本文選題：大宗商品期貨　切入點(diǎn)：波動(dòng)率溢出　出處：《國際商務(wù)研究》2017年05期 　論文類型：期刊論文

【摘要】：本文選取2005年1月4日至2016年9月30日農(nóng)產(chǎn)品類、金屬類和工業(yè)品類等中國和國際大宗商品期貨市場交易品種,以及國內(nèi)外主要股票市場指數(shù)的日收益率,基于DCC--GARCH模型分析了期貨市場和股票市場的波動(dòng)性溢出關(guān)系和動(dòng)態(tài)相依性。結(jié)果發(fā)現(xiàn),股票市場對中國商品期貨有波動(dòng)率溢出效應(yīng),但是不同類型的大宗商品其波動(dòng)率溢出效應(yīng)有明顯差異。這說明:中國大宗商品市場存在金融化現(xiàn)象,但是不同類型的大宗商品金融化的程度不同,和國際大宗商品期貨市場相比,中國市場的金融化程度總體偏低。
[Abstract]:This paper selects Chinese and international commodity futures markets, such as agricultural products, metals and industrial products, from January 4th 2005 to September 30th 2016, as well as the daily returns of major stock market indices at home and abroad. Based on DCC--GARCH model, the volatility spillover relationship and dynamic dependence of futures market and stock market are analyzed. The results show that the stock market has volatility spillover effect on Chinese commodity futures. However, the volatility spillover effects of different types of commodities are obviously different. This shows that there is a phenomenon of financialization in Chinese commodity market, but the degree of financialization of different types of commodities is different. Compared with the international commodity futures market, the financial degree of Chinese market is on the low side.
【作者單位】： 上海財(cái)經(jīng)大學(xué)金融學(xué)院;上海對外經(jīng)貿(mào)大學(xué)統(tǒng)計(jì)與信息學(xué)院;
【基金】：國家社會(huì)科學(xué)基金重大項(xiàng)目“全球大宗商品定價(jià)機(jī)制演進(jìn)與國際經(jīng)貿(mào)格局變遷研究”(項(xiàng)目編號:15ZDA058) 國家自然科學(xué)基金(項(xiàng)目編號:11271259)
【分類號】：F724.5;F832.51
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本文編號：1603154