| 商品价格极端波动影响期现价格联动及套期保值吗? |
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| 引用本文： | 郑尊信,王飞.商品价格极端波动影响期现价格联动及套期保值吗?[J].数学的实践与认识,2013,43(2). |
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| 作者姓名： | 郑尊信 王飞 |
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| 作者单位： | 深圳大学经济学院,深圳,518060 |
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| 基金项目： | 国家自然科学基金青年项目"历史信息、价格联动与期货套期保值决策研究"，深圳大学人文社会科学基金"商品极端价格波动与期现价格联动关系研究" |
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| 摘 要： | 试图将极端价格波动成因归结于系统惯性因素和极端随机冲击因素,借助Copulas-GARCH模型,将其引入期货和现货价格联动的计量模型之中,以持有便利收益高的沪铜作为研究样本,实证研究发现:1)引入极端价格波动因素后将显著提升价格联动计量模型的解释能力;2)当负向基差扩大,系统惯性因素引起商品价格剧烈变动,将导致市场联动性下降,而极端随机冲击却具有正向效应,即市场受到极端随机冲击时会增强期现价格联动关系;3)极端随机冲击效应中正向冲击和负向冲击的非对称性特征不显著;4)考虑极端价格波动效应可明显降低生产企业的套期保值成本.研究结论对于商品期货市场套期保值等期货交易具有重要管理启示.
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| 关 键 词： | 极端价格波动 价格联动 基差 套期保值 |
Does Extreme Price Volatility Have Effects on Commodity Spot-futures Price Co-movements and on Futures Hedging? |
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| ZHENG Zun-xin
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WANG Fei.Does Extreme Price Volatility Have Effects on Commodity Spot-futures Price Co-movements and on Futures Hedging?[J].Mathematics in Practice and Theory,2013,43(2). |
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| Authors: | ZHENG Zun-xin WANG Fei |
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| Abstract: | Extreme price volatility attributes to systematic factor and Extreme Stochastic Impulse.Under the framework of Copulas-GARCH model,the Extreme Price Volatility will be introduced to model Commodity Spot-futures Price Co-movements.Empirical study from china's copper markets with high convenience yield will be conducted.Firstly,explanation power of econometric model of Price Co-movements will be improved after considering extreme price volatility.Secondly,hedging cost will be reduced when considering effects of extreme price volatility.Finally,asymmetric correlation does not significantly exist. |
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| Keywords: | extreme price volatility price co-movement basis hedging |
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