ISSN 1008-2204
CN 11-3979/C

时变视角下中美农产品期货波动溢出效应实证

施亚明, 何建敏

施亚明, 何建敏. 时变视角下中美农产品期货波动溢出效应实证[J]. 北京航空航天大学学报社会科学版, 2013, 26(5): 77-82.
引用本文: 施亚明, 何建敏. 时变视角下中美农产品期货波动溢出效应实证[J]. 北京航空航天大学学报社会科学版, 2013, 26(5): 77-82.
Shi Yaming, He Jianmin. Volatility Spillover Effect Study in Agricultural Futures Markets of China and USA Based on Time-varying Perspective[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2013, 26(5): 77-82.
Citation: Shi Yaming, He Jianmin. Volatility Spillover Effect Study in Agricultural Futures Markets of China and USA Based on Time-varying Perspective[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2013, 26(5): 77-82.

时变视角下中美农产品期货波动溢出效应实证

基金项目: 国家自然科学基金资助项目(71071034)
详细信息
    作者简介:

    施亚明(1980—),男,江苏无锡人,博士研究生,研究方向为金融工程.

  • 中图分类号: F830

Volatility Spillover Effect Study in Agricultural Futures Markets of China and USA Based on Time-varying Perspective

  • 摘要: 由于金融市场间价格波动溢出效应具有时变性和动态性的特点,采用双变量BEKK模型研究了国内外农产品期货市场间时变波动溢出关系,得出结论:农产品期货的波动均显著地受到自身前期波动的影响,波动具有聚集性和持久性;美国玉米期货与中国玉米期货不存在波动溢出效应,但是美国大豆期货与中国大豆期货、美国豆粕期货与中国豆粕期货之间均存在双向的波动溢出效应。因此,中国大豆期货和豆粕期货在世界农产品期货市场上具有一定的权力,即定价权。
    Abstract: Taking into account time-varying and dynamic properties of volatility spillover effect in the financial markets, this paper studied the time-varying volatility relationship between agriculture futures markets at home and abroad by the bivariate BEKK, and concluded that: The agricultural futures volatility is significantly affected by their own pre-fluctuations, with aggregation and lasting properties; There is no volatility effect between US corn futures and China corn futures markets. However, there are bi-directional volatility spillover between the US soybean futures and Chinese soybean futures, and US soybean meal futures and Chinese soybean meal futures. Chinese soybean futures and soybean meal futures have pricing power in the world agricultural product futures market.
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出版历程
  • 收稿日期:  2012-09-26
  • 发布日期:  2013-09-24

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