中国大豆期货价格波动特征:基于中美贸易摩擦视角的ARCH类模型研究  

Volatility Characteristics of China′s Soybean Futures Price in the Context of Sino-US Trade Frictions:A Study Based on ARCH Models

作　　者：刘超[1,2] 杜佳容[1] 毛文倩 LIU Chao;DU Jiarong;MAO Wenqian(School of Economics, Hebei University,Baoding 071000,Hebei;Resource Utilization and Environmental Protection Research Center of Hebei University,Baoding 071000,Hebei)

机构地区：[1]河北大学经济学院,河北保定071000 [2]河北大学资源利用与环境保护研究中心,河北保定071000

出　　处：《河北农业大学学报（社会科学版）》2022年第3期120-128,共9页Journal of Hebei Agricultural University (SOCIAL SCIENCES)

基　　金：河北省青年拔尖人才项目:“大数据时代市场调查预测与人力资本积累”(编号:BJ2021086)。

摘　　要：中美贸易摩擦升级给我国大豆产业的发展带来严峻挑战,大豆期货价格波动也愈发加剧,在此背景下研究我国大豆期货价格波动的特征,对于稳定我国大豆期货市场并及时调控市场风险具重要意义。选取2015年1月5日—2020年12月31日的我国大豆期货价格交易日数据,通过单位根平稳性检验、自相关检验和ARCH类模型,对我国大豆期货的波动特征进行研究后发现:中美贸易摩擦前后,我国大豆期货价格波动特征存在显著性差异;在这一时期内,我国大豆期货收益率具有尖峰、厚尾和明显的集簇性特征,并且二阶ARCH效应显著;大豆期货价格波动是非对称的,并且当期价格的上升给未来一期价格带来的影响要大于价格下跌所引发的波动;我国大豆期货市场不存在“高风险,高回报”特征。In the context of escalating Sino-US trade friction,China′s soybean industry development faces severe challenges,and futures price of soybean becomes more fluctuating.Therefore,it is crucial to study and analyze volatility characteristics of soybean futures price,to stabilize soybean futures market and to regulate market risks.This paper selected the trading day data of soybean futures price from January 5,2015 to December 31,2020 to analyze volatility characteristics of soybean futures in China through unit root stationarity test,autocorrelation test and ARCH models such as GARCH-M,TARCH,and EGARCH.The study found that before and after the Sino-US trade friction,there were significant differences in volatility characteristics of soybean futures price;during this period,soybean futures yields had sharp peaks,thick tails and obvious clustering characteristics,and the second-order ARCH effect was significant;Fluctuation soybean futures price was asymmetric,and the impact of current price increase on futures price was greater than the fluctuation caused by the price drop;soybean futures market in China did not have the characteristics of"high risk,high return".

关 键 词：中美贸易摩擦 大豆期货价格 收益率 波动特征 ARCH类模型 

分 类 号：F323.7[经济管理—产业经济]