Applications of nonferrous metal price volatility to prediction of China's stock market

The aim of the present work is to examine whether the price volatility of nonferrous metal futures can be used to predict the aggregate stock market returns in China. During a sample period from January of 2004 to December of 2011, empirical results show that the price volatility of basic nonferrous metals is a good predictor of value-weighted stock portfolio at various horizons in both in-sample and out-of-sample regressions. The predictive power of metal copper volatility is greater than that of aluminum. The results are robust to alternative measurements of variables and econometric approaches. After controlling several well-known macro pricing variables, the predictive power of copper volatility declines but remains statistically significant. Since the predictability exists only during our sample period, we conjecture that the stock market predictability by metal price volatility is partly driven by commodity financialization.

技术创新收益机制研究前沿探析

随着开放源和中间技术市场等更加复杂的知识分工形式的不断涌现,可收益性和收益机制迄今仍是国外技术创新研究领域最具挑战性、最活跃的研究议题。本文在对技术创新可收益性概念尤其是收益机制的概念、问题和研究发现进行系统梳理的基础上,重点探讨各类制度性收益机制和策略性收益机制的经济学内涵以及不同机制之间的替代性和互补性问题。本文认为,衍生制度性收益机制设计以及将制度性收益机制和策略性收益机制置于统一框架下的研究,是未来该领域进行理论拓展的重要方向。