摘要
本文采用τ-b相关分析、修正的VAR模型和协整检验等方法,对上海期货交易所(SHFE)和伦敦金属交易所(LME)同一金属期货品种(期铜或期铝)的价格联动关系进行研究,并应用VEC模型及基于学生t分布的VAR-EGARCH模型等方法考察了其波动关系。通过研究发现,SHFE和LME的同一金属期货品种的价格之间均存在长期均衡关系、较高的关联性以及双向的引导关系。LME金属期货市场对SHFE金属期货市场的均值溢出效应显著存在,但SHFE金属期货市场对LME金属期货市场的均值溢出效应不显著;同时,SHFE和LME的期铜、期铝市场均存在显著的波动溢出效应,而LME的期铜、期铝市场对于SHFE的期铜、期铝市场的波动溢出效应相对更大。
This article uses such methods as the correlation analysis of tau-b, adjusted VAR model and Johansen cointegration test to study the price linkages of two kinds of futures prices of the same metal, copper or aluminum, traded in Shanghai Futures Exchange （SFIFE） and London Metal Exchange （LME） . Furthermore, this paper carries on empirical analysis on the short-term volatility relevance of the copper and aluminum futures markets of SHFE and LiME by using tools like VEC models, impulse response function and exponential generalized auto-regression conditional heteroskedastie model on VAR model （VAR-EGARCH） based on student-t distribution.The main findings of this paper are as follows： there are long-term equilibrium relationship, high correlation and bilateral leading relationship between the copper and aluminum fu- tures prices of SHFE and LME.And the metal futures markets, with copper or aluminum as examples, of LME have mean value spillover effects on the related markets of SHFE ; and the effects of metal futures market of SHFE on the related markets of LME are not obvious.The spillover effect of the copper or aluminum futures markets of SHFE and LME on their related markets are remarkable.And the effect of copper or aluminum futures markets of LME are much stronger than the effect of the copper or aluminum futures markets of SHFE respectively.
出处
《国际金融研究》
CSSCI
北大核心
2010年第4期79-88,共10页
Studies of International Finance
关键词
金属期货市场
价格联动
波动
Metal Futures Market
Price Linkages
Volatility
