市场情绪、豆油期货价格和现货价格的相关性研究——基于MSVAR模型的实证检验

Study on the correlation between market sentiment, soybean oil futures price and spot price-empirical research on the model of MSVAR

从非线性的角度实证检验了市场情绪、豆油期货价格和豆油现货价格之间的相关关系。结果表明:豆油期货价格与市场情绪相互产生正向响应;市场情绪对现货价格产生正向效应,现货价格对市场情绪产生负向效应;豆油现货和期货价格间存在均值溢出效应。最后提出了相关建议。

The correlation between market sentiment,the future price and spot price of soybean oil was tested empirically from a nonlinear perspective.The results showed that:Soybean oil future price and market sentiment had a positive response to each other;Market sentiment had a positive effect on spot price,spot price had a negative effect on market sentiment;And there was an mean spillover effect between spot and future price of oil.Finally,some suggestions were put forward.