市场情绪与铁矿石期货价格、现货价格的相关性研究:基于MSVAR模型的实证分析

Relationship between market sentiment,iron ore futures prices and spot prices based on the MSVAR model

本文选取2015年5月至2018年5月的数据,通过构建MSVAR模型,从非线性的角度刻画了供给侧改革背景下市场情绪与铁矿石期货价格、现货价格间的关系。研究结果显示:市场情绪对铁矿石期货价格、现货价格产生负向响应,而铁矿石期货价格、现货价格对市场情绪产生正向响应;铁矿石期货价格与现货价格间具有双向均值溢出效应,而市场情绪对铁矿石期货价格、现货价格则产生单向均值溢出效应。最后提出维持铁矿石期货市场长久发展的建议:政府应完善铁矿石市场的环境与制度、丰富期货品种,提高投资者积极性;而企业则应利用价格发现规律规避风险、贯彻落实供给侧改革的措施,完善自身以适应市场未来发展。

Selecting data from May 2015 to May 2018,the paper depicts the relationship between market sentiment and iron ore futures prices and spot prices in the context of supply-side reform from a nonlinear perspective by constructing the MSVAR model.The results show that the market sentiment has a negative response to iron ore futures prices and spot prices,while iron ore futures prices and spot prices have a positive response to market sentiment.Meanwhile,there is a two-way mean value spillover effect between iron ore futures prices and spot prices,while market sentiment has a one-way mean value spillover effect on iron ore futures prices and spot prices.Finally,in order to maintain the long-term development of the iron ore futures market,the government should perfect the environment and system of the iron ore market,enrich the varieties of futures and enhance the enthusiasm of investors,while the enterprises should use the price discovery law to avoid risks and implement the measures of supply-side reform,so as to perfect themselves to adapt to the future development of the market.