沪铜期货价格波动性对沪铜期货定价的影响研究

A Study of the Impact of Copper Futures Price Volatility on the Pricing of Shanghai Copper Futures in China

基于期货定价理论、波动性理论、协整理论和GARCH模型,以上海期货交易所的铜期货合约为研究对象,用沪铜连续合约价格反映我国沪铜期货市场价格水平,用沪铜连续合约价格的GARCH序列和沪铜连三合约价格的GARCH序列反映我国沪铜期货市场价格的波动率,用长江有色铜的现货价格反映我国的铜现货价格,用长江有色铜现货价格的GARCH序列反映我国铜现货市场的价格波动率进行实证研究。研究结论表明沪铜期货价格的波动是我国沪铜期货价格形成的重要因素,铜现货价格也是我国沪铜期货价格形成的重要因素。

Based on Futures Pricing Theory,co-integration theory and GARCH models which reflect the price of copper futures continuous contract,copper futures continuous contract price GRACH sequences which reflect Shanghai copper futures market price volatility,the Yangtze river nonferrous copper spot price GARCH series that reflect the copper spot market price volatility,and the Yangtze river nonferrous copper spot price that reflect the copper spot price level in our country.Results show that the volatility of futures price of the same or a related commodity is an important factor for the formation of Shanghai copper futures in our country.And copper spot price also plays an important role in the tendency of Shanghai copper futures prices in our country.