中国玉米现货价格、期货价格与投资者情绪关系研究
发布时间：2018-10-16 15:49
【摘要】：文章选取2009年1月至2017年2月的中国月度数据,考虑到变量间关系可能存在结构突变,从非线性角度构建MSVAR-Full BEKK-GARCH模型对中国玉米现货价格、期货价格和投资者情绪间的均值溢出和波动溢出效应进行了实证检验。研究发现:(1)中国玉米现货价格、期货价格和投资者情绪间存在显著的非线性关系;(2)存在玉米现货价格和期货价格、玉米现货价格和投资者情绪间的双向以及玉米期货价格对投资者情绪的单向均值溢出效应;(3)玉米现货价格、期货价格和投资者情绪自身均具有显著的波动集聚性,且变量间存在两两双向波动溢出效应。最后,根据本文结论就稳定玉米价格提出了相关对策和建议。
[Abstract]:Based on the monthly data of China from January 2009 to February 2017, considering the possible structural changes in the relationship between variables, this paper constructs a MSVAR-Full BEKK-GARCH model for the spot price of corn in China from a nonlinear perspective. The average spillover and volatility spillover effects between futures price and investor sentiment are tested empirically. The results show that: (1) there is a significant nonlinear relationship between spot price, futures price and investor sentiment in China; (2) there exists spot price and futures price in corn. The two-way effect between spot price and investor sentiment and the one-way mean spillover effect of corn futures price on investor sentiment. (3) the corn spot price, futures price and investor sentiment have significant volatility and agglomeration. And there is a bidirectional volatility spillover effect between variables. Finally, according to the conclusion of this paper, the relative countermeasures and suggestions are put forward to stabilize the corn price.
【作者单位】： 太原理工大学经济管理学院;
【基金】：国家软科学基金项目(编号:2014GXQ4D177)
【分类号】：F323.7;F724.5
，
本文编号：2274842
[Abstract]:Based on the monthly data of China from January 2009 to February 2017, considering the possible structural changes in the relationship between variables, this paper constructs a MSVAR-Full BEKK-GARCH model for the spot price of corn in China from a nonlinear perspective. The average spillover and volatility spillover effects between futures price and investor sentiment are tested empirically. The results show that: (1) there is a significant nonlinear relationship between spot price, futures price and investor sentiment in China; (2) there exists spot price and futures price in corn. The two-way effect between spot price and investor sentiment and the one-way mean spillover effect of corn futures price on investor sentiment. (3) the corn spot price, futures price and investor sentiment have significant volatility and agglomeration. And there is a bidirectional volatility spillover effect between variables. Finally, according to the conclusion of this paper, the relative countermeasures and suggestions are put forward to stabilize the corn price.
【作者单位】： 太原理工大学经济管理学院;
【基金】：国家软科学基金项目(编号:2014GXQ4D177)
【分类号】：F323.7;F724.5
，
本文编号：2274842
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