传染病流行对我国商品期货市场收益和波动的冲击效应研究  

A Study of the Impact Effects of the Pandemic on the Earnings and Fluctuations of China Commodity Futures Markets

作　　者：尚悦 杨坤 陈晓丹[2] SHANG Yue;YANG Kun;CHEN Xiao-dan(School of Marxism,Yunnan University of Finance and Economics,Kunming 650221,China;School of Finance,Yunnan University of Finance and Economics,Kunming 650221,China;School of Economics and Management,Southeast University,Nanjing 211189,China;Research Center for Financial Complexity and Risk Management,Southeast University,Nanjing 211189,China)

机构地区：[1]云南财经大学马克思主义学院,云南昆明650221 [2]云南财经大学金融学院,云南昆明650221 [3]东南大学经济管理学院,江苏南京211189 [4]东南大学金融复杂性与风险管理研究中心,江苏南京211189

出　　处：《海南大学学报（人文社会科学版）》2021年第5期101-110,共10页Journal of Hainan University （Humanities & Social Sciences）

基　　金：教育部人文社科基金规划项目(18YJC790132,18XJA790002)。

摘　　要：始于2019年底的新冠肺炎疫情大流行对全球实体经济和金融市场产生了前所未有的巨大冲击,探讨传染病流行(特别是此次新冠疫情)对我国商品期货市场的定性和定量冲击效应,对于相关政策制定者和各类商品生产和需求企业来说无疑具有重要的理论和现实意义。本文运用非参数分位数因果关系检验,探讨了基于百度搜索指数的传染病流行关注度对我国商品期货总体和各主要分类市场的收益及波动的定性冲击作用。进一步,采用交叉分位数相关性方法,定量测度了不同传染病流行态势和期货市场状态下的上述定量冲击结果。实证表明,传染病流行对我国商品期货市场总体以及工业金属和纺织品期货市场具有显著的因果传导关系,且传染病流行态势对我国商品期货市场的收益和波动冲击具有明显的非对称复杂特征,且在此次新冠肺炎疫情之后该作用显著上升。同时,由于已有政策制度的优越性,如完善的农产品收储投放以及动态成品油调价机制等,使得我国农产品和能源期货市场受到传染病流行的冲击较小。The COVID-19 epidemic that broke out in late 2019 has made the unprecedentedly huge impact on the global real economy and financial markets. To expound the qualitative and quantitative impact effects of pandemics(especially the COVID-19 epidemic) on China commodity futures markets is of theoretical and practical significance for certain policy makers as well as various corporations with commodity production and needs. According to the public’s attention to the pandemic monitored by Baidu search index, the nonparametric causality-in-quantiles test is conducted to investigate the qualitative impact of the pandemic on the earnings and fluctuations of China commodity futures in the overall and leading classified markets.Furthermore, the cross-quantilogram approach is employed to measure these quantitative shocks under the different trends of infectious disease epidemics and the distinct conditions of futures markets. The empirical results show that the infectious disease epidemic has the significant causal correlations with China’s commodity futures markets, especially the markets of industrial metals and textiles, and these shocks present obvious asymmetric and complex characteristics. In particular, this kind of impact significantly worsens after this COVID-19 pandemic. In the meantime, China futures markets of agricultural products and energy are less affected by the epidemic due to the superiority of existing policies, such as the perfect mechanisms for the storage and distribution of agricultural products as well as the dynamic adjustment of refined oil price.

关 键 词：传染病流行 新冠肺炎疫情 商品期货 分位数因果 交叉分位数相关 

分 类 号：F830.9[经济管理—金融学]