中美棉花期货价格对比及溢出效应研究——基于ARCH模型分析

发布时间：2018-01-07 17:38

本文关键词：中美棉花期货价格对比及溢出效应研究——基于ARCH模型分析　出处：《价格理论与实践》2017年05期 　论文类型：期刊论文

【摘要】：本文基于2007年9月至2016年11月中美两国棉花期货价格数据,运用自回归条件异方差ARCH模型及其扩展模型对中美棉花期货价格及收益率波动进行实证研究。结果表明:中国与美国棉花期货收益率都存在"尖峰厚尾"分布,表现出集聚特征;中国与美国棉花期货价格的波动趋势不平稳。随着风险的增加,两国收益率均出现下降趋势;两国棉花期货收益率序列均存在非对称性特征,美国市场对中国市场的溢出效应影响要大于中国市场对美国市场的影响。本文在此研究结果基础上认为:对两国价格波动性特征和溢出效应的研究,可以有效地预测未来国内棉花价格波动趋势,引导棉花投资主体合理投资,降低风险,从而不断完善我国棉花期货交易制度。
[Abstract]:This paper is based on the cotton futures price data of China and the United States from September 2007 to November 2016. Using autoregressive conditional heteroscedasticity ARCH model and its extended model, this paper makes an empirical study on the fluctuation of cotton futures price and yield between China and the United States. The results show that both China and the United States have "peak and thick tail" in cotton futures yield. Distribution. Showing the characteristics of agglomeration; The fluctuation trend of cotton futures price between China and the United States is not steady. With the increase of risk, the yield of both countries has a downward trend. The yield sequence of cotton futures in both countries has asymmetric characteristics. The spillover effect of American market on Chinese market is greater than that of Chinese market on American market. Based on the research results, this paper points out that: the characteristics of price volatility and spillover effect of the two countries are studied. It can effectively predict the fluctuation trend of cotton price in the future, guide the cotton investment body to invest reasonably, reduce the risk, and improve the cotton futures trading system of our country continuously.
【作者单位】：石河子大学经济与管理学院;
【基金】：新疆兵团重大科技项目(2016AA001-4)
【分类号】：F313.7;F713.35
【正文快照】： 棉花是我国重要的战略物资,同时是重要的经济作物之一,在我国有着悠久的种植历史。改革开放以来,伴随着我国期货的发展,棉花期货及其价格问题愈发受到关注。2004年棉花期货在郑州商品交易所挂牌交易,近年来交易规模不断扩大,充分发挥了期货市场的风险对冲功能,但由于我国棉花

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