新冠疫情冲击下中国有色金属期货市场效率分析  

Analysis of the Efficiency of China’s Nonferrous Metals Futures Market under the Impact of the COVID-19

作　　者：尹涛 黄双双 吴永强 高汉[1] 王一鸣[2,6] 袁先智 YIN Tao;HUANG Shuangshuang;WU Yongqiang;GAO Han;WANG Yiming;George YUAN(School of Business,East China University of Political Science and Law,Shanghai 201620,China;School of Economics,Peking University,Beijing 100871,China;Business School,Chengdu University,Chengdu 610106,China;College of Science,Chongqing University of Technology,Chongqing 400054,China;Business School,Sun Yat-sen University,Guangzhou 510275,China;Digital Finance Research Center,Yangtze River Delta Region Institute of Tsinghua University,Jiaxing 314107,China)

机构地区：[1]华东政法大学商学院,上海201620 [2]北京大学经济学院,北京100871 [3]成都大学商学院,成都610106 [4]重庆理工大学理学院,重庆400054 [5]中山大学管理学院,广州510275 [6]浙江清华长三角研究院数字金融研究中心,嘉兴314107

出　　处：《计量经济学报》2024年第3期858-878,共21页China Journal of Econometrics

摘　　要：由于全球新冠疫情的暴发,各国经济和金融市场受到了严重的冲击,而中国有色金属期货市场也不例外.因此,对于新冠疫情如何影响中国有色金属期货市场的研究,在我国期货市场的发展进程中具有重要的理论和实践意义.本文采用了MF-DFA和多重分形谱分析方法,通过对沪铜、沪铝、沪锌、沪铅四种有色金属期货价格数据进行分析,探讨了新冠疫情对这些市场效率的影响,并进一步分析了市场风险的变化情况.实证结果显示,除了沪铜期货外,沪铝、沪锌、沪铅三种有色金属期货受到新冠疫情冲击后,市场效率下降、市场风险加大.具体而言,沪铝期货市场效率下降最为明显,而沪铅期货价格波动最为剧烈,市场风险增加最多.此外,本文对新冠疫情前后原始时间序列进行重排和替代处理后发现,在疫情前,时间序列的长程相关性对四种金属期货市场低效性的贡献程度更大;而在疫情之后,时间序列的厚尾分布对沪铜期货市场出现低效性的作用程度更大.而对其他三种有色金属期货来说,时间序列的长程相关性依然是其造成市场低效性更加重要的原因.以上结论阐述了较大冲击因素对市场造成的影响特征,有助于我国有色金属期货市场的成熟稳定发展.Due to the outbreak of the global COVID-19 epidemic,the economies and financial markets of various countries have been severely impacted when the nonferrous metals futures market of China is also influenced.Therefore,the study of how the new coronavirus epidemic affects the nonferrous metals futures market of China has an important theoretical and practical value in the development of our country’s futures market.This article uses MF-DFA and multifractal spectrum analysis methods to analyze the price datas of four non-ferrous metal futures:Shanghai copper,Shanghai aluminum,Shanghai zinc,and Shanghai lead,and explores the impact of the COVID-19 epidemic on the efficiency of these markets,and further analyzes changes in market risk.Empirical results show that except Shanghai copper futures,the market efficiency of Shanghai aluminum,Shanghai zinc,and Shanghai lead non-ferrous metal futures had declined and market risks had increased after being affected by the COVID-19 epidemic.Specifically,the efficiency of the Shanghai aluminum futures market had dropped most significantly,while the price of Shanghai lead futures had been the most volatile,and market risks had increased the most.In addition,this article rearranges and substitutes the original time series before and after the COVID-19 epidemic and finds that the long-term correlation of the time series contributed more to the inefficiency of the four metal futures markets before the epidemic.While after the epidemic,time series the thick-tailed distribution of the series plays a greater role in the inefficiency of the Shanghai copper futures market.For the other three nonferrous metal futures,the long-term correlation of time series is still a more crucial reason for market inefficiency.The above conclusion illustrates the characteristics of the impact of major impact factors on the market.They also may be instrumental for the nonferrous metals futures market of our country turning to more mature and stable.

关 键 词：新冠疫情 MF-DFA 有色金属期货市场 多重分形 市场效率 

分 类 号：F724.5[经济管理—产业经济] F764.2