沪铜收益率波动性及影响因素实证研究

发布时间：2018-02-25 02:09

本文关键词： 沪铜价格波动 GARCH模型逐步回归因子分析　出处：《江西财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着我国经济的发展，，对铜的需求越来越大，我国已经成为世界最大的铜生产国和消费国。受全球经济一体化的影响，我国铜现货市场和国际铜现货市场联系越紧密，而我国沪铜期货市场更是成为仅次于LME铜期货市场的世界第二大期铜交易市场。近年来沪铜价格出现了大起大落现象，尤其是2008年金融危机期间沪铜价格波动更为明显，鉴于此，对沪铜期货市场的研究具有重要价值，可以为投资者和套期保值者提出规避风险的方法和投资技巧，为政策制定者提供相关政策制定的依据，为监管者提供监管措施等建议。本文首先阐述了铜在国内及世界运用情况，介绍了铜期货在国外和我国期货市场的交易情况，通过简单介绍可以发现铜的重要性，研究铜期货对于我国期货市场发展意义重大。并且介绍了国外关于期货市场发展的理论研究和实证研究以及我国铜期货市场实证研究。通过期货价格形成机制，结合沪铜期货交易标准合约，具体分析了影响沪铜期价因素。利用沪铜期价每日数据，采用GARCH、GARCH-M和E-GARCH等模型分析了沪铜价格波动的条件异方差效应、风险溢价效应和杠杆效应，研究发现沪铜收益率序列只存在条件异方差效应，并不存在风险溢价效应和杠杆效应。利用铜现货市场价格、LME铜价、NYMEX-COMEX轻质原油期货价格、外汇市场中的美元指数、美国工业指数IP、中国采购经理指数PMI、LME铜库存、LME铜持仓量、SHFE期铝价格ALP、SHFE铜库存、SHFE铜持仓量和路透社CRB综合期货指数等为解释变量，SHFE铜价为被解释变量，采用逐步回归分析法研究了影响沪铜期价因素，最后得出铜现货市场价格（cp）、中国采购经理指数PMI（pmi）和路透社CRB综合期货指数（crb）三个变量对上海期货交易所期铜价格具有显著影响，当然解释变量间可能存在一定程度的共线性。各个系数都为正，说明SHFE铜价波动与铜现货市场价格、中国采购经理指数PMI、路透社CRB综合期货指数正相关，这也符合经济发展常理，因为现货价格上涨，说明现货市场需求大于供给，提高投资者的价格预期，远期交易价格上涨，期货价格也上涨；中国采购经理指数越高，表明中国经济越景气，对于铜的需求增加，需求旺盛，期铜价格上涨；路透社CRB综合期货指数越大，说明炒作基金看涨期货市场，期铜价格上涨。回归方程可绝系数和调整的可绝系数都为0.998，非常高，可以拟合方程；方程显著；各项系数显著。然后对因子分析理论进行介绍，阐述因子回归步骤，利用铜现货市场价格、LME铜价、NYMEX-COMEX轻质原油期货价格、外汇市场中的美元指数、美国工业指数IP、中国采购经理指数PMI、LME铜库存、LME铜持仓量、SHFE期铝价格ALP、SHFE铜库存、SHFE铜持仓量和路透社CRB综合期货指数等12个解释变量进行了因子分析，计算因子得分。从方差贡献率和累积方差贡献率来看，前三个因子累积方差贡献率达到83.717%，第一个因子方差贡献率达到51.078%，说明第一个因子对原有变量解释效果比较好，第一个因子在伦铜期价、沪铝期货价格、铜现价、原油期货价格、路透社CRB综合期货指数和美元指数等变量上有较大的载荷，反映了相关市场、大宗商品价格以及商品指数基金炒作因素对沪铜期价影响。第二个因子在伦铜库存、伦铜持仓量、沪铜库存和沪铜持仓量具有较大载荷，反映供求关系对沪铜价格影响，对全部初始变量的方差贡献率为23.920%。第三个因子在中国采购经理指数上有较大载荷，反映了中国经济景气程度对沪铜期价影响，它对全部初始变量的方差贡献率为8.719%。利用因子回归分析法分析影响沪铜期价的各因子，最终三个因子对沪铜期价都有显著影响，铜现货价格对沪铜价格影响最为明显，当然中国采购经理指数PMI（pmi）和路透社CRB综合期货指数（crb）对沪铜价格波动也有一定的影响。最后通过对以上结果分析总结，为投资者、套期保值者和监管者等提出建议。对于投资者和套期保值者而言，应该关注现货价格波动和我国经济发展景气程度等基本面，以现货价格和我国经济发展作为基本面来分析沪铜期货价格的波动，更好的选择期货合约的买卖；商品指数基金对沪铜期价影响较大，我国在发展资本市场的同时，也要注意适当的资本管制，严厉打击国外和国内的一些炒作基金左右沪铜期价；我国沪铜期价并不存在杠杆效应和风险溢价效应，投资者盲目跟风，追涨杀跌，所以交易所应该严格实施保证金制度和大户报告制度等风险管理制度；对于政府，除了应该加强监管以外，还需要结合我国经济发展和资本市场的发展，参照国外期货市场发展的先进经验，制定更为完善的法律制度和规则，控制风险，正确引导投资者。
[Abstract]:With the development of China's economy, the demand for copper is growing, China has become the world's largest copper producer and consumer. Affected by the global economic integration, China's copper futures market and international copper spot market more closely linked, while China's Shanghai copper futures market is the world's second largest period the copper market after the LME copper futures market. In recent years there has been the phenomenon of copper price change radically during the 2008 financial crisis, especially the copper price volatility is more obvious, in view of this, the research of Shanghai copper futures market has important value for investors and hedgers is proposed to avoid the risk of investment and skills, provide relevant makers the policy basis for policy recommendations, regulatory measures for the regulator.
This paper describes the application of copper in China and the world, the copper futures in our country and foreign futures market transactions, through a brief introduction to the importance of research can be found in copper, copper futures of great significance for the development of futures market in China and introduces the theoretical research and empirical research abroad on the development of the futures market and China An Empirical Study on the formation mechanism of the copper futures market. Through the combination of copper futures prices, futures trading standard contract, analyzes the influence factors of the price of copper. Using the GARCH copper price data, daily, GARCH-M and E-GARCH model to analyze the copper price volatility GARCH effect, risk premium effect and leverage effect, the study found that copper yield the rate of sequence exists only conditional heteroskedasticity effect, there is no risk premium effect and leverage effect. The copper spot market price, LME price, NYMEX-COMEX light crude oil futures prices, the dollar index in the foreign exchange market, the industry index IP, Chinese purchasing managers index PMI, LME copper stocks, LME copper holdings, SHFE aluminum price ALP, SHFE copper stocks, SHFE copper holdings and Reuters CRB futures index as explanatory variables, as explained by SHFE copper the variables, using stepwise regression analysis was used to study the influence factors of copper price, finally obtains the copper spot market price (CP), Chinese purchasing managers index PMI (PMI) and