国内外稀有金属市场间信息溢出效应的实证研究——基于均值、方差和风险Granger因果关系

Information Spillover Effect of Rare Metal Markets at Home and Abroad：An Empirical Study Based on Granger Causality in Mean,Variance and Risk

对稀有金属市场内、市场间的信息溢出效应的研究,不仅有助于揭示市场信息的跨产品、跨国传播机制特别是国际金融风险的传导机制,还可以增进人们对稀有金属市场微观结构和信息效率的认识。本文运用信息溢出检验方法（Hong方法）详细分析了我国稀有金属现货市场内各品种间的信息溢出效应及国内外稀有金属现货市场间的信息溢出效应。研究结果表明：我国稀有金属交易市场已具备一定的信息溢出能力,其中,稀有金属钨处于主导地位,具有信息先导的作用。与国际稀有金属市场相比,我国稀有金属市场处于弱势地位,但信息溢出效应逐渐显现。

The study of information spillover effect in or between rare metal markets is very valuable to reveal the information transmission mechanism which crosses the products and countries,especially for the financial risk; and it helps people gain deep insight into market microstructure and informational efficiency in rare metal market. This paper used the unified information spillover testing procedures to investigate the information spillover effect in or between rare metal spot markets. The results show that Chinese rare metal market has had the ability of information spillover,and Wolfram plays information guiding role. Compared with the international rare metal market,although Chinese rare metal market is in a vulnerable position,it＇s information spillover effect has gradually revealed.