有色金属价格影响力及波动性风险传导研究  

An Empirical Research on Price Influence and Transmission of Volatility Risk of Non-ferrous Metals

作　　者：高辉 高天辰 高文玉 GAO Hui;GAO Tianchen;GAO Wenyu(Shanghai Futures Exchange,Shanghai 200122,China;University of Sydney,Sydney NSW 2050,Australia;School of Management,HeFei University of Technology,Hefei 230009,China)

机构地区：[1]上海期货交易所,上海200122 [2]悉尼大学,悉尼NSW 2050 [3]合肥工业大学管理学院,合肥230009

出　　处：《中国证券期货》2025年第1期16-30,共15页Securities & Futures of China

摘　　要：本文采用协整相关理论及GARCH类模型方法,对上海期货交易所上市的有色金属铜、铝、锌、铅、镍、锡期货价格发现功能及其影响力、国际定价能力和波动性风险传导进行实证研究。研究发现:国内六种有色金属期货价格具有较强的价格发现功能;国内有色金属期货铜、铝、锌具有较强的国际定价影响力,铅、镍、锡较弱;国内外有色金属期货之间存在显著的长期同向变动关系;LME有色金属(铜、铝、锌、镍)期货市场长期价格收益率强于国内;国内外有色金属期货价格收益率之间存在长期的协整趋势且收益的风险溢价存在差异;国内外有色金属期货市场均存在强弱不同的杠杆效应,国外市场的风险要大于国内,跨市套利存在较大的风险;国内外有色金属期货市场的波动性风险之间均具有较强的相互影响,风险传导具有明显的非对称性;国内外有色金属期货市场溢出效应存在非对称性,除了铝、铅外,国内铜、锌、镍、锡期货市场对国外的溢出效应强于国外对国内的。建议推动国内有色金属期货市场国际化发展、丰富国内有色金属期货期权品种、建立并完善国内有色金属期货市场基础体系、加强有色金属期货市场风险监管等,进一步推动国内有色金属期货市场高水平的发展。This paper uses the cointegration correlation theory and GARCH model method to conduct an empirical study on the price discovery function and influence of non-ferrous metals listed on the Shanghai Futures Exchange,as well as the international pricing power and volatility risk transmission.It is found that the futures prices of six non-ferrous metals in China have a strong price discovery function.Domestic non-ferrous metal futures copper,aluminum,and zinc have strong international pricing influence,while lead,nickel,and tin are weak.There is a significant long-term co-directional change relationship between domestic and foreign non-ferrous metal futures.The long-term price yield of non-ferrous metals(copper,aluminum,zinc,nickel)LME futures market is stronger than that of China.There is a long-term cointegration trend between domestic and foreign non-ferrous metal futures prices and yields,and there are differences in the risk premium of returns.There are different leverage effects in the domestic and foreign non-ferrous metal futures markets,and the risk in the foreign market is greater than that in the domestic market,and there is a greater risk in cross-market arbitrage.There is a strong mutual influence between the volatility risks of the domestic and foreign non-ferrous metal futures markets,and the risk transmission has obvious asymmetry.There is asymmetry in the spillover effect of domestic and foreign non-ferrous metal futures markets,except for aluminum and lead,the spillover effect of domestic copper,zinc,nickel and tin futures markets to foreign countries is stronger than that of foreign countries to domestic.It is recommended to promote the international development of the domestic non-ferrous metal futures market,enrich the varieties of domestic non-ferrous metal futures and options,establish and improve the basic construction of the domestic non-ferrous metal futures market,and strengthen the risk supervision of the non-ferrous metal futures market,so as to further promote the high-level development

关 键 词：有色金属 协整检验 误差修正模型 GARCH模型 非对称性 

分 类 号：F724.5[经济管理—产业经济] F764.2[理学—概率论与数理统计] O212.1[理学—数学]