中国商品期货市场的假日效应研究——基于收益和波动的视角

Holiday Effect of Chinese Commodity Futures Markets: Based on Returns and Volatility Viewpoints

为研究中国商品期货市场假日效应的存在性及其特征,本文从收益和波动出发,在构建学生分布随机波动模型的基础上采用贝叶斯MCMC模拟技术对中国铜、铝、橡胶、大豆、豆粕和小麦期货市场的假日效应进行了实证分析,研究结果显示:假日前和假日后信息对商品期货交易收益及其波动均具有显著的影响,对不同交易品种而言,其影响方向及影响程度均存在一定差异;更具体地,对各类假日分别进行分析发现,元旦、春节、劳动节和国庆节的假日前和假日后信息对商品期货收益及其波动均具有显著的影响,且比分类之前假日前和假日后信息的影响能力明显增强,其个性特征也更加突出。

For investigating the existence and characteristics of the holiday effects in Chinese commodity future market,this paper gives the stochastic volatility models based on student distribution from returns and volatility viewpoint.Then,the empirical analyses are given for copper,aluminum,rubber,soybean,soybean meal and wheat futures markets using Bayesian Markov Chain Monte Carlo（MCMC） estimation techniques.The results show that there are substantial impacts of pre-and post-holiday information on commodity futures returns and volatility.Moreover,the aspects and degrees of effects have a certain extent difference for the different futures contracts.Furthermore,we find that there are very prominent effect in New Year＇s Day,Spring Festival,Labor Day,and National Day for futures returns and volatility,which are evidently stronger than the pre-and post-holiday information respectively,and their individual characteristics become stronger for each futures contract.