基金投机对国际铜价影响的实证研究

发布时间：2018-01-15 18:32

本文关键词：基金投机对国际铜价影响的实证研究　出处：《中南大学》2013年硕士论文　论文类型：学位论文

【摘要】：摘要：随着铜金融属性的增强,基金在国际铜市场上的资金量越来越大,其影响不容忽视。与此同时,近些年来国际铜价令人咂舌的剧烈波动态势引起了人们的广泛关注。人们把这两种现象联系在一起,纷纷猜测是不是基金投机引发了国际铜价的暴涨暴跌。而关于这个问题,学术界与实务界以及相关的监管机构尚未达成一致共识。针对对冲基金和期货投资基金等基金在期货市场快进快出,对国际铜价短期内带来巨大冲击的特点,本文采用Geweke分解检验,克服了之前大量学者使用的Granger因果检验只能衡量两变量之间长期因果关系而不能衡量即时因果关系的不足,更为精准地揭示了基金投机与国际铜价之间的关系。结果表明,二者之间的因果关系主要表现为相互的即期因果关系,长期来看仅存在国际期铜价格对基金持仓的单向因果关系。这说明基金投机并非国际铜价长期剧烈波动的根本原因,但基金投机行为短期内在市场上起到了推波助澜的作用。进一步地,本文采用标准GARCH模型分析基金投机持仓变化对国际期铜价格波动的影响,发现期铜价格波动存在较强持续性,基金持仓变动对期铜价格的波动没有影响。采用EGARCH模型对期铜价格波动的非对称效应进行检验,发现期铜价格波动存在非对称效应,利空消息比等量利好消息对期铜价格产生更大的冲击。最后,本文根据研究结论,提出了相关建议。
[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.
【学位授予单位】：中南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F764.2;F713.35;F831.51;F224

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