本文選題：周期波動(dòng)　切入點(diǎn)：TGARCH模型　出處：《中南大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：隨著經(jīng)濟(jì)的發(fā)展和人們投資意識(shí)的轉(zhuǎn)變,期貨投資已經(jīng)成為現(xiàn)代人生活中的一個(gè)重要組成部分。期貨市場(chǎng)是一個(gè)高風(fēng)險(xiǎn)高收益的投資領(lǐng)域,在這個(gè)領(lǐng)域中,投資者為了追求投資收益的最大化和投資風(fēng)險(xiǎn)的最小化,不斷地探索其內(nèi)在規(guī)律,尋找其有效的分析方法和工具。當(dāng)今世界經(jīng)濟(jì)日益全球化,某個(gè)國(guó)家或地區(qū)的金融市場(chǎng)或多或少的要受到全球其他市場(chǎng)的影響,銅這一生產(chǎn)和消費(fèi)都已經(jīng)全球化了的市場(chǎng)更是如此。本文從宏觀角度分析銅價(jià)格的周期性表現(xiàn),為決策者制定宏觀政策和長(zhǎng)期投資策略提供決策依據(jù),從微觀角度深入研究上海和倫敦期貨市場(chǎng)的價(jià)格關(guān)系,提供投資者短期套利的實(shí)證依據(jù)。 由于經(jīng)濟(jì)周期決定了金屬價(jià)格周期,金屬價(jià)格周期反映了經(jīng)濟(jì)周期,金屬價(jià)格的波動(dòng)與全球生產(chǎn)總值(GDP)增長(zhǎng)率的波動(dòng)幾乎完全同步,論文采用時(shí)間序列及傅立葉基函數(shù)擬合方法研究國(guó)際銅價(jià)格的周期問(wèn)題。發(fā)現(xiàn)國(guó)際銅價(jià)格取決于4個(gè)相互獨(dú)立的長(zhǎng)中短經(jīng)濟(jì)周期,這一結(jié)果與全球經(jīng)濟(jì)周期變動(dòng)的擬合性良好。 由于不同市場(chǎng)上同質(zhì)或相似商品的價(jià)格存在長(zhǎng)期均衡關(guān)系,如價(jià)格偏離均衡時(shí),套利交易可以使價(jià)格偏離迅速回歸均衡。以倫敦、上海兩市銅期貨日收盤(pán)價(jià)格數(shù)據(jù)為基礎(chǔ),本文建立TGARCH模型和T-VECM模型,利用殘差分析得知：利空利多消息對(duì)倫敦市場(chǎng)的價(jià)格沖擊波動(dòng)顯著大于上海市場(chǎng),倫敦市場(chǎng)的價(jià)格波動(dòng)修復(fù)速度也快于上海市場(chǎng),這樣的市場(chǎng)規(guī)律是市場(chǎng)操作和期貨監(jiān)管的重要依據(jù)。 實(shí)證結(jié)果顯示,銅市場(chǎng)的周期運(yùn)動(dòng)和世界經(jīng)濟(jì)周期一致,世界經(jīng)濟(jì)的繁榮／衰落會(huì)帶動(dòng)銅價(jià)格的高漲／下跌；比較倫敦和上海兩地期貨市場(chǎng),發(fā)現(xiàn)它們的價(jià)格波動(dòng)方向一致,但波動(dòng)幅度及波動(dòng)修復(fù)強(qiáng)度不同。這表明兩期貨市場(chǎng)非線性相關(guān)和價(jià)格波動(dòng)具有快速逆轉(zhuǎn)的性質(zhì),顯示銅期貨套利的可能性。
[Abstract]:With the development of economy and the change of people's investment consciousness, futures investment has become an important part of modern people's life. In order to maximize investment returns and minimize investment risks, investors are constantly exploring their internal laws and effective analytical methods and tools. Nowadays, the world economy is becoming more and more globalized. The financial markets of a certain country or region are more or less affected by other global markets, especially copper, a market where production and consumption have been globalized. This paper analyzes the cyclical performance of copper prices from a macro perspective. It provides the decision basis for the policy makers to formulate macro policies and long-term investment strategies, studies the price relationship between Shanghai and London futures markets from the micro perspective, and provides the empirical basis for investors' short-term arbitrage. Because the economic cycle determines the metal price cycle, the metal price cycle reflects the economic cycle, and the fluctuation of the metal price is almost completely synchronized with the fluctuation of the growth rate of the global gross domestic product (GDP). In this paper, the time series and Fu Li's leaf basis function fitting method are used to study the periodicity of international copper price. It is found that the international copper price depends on four independent long, medium and short economic cycles, and this result fits well with the global economic cycle change. Since there is a long-term equilibrium relationship between the prices of homogeneous or similar commodities in different markets, such as when the price deviates from the equilibrium, the arbitrage trade can make the price deviate from the equilibrium rapidly. In this paper, TGARCH model and T-VECM model are established. By using residual error analysis, it is found that the price shock fluctuation of the London market is significantly larger than that of the Shanghai market, and the repair speed of the price fluctuation in the London market is also faster than that in the Shanghai market. This kind of market law is the important basis of market operation and futures supervision. The empirical results show that the cyclical movement of copper market is consistent with the world economic cycle, and the prosperity / decline of the world economy will lead to the rise / fall of copper prices. But the range of volatility and the intensity of volatility repair are different. This indicates that the two futures markets have nonlinear correlation and price volatility has the property of quick reversal, indicating the possibility of arbitrage of copper futures.
【學(xué)位授予單位】：中南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F724.5

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