摘要
本文将理性投机泡沫研究运用到商品市场,通过对便利收益的理论分析,构造商品市场超额收益,并采用持续期依赖方法对2004年2月至2008年7月上海金属铝市场的泡沫现象进行了实证检验。研究结果显示,在这段时期内,特别是自2006年下半年以来,商品铝市场存在投机泡沫。这表明我国商品市场的效率还不高,需要进一步完善现货交易制度,提高商品市场效率。
This article studies the rational speculative bubbles in commodity markets. By the theoretical analysis of convenience yield, we construct the abnormal returns. Using the duration dependence test on abnormal returns, we test the speculative bubbles in the metal aluminum market from February 2004 to July 2008. The results show that, during this period, especially since July 2006, there are speculative bubbles in the metal aluminum market. This indicates that the efficiency of China’s commodity markets is not sufficient. We should improve the efficiency of commodity markets by increasing the trading system.
出处
《管理评论》
CSSCI
北大核心
2010年第7期8-16,共9页
Management Review
关键词
投机泡沫
便利收益
超额收益
持续期依赖检验
speculative bubbles
convenience yield
abnormal return
duration dependence test
