统计研究

本文选取2010年12月31日至2013年10月31日中国大宗商品现货和期货市场、国际大宗商品现货和期货市场价格指数的日收益率数据,基于VAR-MGARCH-BEKK和MGARCH-DCC模型,首次从市场整体角度,从期货和现货两个层面,在一个完整框架内分析了中国与国际大宗商品市场的溢出关系和动态相关性。研究发现,国际大宗商品现货市场对国内大宗商品现货市场存在显著的单向均值溢出和单向波动溢出效应;国际大宗商品现货市场对国内大宗商品期货市场存在显著的单向均值溢出效应,但二者间不存在双向波动溢出效应。国际大宗商品期货市场对国内大宗商品期货和现货市场均存在显著的单向均值溢出和单向波动溢出效应。总体上,国际大宗商品市场对中国大宗商品市场影响较大,在价格引导方面处于主导地位。四个市场两两间均呈现稳定的正相关性,国际和国内方面,大宗商品期货和现货市场间的联系均较紧密,但从动态相关性看,不论期货还是现货市场,中国大宗商品市场和国际大宗商品市场间的联系还不够紧密。

In this paper, we use VAR-MGARCH-BEKK model and MGARCH-DCC model, select four staple commodity price indexes,which can respectively represent the price trends of China's and international staple commodity markets including the spot market and the futures market,and use daily return data from December 31,2010 to Octomber31,2013 to analyze the spillover effect and the dynamic correlation between four staple commodity markets within a complete framework,from the point of the overall commodity market and the futures and spot simultaneously for the first time. The empirical results show that the international staple commodity spot market has significant unidirectional mean and volatility spillover effects on China's staple commodity spot market,and significant unidirectional mean spillover effect and no volatility spillover effect on China's staple commodity futures market. The international staple commodity futures market has significant unidirectional mean and volatility spillover effects on China's staple commodity spot market and futures markets at the same time. Overall,the international staple commodity markets,located in a dominant position in pricing,impact on China 's commodity markets greatly. Any two of four staple commodity markets presents a stable positive correlation. There is a close relation between the staple commodity futures market and the spot market both at home and abroad. As to the dynamic correlation,China 's and international staple commodity markets are not closely linked,regardless of the futures and the spot market.