上海与伦敦期铜市场风险变异性实证研究

Empirical Analysis on the Risk Characteristics in the Futures Copper Market between Shanghai and London

波动群聚效应和杠杆效应是资本市场风险变异性的两个重要特征。选取1997—07～2004—11上海期货交易所和伦敦金属交易所3个月期铜的日收益时间序列，利用相关模型分别对两时间序列的波动群聚效应和杠杆效应进行实证分析。结果表明：从整体来看，上海期铜市场收益波动不具杠杆效应，而伦敦期铜市场具有显著的杠杆效应；并且，上海期铜市场的风险特征发生重大变化，具有明显的波动群聚效应，但分阶段呈现杠杆效应。

Volatility clustering and leverage effect are two important risk features in the capital market. Using daily futures copper return from January 1998 to November 2004, we compare the volatility clustering and leverage effect between Shanghai Futures Exchange and London Mental Exchange. The results show that in contrast to London Mental Exchange＇s copper, there is no leverage effect in Shanghai Futures Exchange during the whole period. Furthermore, leverage effect emerges only after January 2001, while volatility clustering has existed over the whole period in Shanghai Future Markets.