新冠疫情背景下有色金属期货市场动态关系的时序分析  

Research on the Correlation and Causal Relationships of Metal Futures Under the Impact of the COVID-19

作　　者：刘剑锋 LIU Jianfeng(School of Finance,Zhejiang University of Finance and Economics,Hangzhou 300018,China)

机构地区：[1]浙江财经大学金融学院,杭州300018

出　　处：《中国证券期货》2025年第1期31-38,共8页Securities & Futures of China

摘　　要：本文旨在深入探究有色金属期货市场的动态关系,特别是在新冠疫情背景下的变化。通过分析不同金属期货间的相关性和因果关系,揭示了这些关系如何随时间尺度变化而变化,以及疫情如何影响这些动态。研究发现,在短期内,有色金属期货间呈现出显著的正相关性,而在中长期时间尺度内,相关性表现出正负混合的特征。疫情显著减少了金属期货指数间的整体因果关系数量,特别是在短期和长期时间尺度上,显著的因果关系数量有所下降。此外,疫情前,金属期货的因果关系主要为单向,且随着时间尺度的延长而发生反转;而疫情后,因果关系的方向性变得更加稳定,不再随时间尺度的变化而发生显著变动。这些发现为金属期货市场的投资者在风险管理和资产配置策略上提供了重要的指导。建议根据不同时间尺度的市场动态灵活调整投资策略,并在面对全球性事件如疫情时加强市场分析和风险评估。本文不仅提升了对有色金属期货市场复杂动态的理解,而且为未来在类似全球性危机下的市场行为研究提供了参考。This study aims to delve into the dynamics of the non-ferrous metal futures market,especially under the backdrop of the COVID-19 pandemic.By analyzing the correlations and causal relationships among different metal futures,the research reveals how these relationships vary with time scales and how they are impacted by the pandemic.Key findings include:significant positive correlation among metal futures in the short term,with a mix of both positive and negative correlations in the medium to long term;a marked reduction in the overall number of significant causal relationships among metal futures indices post-pandemic,especially in the short and long term;and pre-pandemic,primarily unidirectional causal relationships among metal futures,undergoing a reversal with the extension of the investment period.Post-pandemic,these relationships have become more stable in directionality,with fewer reversals as the investment period lengthens.These findings provide important guidance for investors in metal futures in terms of risk management and asset allocation strategies.It is advised that investment strategies be flexibly adjusted based on market dynamics at different time scales and that market analysis and risk assessment be intensified in the face of global events like the pandemic.This study not only enhances the understanding of the complex dynamics of the non-ferrous metal futures market but also lays the groundwork for future research on market behavior in similar global crises.

关 键 词：有色金属期货 小波相关性 非线性因果检验 

分 类 号：F83[经济管理—金融学]