摘要
探讨了大连大豆期货市场与美国芝加哥大豆期货市场之间的价格渗透与波动性传递效应。通过构建双变量EGARCH,将协整误差项作为解释变量分别引入条件均值方程和方差方程中,动态刻画两市场之间的关系。分析结果显示,所构建的双变量EGARCH模型能够准确描述国内外大豆期货市场之间的波动关系;协整误差项可以对市场的波动性进行解释;两市场之间具有长期的均衡关系,并且相互之间具有很强的信息传递能力。
This study examines price leakage and volatility tranmission in soybean futures markets using data from China＇s Dalian soybean futures market and CME soybean futures market. We establish a bivariate EGARCH model, and put the residual item from cointegration equation into both conditional mean and variance equations. The empirical results show that there is a co-integration relation between China＇s and international soybean futures markets. This result suggests that the model is a good description of the price relationship between two soybean futures markets, and the soybean futures prices and price volatility have strong information transmission ability.
出处
《农产品加工（下）》
2011年第6期99-102,共4页
Farm Products Processing
