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 Dec...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.展开更多
4.何谓奥斯华德表色系统（Ostwald color system）？奥斯华德色相以8色相为基础,每一色相再分3色,共24色相,明度阶段由白到黑,以a、c、e、g、i、l、n、p记号表示,所有色彩均为C纯色量＋W白色量＋B黑色量=100。并以无彩色阶段为一边,纯...4.何谓奥斯华德表色系统（Ostwald color system）？奥斯华德色相以8色相为基础,每一色相再分3色,共24色相,明度阶段由白到黑,以a、c、e、g、i、l、n、p记号表示,所有色彩均为C纯色量＋W白色量＋B黑色量=100。并以无彩色阶段为一边,纯色在另一顶点,每边长依黑白量渐变化排成8色,形成等色相的正三角形。由于奥斯华德表色系的秩序严密,是配色时极方便的表色系统。展开更多
基金Project(71071166)supported by the National Natural Science Foundation of China
文摘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.
文摘4.何谓奥斯华德表色系统（Ostwald color system）？奥斯华德色相以8色相为基础,每一色相再分3色,共24色相,明度阶段由白到黑,以a、c、e、g、i、l、n、p记号表示,所有色彩均为C纯色量＋W白色量＋B黑色量=100。并以无彩色阶段为一边,纯色在另一顶点,每边长依黑白量渐变化排成8色,形成等色相的正三角形。由于奥斯华德表色系的秩序严密,是配色时极方便的表色系统。
