中美棉花期货价格对比及溢出效应研究——基于ARCH模型分析

Cotton Future Prices of China and The United States Contrast and Spillover Effect Analysis Based on ARCH Model

本文基于2007年9月至2016年11月中美两国棉花期货价格数据,运用自回归条件异方差ARCH模型及其扩展模型对中美棉花期货价格及收益率波动进行实证研究。结果表明:中国与美国棉花期货收益率都存在"尖峰厚尾"分布,表现出集聚特征;中国与美国棉花期货价格的波动趋势不平稳。随着风险的增加,两国收益率均出现下降趋势;两国棉花期货收益率序列均存在非对称性特征,美国市场对中国市场的溢出效应影响要大于中国市场对美国市场的影响。本文在此研究结果基础上认为:对两国价格波动性特征和溢出效应的研究,可以有效地预测未来国内棉花价格波动趋势,引导棉花投资主体合理投资,降低风险,从而不断完善我国棉花期货交易制度。

Based on the cotton future price data of China and the United States from September 2007 to November 2016, this paper uses autoregressive conditional heterosked- ity ARCH model and its extended model to study the fluctuation of cotton future price and yield in China and the United States. The results show that there are ＂spikes and thick tail＂distribution of cotton futures in China and the United States, showing agglomeration characteristics. The fluctuation trend of cotton futures market in China and the United States is not stable;with the increasing risk, the rate of return of both countries decreases;The impact of the US market on the spillover effect of the Chinese market is greater than that of the Chinese market on the US market. Based on the results of this study, this paper studies the price fluctuation characteristics and spillover effects of the two countries, which can effectively predict the future trend of cotton price fluctuation and guide the reasonable investment of cotton investment to reduce the risk, so as to improve the cotton future market in China.