中国大宗商品价格与龙头企业股价的联动关系——来自期货波动溢出的收敛加速效应  

An Investigation into the Interdependence of Chinese Commodity Prices and Leading Enterprise Stock Prices——Analyzing the Convergence Acceleration Effect Arising from Futures Volatility Spillover

作　　者：李正强 金缦 LI Zhengqiang;JIN Man(School of International Trade and Economics,University of International Business and Economics,Beijing,100029;Department of Economics and Law,Chaohu University,Hefei,Anhui,238024)

机构地区：[1]对外经济贸易大学国际经济贸易学院,北京100029 [2]巢湖学院经济与法学学院,安徽合肥238024

出　　处：《国际商务（对外经济贸易大学学报）》2024年第3期95-115,共21页INTERNATIONAL BUSINESS

基　　金：中国证券监督管理委员会一般项目“资本市场支持碳达峰、碳中和的挑战和对策”(20210108);巢湖学院一般项目“ESG带来的金融科技创新对资本定价的机制和路径优化研究”(KYQD-2023034)。

摘　　要：本文通过对中国大宗商品期货市场、现货市场和相关龙头企业股票市场2012—2021年波动聚集效应的实证研究,发现在控制宏观经济因素下,现货市场的价格波动在统计意义上不存在对期货市场和股票市场的传导,而期货市场价格的波动会单向传导至上游和下游龙头企业的股票市场,形成短期信息价值,并通过波动聚集,加速商品价格的收敛。通过特殊事件的断点检验,研究发现在国际现货和(或)期货价格剧烈波动的情况下,期货工具的使用会显著产生波动聚集,加速商品价格对市场冲击的收敛速度,降低大宗商品价格波动对龙头企业长期经营的影响。本文研究结论为有效发挥期货市场的避险功能提供了理论支持。This paper usesd the mixed dynamic conditional correlation coefficient model to analyze the spillover and time-varying volatility spillover effect between China's commodity futures and stock return related to A-list leading enterprises between 2012 and 2021.It finds that there is no dynamic comovement between commodity price via futures and related upstream and downstream leading enterprises'stock return but futures prices have one-way dynamic spillover to commodity price and stock return.Through the special events according to sharp fluctuations in commodity prices in 2021,the paper finds that the use of hedging strategy will significantly generate volatility aggregation and reduce the impact of commodity price fluctuations on the long-term operation of leading enterprises.The conclusion of this paper provides a theoretical basis for hedging function effectively in terms of the futures market.

关 键 词：大宗商品价格波动 波动溢出效应 波动聚集 

分 类 号：F715.1[经济管理—产业经济] F713.56