基于DCC-GARCH的中国大宗商品金融化研究

发布时间：2018-03-12 20:25

  本文选题：大宗商品期货　切入点：波动率溢出　出处：《国际商务研究》2017年05期 　论文类型：期刊论文

【摘要】：本文选取2005年1月4日至2016年9月30日农产品类、金属类和工业品类等中国和国际大宗商品期货市场交易品种,以及国内外主要股票市场指数的日收益率,基于DCC--GARCH模型分析了期货市场和股票市场的波动性溢出关系和动态相依性。结果发现,股票市场对中国商品期货有波动率溢出效应,但是不同类型的大宗商品其波动率溢出效应有明显差异。这说明:中国大宗商品市场存在金融化现象,但是不同类型的大宗商品金融化的程度不同,和国际大宗商品期货市场相比,中国市场的金融化程度总体偏低。
[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.
【作者单位】： 上海财经大学金融学院;上海对外经贸大学统计与信息学院;
【基金】：国家社会科学基金重大项目“全球大宗商品定价机制演进与国际经贸格局变迁研究”(项目编号:15ZDA058) 国家自然科学基金(项目编号:11271259)
【分类号】：F724.5;F832.51
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本文编号：1603154