夜盘交易对我国农产品期货市场影响的实证研究

随着我国农产品期货与国际市场的联动性进一步加强,为防止相关期货产品的隔夜风险和价格跳水问题,对部分农产品期货实行夜盘交易制度。为测度夜盘交易制度是否有益于农产品期货市场朝着稳定、理性的方向发展,本文采用了适合刻画金融序列波动性的GARCH族模型,实证检验得出GARCH、GARCH-M和EGARCH模型能够高度拟合农产品期货的价格序列并显著衡量夜盘交易对于我国农产品期货市场的影响。研究结论如下:第一、基于GRACH模型实证结果,夜盘交易制度变量的回归结果显著,该制度能减轻农产品期货的价格波动,且其影响是显著的;第二、EGARCH模型的回归结果同样显著,分别对比不同样本期的EGARCH模型实证结果可以得到,夜盘交易的开放减少了农产品期货市场的非对称性,使得市场趋向于理性的方向发展。

An Empirical Study on the Influence of Night Trading on the China's Agricultural Products Futures Market

With the further deepening of the internationalization of China's financial market and the further strengthening of the linkage between important agricultural products futures and the international market, in order to prevent the overnight risk and price diving of related futures products, China implements a night trading system for some agricultural products futures. In order to measure whether the trading system of night trading is beneficial to the development of agricultural futures market in a stable and rational direction, based on the comprehensive analysis of the lack and deficiency of existing research, this paper adopts the GARCH family model suitable for characterizing the volatility of financial series. The empirical result shows that the GARCH, GARCH-M and EGARCH models can highly fit the price series of agricultural futures and significantly measure the impact of night trading on China's agricultural futures market. The conclusions of the study are as follows: First, based on the empirical results of the GRACH model, the regression results of the night trading variables of the night trading are significant. The system can reduce the price fluctuation of agricultural futures, and its impact is significant. Second, the regression results of the EGARCH model are also significant. Comparing the empirical results of the EGARCH model in different sample periods, the opening of the night trading reduces the asymmetry of the agricultural futures market, making the market tend to develop in a rational direction.