摘要
本文通过对上海期货交易所的三个品种的涨跌停板制度进行检验,检验方法为:从收益率所拟和的ARMA模型中滤出残差,进行波动率的GARCH模型回归。波动率模型中加入了哑元变量来体现涨停板对后一日波动的影响。实证结果显示,铜、铝、天然橡胶的涨跌停板本应显著地使收益率的波动率减小的作用未检验出,相反却得到涨停板使三个品种显著波动率增大的检验结果。是否需要扩大涨跌停板,提高市场效率?检验结果带给我们如何使涨跌停板制度趋于合理化的思考。
With the yield of three tutures contract of SHFE, making use of GARCH model modified with dummy variables to show the price limits effect, the influence of price limits of SHFE on the volatility is tested. The result indicates that the price limits of Copper Cathode, Aluminum and Natural Rubber enlarge the volatility rather than narrow the yield volatility significantly in statistics. How to rationalize the price limits and to improve the efficiency of futures market is the question to rethink.
出处
《上海管理科学》
2007年第4期35-38,共4页
Shanghai Management Science
基金
国家自然科学基金
项目编号70471010
新世纪优秀人才支持计划
