摘要
利用DSEM与含有交易行为变量的VAR引导关系模型,本文分别对我国期货市场与现货市场之间的价格引导关系、波动性引导关系进行了实证研究。研究结果表明:铝、铜、橡胶和大豆期、现货价格之间均存在双向引导关系,但其期、现货价格之间的引导程度是不同的,总体而言,期货价格对现货价格均具有较强的引导作用,现货价格对期货价格的引导作用较弱;而小麦市场只存在期货价格对现货价格的引导关系。从期、现货市场之间的波动性关系而言,铝、铜、橡胶期、现货市场之间的波动性均存在双向引导关系,期货市场对现货市场的波动性引导作用均较强;大豆市场仅存在期货市场波动性对现货市场的单向引导作用;而小麦期、现货市场之间的波动性不存在任何引导关系。同时,本文从市场信息角度,系统研究了交易量和空盘量对期、现货市场的波动性的影响。
The article empirically measures Lead relation about price and volatility in the Spot-Futures Markets in China with DSEM （Dynamic Simultaneous Equation Models） and VAR Guidance Relation Model including trade behaviors Variable. The empirical results show that there are hi-directional lead relation between spot-futures price of aluminum, copper, wheat, rubber and Soybean. But there is different price lead degree in spot-futures market. In a word, the futures market is more dominant than the spot market. Moreover there is only wheat＇s futures market leading wheat＇s spot market. In terms of Volatility, there are bi-directional lead relation in Spot-futures of Aluminum, Copper and Rubber, and futures market volatility lead effect to the spot market more than vice versa. In addition, soybean market is only futures market Unitary Volatility lead effect to the spot market, there is no volatility lead relation in wheat＇s spot-futures market. Meanwhile, the article Systematically Studied the Volatility effect on trading Volume and empty volume to spot-futures market in view of market information.
出处
《南方经济》
北大核心
2006年第6期38-47,共10页
South China Journal of Economics
