中国与国际大豆期货市场波动溢出效应分析

Research on Volatility Spillover Effect Among Chinese and International Soybean Future Markets

文章采用多元GARCH(MGARCH)模型,研究中国、美国和日本大豆期货市场的相关性和波动溢出效应。结果表明:在样本研究期间,大连、芝加哥和东京大豆期货交易市场之间存在正相关,大连大豆期货市场与芝加哥大豆期货的相关性要小于东京谷物交易所大豆期货与芝加哥大豆期货的相关性;大连、芝加哥和东京大豆期货交易所存在双向的波动溢出效应;在三个市场中,大连大豆期货的新息冲击和自身波动溢出值最小,但在统计上不显著,可能与目前大连期货市场受管制和相对封闭等因素有关;三个大豆期货市场市场均不存在波动持续性。

By use of multi-GARCH（MGARCH） model, the paper analyzes correlations and volatility spillover among China, U.S and Japanese soybean future markets. The research indicates that there exists positive relationship and bilateral spillover effect among DCE （Dalian Commodity Exchange）, CBOT （Chicago Board of Trade） and TGE （Tokyo Grain Exchange）, but relationship extent between DCE and CBOT is smaller than that between TGE and CBOT. Among three markets , innovation shock is the smallest in DCE but is not significant statistically, which maybe related with market regulations and closure in DCE.There is no volatility persistence effect among three soybean future markets.