市场情绪与小麦期货、现货价格相关性研究——基于MSVAR模型的实证分析  

On the Correlation between Market Emotion and Wheat Forward and Spot Price——An Empirical Analysis based on MSVAR Model

作　　者：廖宜静[1] 王凡 Liao Yijing;Wang Fan(School of Economics and Management,Anhui Agricultural University,Hefei,230000,China)

机构地区：[1]安徽农业大学经济管理学院,安徽合肥230000

出　　处：《黑河学院学报》2023年第2期34-37,共4页Journal of Heihe University

基　　金：2019年度安徽高校人文社会科学研究重点项目“期货市场服务乡村振兴的模式创新研究”(SK2019A0131)。

摘　　要：选取2016年1月—2019年12月小麦期货、现货价格以及期货成交量三种数据,在201个样本基础上构建马尔科夫区制转换模型(MSVAR),运用脉冲响应函数,分别讨论在各个区制下小麦期货、现货价格和市场情绪三者之间的关系。经实证分析发现:小麦的市场情绪、期货和现货价格三者之间存在相互促进作用,且期货、现货价格双向均值溢出,市场情绪与期货、现货价格单向均值溢出。根据上述发现,为促进小麦市场平稳有序发展提出建议。By selecting three kinds of data from January 2016 to December 2019 regarding wheat forward price, wheat spot price and wheat forward trading volume, a total of 201 samples were selected to construct the Markov region system conversion model(MSVAR). The study aims to find out the relationship among wheat forward price, spot price and market sentiment in each region system with the help of the impulse response function. Through the empirical analysis, the findings go as the following: the market sentiment, forward price and spot price of wheat are mutually reinforcing;the two-way mean of forward price and spot price gets overflowing;the market sentiment overflows with the one-way mean of forward price and spot price. Therefore, some suggestions are put forward for promoting the rapid development of wheat market.

关 键 词：市场情绪 小麦期货价格 小麦现货价格 MSVAR模型 

分 类 号：F830.91[经济管理—金融学]