and spot price:an empirical analysis based on MSVAR model

作　　者：范莉莉 李竹梅[1] FAN Lili;LI Zhumei(School of Economics and Management,Taiyuan University of Technology,Taiyuan 030024,China)

机构地区：[1]太原理工大学经济管理学院,山西太原030024

出　　处：《中国矿业》2020年第4期38-44,共7页China Mining Magazine

基　　金：山西软科学基金资助项目“山西省企业高管薪酬、竞争战略与企业价值协整及对策研究”资助(编号:2016041016-1);“山西省高新技术企业财务柔性、研发投入与成长性研究”项目资助(编号:2018041052-6)。

摘　　要：随着经济增长和人们生活水平的提高,汽车成为了人们生活的必需品,这也导致环境问题日益突出。因此,电动汽车作为新能源汽车,是低碳经济发展的必然要求,也是汽车工业发展的方向。铅蓄电池作为电动汽车的重要组成部分,其价格变动所带来的影响不容忽视。本文选取2016年1月~2019年5月的沪铅期货价格、现货价格以及期货成交量数据,构建MSVAR模型,并利用脉冲响应函数,结合期货商品所具有的时间序列以及动态特征,实证分析了市场情绪与铅期货价格、现货价格的关系。研究发现:铅的现货价格、期货价格与市场情绪存在相互促进的关系;铅的现货价格与期货价格双向均值溢出,市场情绪对铅现货价格、期货价格单向均值溢出。最后根据结论,提出维持铅期货市场长久发展的建议。With the economic growth and the improvement of people s living standards,cars have become a necessity for people s lives and environmental problems have become increasingly prominent.Based on this,electric vehicles as new energy vehicles are an inevitable requirement for the development of a low-carbon economy and also the development of the automobile industry direction.As an important component of electric vehicles,the impact of price changes on lead batteries cannot be ignored.This paper selects the Shanghai lead futures price,spot price and futures volume data from January 2016 to May 2019,constructs the MSVAR model and uses the impulse response function to combine the time series and dynamic characteristics of futures commodities to empirically analyze the market.The relationship between sentiment and lead futures prices and spot prices.The study found that:market sentiment and lead futures prices,spot prices promote each other;lead futures prices and spot prices guide each other,market sentiment spills over the one-way average of lead futures and spot prices.Finally,based on the conclusions reached,the proposal to maintain the long-term development of the lead futures market is proposed.

关 键 词：市场情绪 铅 期货价格 现货价格 MSVAR模型 均值溢出 

分 类 号：F407.1[经济管理—产业经济]