摘要
苹果期货作为全球首个鲜果类期货品种,自其推出以来,为现货市场苹果价格提供了风向标。本文通过选取青岛和烟台的日价格数据以及36个主要城市的月度平均价格数据,采用向GARCH模型中增加虚拟变量的方法,研究了苹果期货推出后对不同现货地价格的影响;并通过TGARCH模型研究了三地的非对称效应。研究表明:苹果期货推出后对各现货地点的苹果价格的波动性影响存在一定的差异性;青岛和36个城市现货地对信息的反应存在差异性",好消息"对现货市场的影响要大于"坏消息"的影响。
As the world’s first fresh fruit variety, Apple Futures has not had enough academic research on spot market fluctuations since its launch. In this paper, the daily price data of Qingdao and Yantai and the monthly price data of 36 cities are used, and the method of adding dummy variables to the GARCH model is used to study the impact of apple futures on the prices of different spot locations. Asymmetric effects of ground. Research shows that after the launch of Apple Futures, there is a certain difference in the volatility of various spot locations;Qingdao and 36 cities have different spot responses to information, and "good news" has a greater impact on the spot market than "bad news" Impact.
作者
高扬
刘家浩
Gao Yang;Liu Jiahao
出处
《价格理论与实践》
北大核心
2019年第8期100-103,共4页
Price:Theory & Practice
基金
首都流通业研究基地资助（编号：JD-YB-2019-008)
农业部、财政部现代农业（糖料）产业技术体系建设专项资金资助（编号：CARS--170601）
