本文關(guān)鍵詞：基金投機(jī)對(duì)國際銅價(jià)影響的實(shí)證研究　出處：《中南大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 基金投機(jī) 國際銅價(jià) Geweke分解檢驗(yàn) GARCH模型

【摘要】：摘要：隨著銅金融屬性的增強(qiáng),基金在國際銅市場(chǎng)上的資金量越來越大,其影響不容忽視。與此同時(shí),近些年來國際銅價(jià)令人咂舌的劇烈波動(dòng)態(tài)勢(shì)引起了人們的廣泛關(guān)注。人們把這兩種現(xiàn)象聯(lián)系在一起,紛紛猜測(cè)是不是基金投機(jī)引發(fā)了國際銅價(jià)的暴漲暴跌。而關(guān)于這個(gè)問題,學(xué)術(shù)界與實(shí)務(wù)界以及相關(guān)的監(jiān)管機(jī)構(gòu)尚未達(dá)成一致共識(shí)。 針對(duì)對(duì)沖基金和期貨投資基金等基金在期貨市場(chǎng)快進(jìn)快出,對(duì)國際銅價(jià)短期內(nèi)帶來巨大沖擊的特點(diǎn),本文采用Geweke分解檢驗(yàn),克服了之前大量學(xué)者使用的Granger因果檢驗(yàn)只能衡量?jī)勺兞恐g長(zhǎng)期因果關(guān)系而不能衡量即時(shí)因果關(guān)系的不足,更為精準(zhǔn)地揭示了基金投機(jī)與國際銅價(jià)之間的關(guān)系。結(jié)果表明,二者之間的因果關(guān)系主要表現(xiàn)為相互的即期因果關(guān)系,長(zhǎng)期來看僅存在國際期銅價(jià)格對(duì)基金持倉的單向因果關(guān)系。這說明基金投機(jī)并非國際銅價(jià)長(zhǎng)期劇烈波動(dòng)的根本原因,但基金投機(jī)行為短期內(nèi)在市場(chǎng)上起到了推波助瀾的作用。 進(jìn)一步地,本文采用標(biāo)準(zhǔn)GARCH模型分析基金投機(jī)持倉變化對(duì)國際期銅價(jià)格波動(dòng)的影響,發(fā)現(xiàn)期銅價(jià)格波動(dòng)存在較強(qiáng)持續(xù)性,基金持倉變動(dòng)對(duì)期銅價(jià)格的波動(dòng)沒有影響。采用EGARCH模型對(duì)期銅價(jià)格波動(dòng)的非對(duì)稱效應(yīng)進(jìn)行檢驗(yàn),發(fā)現(xiàn)期銅價(jià)格波動(dòng)存在非對(duì)稱效應(yīng),利空消息比等量利好消息對(duì)期銅價(jià)格產(chǎn)生更大的沖擊。 最后,本文根據(jù)研究結(jié)論,提出了相關(guān)建議。
[Abstract]:Absrtact: with the strengthening of copper financial attribute, the fund has more and more funds in the international copper market, and its influence can not be ignored. In recent years, the dramatic fluctuation of international copper price has aroused widespread concern. People link these two phenomena together. Speculation about whether fund speculation triggered a surge in international copper prices has yet to be agreed between academics and practitioners and regulators. In view of hedge funds and futures investment funds in the futures market fast in and out of the characteristics of the international copper price in the short term bring a huge impact, this paper uses the Geweke decomposition test. It overcomes the deficiency that Granger causality test used by a large number of scholars can only measure the long-term causality between two variables but can not measure the immediate causality. The results show that the causality between fund speculation and international copper price is mainly the immediate causality of each other. In the long run, there is only a one-way causal relationship between international copper prices and fund positions, which indicates that speculation in funds is not the root cause of the long term sharp fluctuations in international copper prices. But fund speculation in the short term in the market has played a role. Further, this paper uses the standard GARCH model to analyze the impact of the change of fund speculative positions on the international copper price volatility, and finds that the copper price volatility has strong persistence. The EGARCH model is used to test the asymmetric effect of the futures copper price fluctuation and it is found that there is an asymmetric effect in the future copper price volatility. Bullish news than the same amount of good news on copper prices have a greater impact. Finally, according to the conclusion of the study, the paper puts forward the relevant suggestions.
【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】：2013
【分類號(hào)】：F764.2;F713.35;F831.51;F224

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