我国期货市场收益波动性分析——以铜合约为例

An Analysis of Reward Volatility of Futures Market in China——Take Copper Contract As An Example

近年来随着我国期货市场的迅猛发展,期货产品收益和风险的特征理当引起我们更大的关注。本文分析了三年来上海期货交易所十月铜合约的收益序列,发现三个序列有厚尾特征,其中两个存在集群性,对其建立了ARCH模型。进一步运用ARCH-M和EGARCH模型检验发现序列期望收益与风险没有关联,且不存在杠杆效应,这在某种程度上说明了我国期货市场发育程度还比较落后,且需要在交易制度层面作出进一步完善。

In recent years futures markets in China have developed in a very rapid pace, and we should give more attention to the reward and risk charctistics of futures, In this article the author analyzed the reward series of copper futures contract in shanghai futures exchange and found the characteristics of thick tail existed in three series, two of which is clustered. In the further research, ARCH-M and EGARCH models have been employed to investigate the correlation between the reward and risks of series. The results indicate there is no apparent linkage between expecting reward and risks, and so-called effect of leverage is not existed. It shows that the futures market in China is still very inferior, and further improvement should be made in the trading systems.