北京航空航天大学学报(社会科学版) ›› 2007, Vol. 20 ›› Issue (3): 19-21.

• 经济管理与社会发展研究 • 上一篇    下一篇

中国硬麦期货价格的波动性实证研究

吴载斌1, 孟 洁1, 李大鹏2   

  1. 1北京航空航天大学 经济管理学院,北京 100083;
    2中国农业银行,北京 100036
  • 收稿日期:2006-03-23 出版日期:2007-09-25 发布日期:2010-10-21
  • 作者简介:吴载斌(1978-),男,福建三明人,博士研究生,研究方 向为复杂数据分析理论及应用.

An Empirical Study of Hard Wheat Futures Price Volatility in China's Market

WU Zaibin1, MENG Jie1, LI Da-peng2, WANG Hui-wen1   

  1. 1School of Economics and Management, Beijing University of Aeronautics and As tronautics, Beijing 100083, China;
    2Agricultural Bank of China, Beijing 100036, China
  • Received:2006-03-23 Online:2007-09-25 Published:2010-10-21

摘要:

针对期货合约数据处理的困难,论文提出一种新的合约连续数据处理方法,对2002年1月~2 004年8月中国硬麦期货数据进行处理,并采用TARCH模型,按照距离到期日时间的不同对价 格波动性进行研究。结果表明,不同交易时段的硬麦期货价格波动存在差异,进一步表明成 交量是价格波动和引起差异的主要原因

关键词: 硬麦期货, 合约数据处理, 波动, 杠杆效应, 交易量

Abstract:

To deal with the difficulty of data processing of futures contract, a new method is raised in this paper. With this new method, this paper processes the trading data of hard wheat futures in China from Jan 2002 to Aug 2004 and analyzes the price volatility according to the different periods from expired date with TARCH module. The result shows difference of price volatility exists in different tra ding periods. The result provides further explanation that trading volume is the main factor of price volatility and its differences.

Key words: hard wheat futures, contract data process, volatility, level effect, trading vol ume

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