中美大豆期货均值溢出效应研究——基于MSVAR模型的实证分析
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摘要
本文选取2004年12月至2018年5月我国黄大豆1号期货价格、成交量以及CBOT大豆期货价格数据,构建MSVAR模型研究中美大豆期货均值溢出效应。结果表明:中美大豆期货价格波动存在显著的区制转换特征,即膨胀期、平稳期、低迷期三种状态,其中,低迷期的持续性强于另外两种状态。三种状态的转移概率表明,中美大豆期货价格的波动存在显著波动集聚性效应,即价格大波动后跟随着大的波动,而价格小波动后伴随着小的波动。MSI(3)-VARX(1)模型的回归结果表明:黄大豆1号期货价格和CBOT大豆期货价格均具有序列自相关性。市场情绪对黄大豆1号期货价格、CBOT大豆期货价格均具有均值溢出效应。CBOT大豆期货价格对黄大豆1号价格具有单向均值溢出效应。
This paper selects the price and volume of China Yellow Soybean No. 1 and the CBOT soybean futures price data from December 2004 to May 2018, and constructs the MSVAR model to study the average spillover effect of Sino-US soybean futures. The results show that there are significant regional conversion characteristics of Sino-US soybean futures price fluctuations, namely, expansion period, stationary period and low period. Among them, the duration of the downturn is stronger than the other two states.The transition probabilities of the three states indicate that there is a significant volatility agglomeration effect in the fluctuations of Sino-US soybean futures prices, that is, large fluctuations in prices followed by large fluctuations, and small fluctuations in prices are accompanied by small fluctuations. The regression results of the MSI(3)-VARX(1) model indicate that both the soybean soybean futures price and the CBOT soybean futures price have sequence autocorrelation. Market sentiment has a mean spillover effect on both the yellow soybean futures price and the CBOT soybean futures price. The CBOT soybean futures price has a one-way average spillover effect on the price of yellow soybean No.1.
This paper selects the price and volume of China Yellow Soybean No. 1 and the CBOT soybean futures price data from December 2004 to May 2018, and constructs the MSVAR model to study the average spillover effect of Sino-US soybean futures. The results show that there are significant regional conversion characteristics of Sino-US soybean futures price fluctuations, namely, expansion period, stationary period and low period. Among them, the duration of the downturn is stronger than the other two states.The transition probabilities of the three states indicate that there is a significant volatility agglomeration effect in the fluctuations of Sino-US soybean futures prices, that is, large fluctuations in prices followed by large fluctuations, and small fluctuations in prices are accompanied by small fluctuations. The regression results of the MSI(3)-VARX(1) model indicate that both the soybean soybean futures price and the CBOT soybean futures price have sequence autocorrelation. Market sentiment has a mean spillover effect on both the yellow soybean futures price and the CBOT soybean futures price. The CBOT soybean futures price has a one-way average spillover effect on the price of yellow soybean No.1.
引文
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