the Reuters CRB comprehensive index futures (CRB) three variables have significant influence on the Shanghai Futures Exchange copper prices, of course, explain the collinearity degree variable. Each coefficient is positive, indicating that SHFE fluctuations in copper prices and copper prices on the spot market, China purchasing managers index PMI is positively related to Reuters CRB comprehensive index futures, which accord with the economic development of the common sense, because it is now Stock prices, indicating that the spot market demand is greater than supply, improve investor price expectations, long-term transaction prices, futures prices also rose; China purchasing managers index is higher, Chinese showed more economic prosperity, increasing demand for copper demand, copper price rise; Reuters CRB futures index is larger, indicating the hype the fund bullish futures market, copper prices. The regression equation can be adjusted by the vast coefficient and the coefficient is 0.998, is very high, can fit the equation; the equation is significant; coefficient is significant.
Then the theory of factor analysis are introduced, this factor regression step, the copper spot market price, LME price, NYMEX-COMEX light crude oil futures prices, the dollar index in the foreign exchange market, the industry index IP, Chinese purchasing managers index PMI, LME copper stocks, LME copper holdings, SHFE aluminum price ALP, SHFE copper stocks copper, SHFE holdings and Reuters CRB comprehensive index futures 12 explanatory variables by factor analysis, factor scores were calculated. The rate and the cumulative variance contribution rate from the variance contribution of the first three factors, the cumulative variance contribution rate reached 83.717%, the first factor variance contribution rate reached 51.078%, the first factor of the original variables explain the effect is better, the first factor in the price of copper, Shanghai aluminum futures price, the price of copper, crude oil futures prices have larger load Reuters CRB comprehensive index futures and the dollar index and other variables, Reflect the relevant market, commodity prices and commodity index fund speculation factors to futures prices of Shanghai copper. Second factors in LME stocks, copper copper and copper inventory positions, positions with large load, reflecting the impact of supply and demand for copper prices on all variables of the initial variance contribution rate of 23.920%. third factor have a large load on Chinese purchasing managers index, reflects the influence degree of economic boom China of Shanghai copper futures price, the variance of all variables of the initial contribution rate of 8.719%. by factor regression analysis to analyze the factors influencing the Shanghai copper futures, the final three factors to futures prices of Shanghai copper had significant effects, the effects of copper spot the price of copper price is most obvious, of course China purchasing managers index PMI (PMI) and the Reuters CRB comprehensive index futures (CRB) also has some influence on the copper price fluctuations.
By the end of the above results are analyzed and summarized, put forward suggestions for investors, hedgers and regulators. For investors and hedgers, should pay attention to the spot price fluctuation and the economic development of our country economy level of the fundamentals, the spot price and China's economic development as a fundamental analysis of copper futures price volatility. A better choice of trading in futures contracts; commodity index funds have great influence on the price of copper, in the development of China's capital market at the same time, should also pay attention to the appropriate capital controls, to crack down on some foreign and domestic funds speculation about copper price; there is no leverage and risk premium effect of China's copper futures investors. Blindly follow the trend, chase sell, so the exchange should strictly implement the margin system and large report system of risk management system; for the government, but should strengthen Besides supervision, we need to combine our economic development and capital market development, referring to the advanced experience of foreign futures market development, and formulate more perfect legal system and rules, control risks and guide investors correctly.

【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

【参考文献】