上海与伦敦铜期货价格发现功能的研究

发布时间：2018-03-07 08:28

本文选题：价格发现　切入点：协整关系　出处：《上海外国语大学》2017年硕士论文　论文类型：学位论文

【摘要】：近几年,随着全球经济震荡和大宗商品金融属性增强,铜价格变动幅度增大,本文通过实证分析方法检验并对比分析铜期货和现货市场价格发现能力,是讨论大宗商品金融属性的重点,通过进一步分析上铜与伦铜期货市场的国际定价能力,对近期铜期货市场的价格波动原因作出推测。本文选取最新数据,运用VAR模型、Johansen协整检验和Granger因果检验对伦敦(LME)铜期货与现货、上海(SHFE)铜期货与长江铜现货价格间是否存在长期协整关系进行实证分析,比较分析期铜和现铜市场的价格发现能力。在此基础上,运用GARCH模型对上铜和伦铜期货交易市场关联性进行探讨,得出上铜和伦铜期货市场的波动溢出效应和相互影响程度。选取四个市场价格波动率为研究对象,进一步研究四个市场间的波动溢出效应和信息传递关系以及在信息传递过程中的作用。通过Johansen协整检验发现LME期铜与LME现铜、SHFE期铜与长江现铜、LME期铜与SHFE期铜两两存在长期均衡关系,即存在共同的变化趋势,且期货价格领先于现货价格的变动趋势。Granger因果检验得出期货价格与现货价格的变动相互影响,从t统计量的P值大小上看,期货市场对现货市场的影响相对较强。从GARCH族模型的检验结果来看,LME期铜比SHFE期铜价格受市场新信息的影响更大,并存在显著的波动不对称性。本文研究成果在市场参与、期货市场政策制定、铜国际定价权研究方面具有参考和借鉴意义。
[Abstract]:In recent years, with the global economic shocks and commodity financial attributes enhanced, the range of copper price changes has increased. This paper tests and compares the price discovery ability of copper futures and spot markets through empirical analysis. Through further analysis of the international pricing power of copper and lun copper futures markets, we speculate on the causes of recent price fluctuations in copper futures markets. In this paper, we select the latest data. VAR model Johansen cointegration test and Granger causality test are used to analyze whether there is a long-term cointegration relationship between London LME copper futures and spot copper futures and Shanghai SHFE copper futures and the spot prices of the Yangtze River copper. This paper compares and analyzes the price discovery ability of copper market and current copper market. On the basis of this, this paper discusses the relationship between copper futures market and Lun copper futures market by using GARCH model. The volatility spillover effect and mutual influence degree of copper and lun copper futures market are obtained. The price volatility of four markets is chosen as the research object. The volatility spillover effect and information transfer relationship among the four markets and their roles in the process of information transmission are further studied. Through the Johansen cointegration test, it is found that copper in LME and LME copper in SHFE and copper in LME and SHFE in the Yangtze River are two kinds of copper. There is a long-term equilibrium relationship between the two, That is, there is a common trend of change, and the futures price is ahead of the spot price. Granger causality test shows that the change of futures price and spot price interact with each other. The influence of futures market on spot market is relatively strong. According to the test results of GARCH family model, the price of copper in LME period is more affected by the new market information than that in SHFE period, and there is significant fluctuation asymmetry. The future market policy formulation, copper international pricing power research aspect has the reference and the reference significance.
【学位授予单位】：上海外国语大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F224;F713.35;F764.2

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