摘要
运用Johansen协整检验、Granger因果检验和方差分解等方法对豆粕期现货价格的传导关系进行分析,并基于GARCH(1,1)和TARCH(1,1)模型考察了豆粕期权推出对豆粕期现货价格波动的影响.研究结果表明,豆粕期货价格与现货价格之间存在长期均衡关系,且为双向传导关系,豆粕期货市场在价格发现功能中占据主导地位;豆粕期权的推出减缓了豆粕期货价格的波动性,加剧了豆粕现货价格的波动性,但对豆粕期现货价格波动的非对称性则均有改善作用.
This paper uses Johansen cointegration test,Granger causality test and variance decomposition to analyze the transmission relationship between soybean meal futures price and its spot price,and investigates the effect of soybean meal options launch on soybean meal futures price volatility as well as the spot price volatility based on GARCH(1,1) model and TARCH(1,1) model.The results show that:there is a long-term equilibrium relationship between soybean meal futures price and spot price,and it is a two-way transmission relationship,and the soybean meal futures market plays a dominantrole in price discovery;more over,the introduction of soybean meal option slows down the volatility of soybean meal futures price and increases the volatility of soybean meal spot price,but improves the asymmetry of soybean meal futures price volatility and soybean meal spot price volatility.
作者
宋博
安冀清
程安
SONG Bo;AN Ji-qing;CHENG An(School of Economics and Trade,Henan University of Technology,Zhengzhou 450001,China;Business School,Changzhou University,Changzhou 213100,China)
出处
《数学的实践与认识》
2021年第8期74-86,共13页
Mathematics in Practice and Theory
基金
国家社会科学基金项目“乡村振兴中农村金融机构双重目标失衡与再平衡研究”(19CJY044)。
关键词
价格发现
期货市场
非对称影响
豆粕
price discovery
futures market
asymmetric effect
soybean meal
