摘要
为研究鸡蛋期现货市场关系,利用2013年11月-2017年6月国内鸡蛋期现货市场日度价格数据,通过BEKK-GARCH模型和DCC-MGARCH模型深入剖析了我国鸡蛋期现货市场间溢出效应和动态关联性。结果表明,从鸡蛋期现货市场间溢出效应来看,2市场间存在显著的均值溢出效应,相互之间存在较为显著的价格引导关系,且期货市场对现货市场的价格引导关系更为显著,说明当前我国鸡蛋期货市场对现货市场具有较好的价格发现功能;除此之外,鸡蛋期现货市场间还存在显著的双向波动溢出效应;从鸡蛋期现货市场的动态关联性来看,2市场间的相关关系具有明显的时变特征,且整体表现为正相关。
In order to understand the relationship between egg futures market and spot market,the spillover effects and dynamic correlations was analyzed based on the data of the domestic egg market obtained through the BEKK-GARCH model and DCC-MGARCH model.The result showed that there was significant mean spillover effect between the two markets and a significant price guidance relationship.The futures market had more significant price guidance to the spot market.The egg futures market displayed better price discovery function to the spot market.In addition,there was significant two-way volatility spillover effect between egg futures market and spot market.The correlation between two markets displayed obvious time-varying characteristic,and the overall performance was positively correlated.
作者
郑燕
马骥
ZHENG Yan;MA Ji(College of Economics and Management,China Agricultural University,Beijing 100083,China)
出处
《中国农业大学学报》
CAS
CSCD
北大核心
2018年第11期222-231,共10页
Journal of China Agricultural University
基金
国家现代农业产业技术体系建设专项(CARS-41-K26)
关键词
鸡蛋
期货价格
现货价格
溢出效应
动态关联
egg
futures price
spot price
spillover effect
dynamic relationship
