铜期货市场信息的国际传递被引量：9

International Transmission on Information in Copper Futures Markets

在线阅读下载PDF

导出

摘要本文运用AR(1)-非对称GARCH模型研究伦敦和上海铜期货市场之间的收益均值、波动和成交量的信息传递关系。实证结果表明,伦敦市场交易信息被整合反映到上海市场的开盘价上,并影响上海交易收益的波动。上海交易信息对伦敦交易收益及其波动的溢出效应十分显著,但对伦敦开盘价的影响小于伦敦交易对上海开盘价的影响。虽然上海市场能对伦敦交易施加短期影响,但在长期走势上伦敦市场引领上海市场。投资者和期货市场的监管者可以通过把握国际铜期货市场信息传递对期货定价的影响,决定投资和监管的关注重点。 Using AR(1)-Asymmetric GARCH specification, this paper studies return, volatility and trading volume spillover effects between LME and SHFE copper futures markets. Empirical results indicate LME trading information is incorporated into SHFE open price, and affects SHFE trading returns’ volatility. SHFE trading information has a very significant spillover effect on LME trading return’s level and volatility, whereas less significant on LME open auction than LME trading on SHFE open price. Although in short term SHFE copper trade greatly affects LME, LME still leads SHFE in long term. Investors and supervisors can grasp the impact of information transmission between international markets on futures pricing to figure out their focuses.

作者韩立岩郑葵方

机构地区北京航空航天大学经济管理学院

出处《管理评论》 CSSCI 2008年第1期9-16,25,共9页 Management Review

关键词国际市场期货定价信息传递溢出效应

分类号 F724.5 [经济管理—产业经济]

作者简介韩立岩，北京航空航天大学经济管理学院金融系主任，教授，博士生导师；郑葵方，北京航空航天大学经济管理学院博士研究生。

引文网络
相关文献

参考文献17

1Abhyankar,Abhay H Trading-round-the clock Retum, volatility and volumespillovers in the Eurodollarfuturesmarkets Pacific-Basin Finance Journal, 1995, 3: 75-92
2Bae, Kee-Hong, & G. Andrew Karolyi. Good News and International Spillovers of Stock Return Volatility between Japan and the US. Pacific-Basin Finance Journal, 1994, 2:405-438
3Booth, G. Geoffrey, & Cetin Ciner. International transmission of information in corn futures markets. Journal of Multinational Financial Management, 1997, 7:175-187
4WenDu H.Holly Wang.中国小麦期货市场的市场表现：基于与芝加哥期货市场的比较分析[J].中国金融学,2003,(12):125-125.
5Fong, Kingsley, & Martin Martens. Overnight futures trading: now even Australia and US have common trading hours. Journal of International Financial Markets, Institutions and Money, 2002, 12:167-182
6Lin, Sharon Xiaowen, & Michael N. Tamvakis. Spillover effects in energy futures markets. Energy Economics, 2001, 23:43-56
7Ross, Stephen A. Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy. Journal of Finance, 1989, 44 (1) : 1-17
8Tse Yiuman, & G. Geoffrey Booth. Common Volatility and Volatility Spillovers between US and Eurodollar Interest Rates: Evidence from the Futures Market. Journal of Economics and Business, 1996, 48:299-312
9Tse, Yiu-Man, & Tae-Hwy Lee, G Geoffrey Booth. The International transmission of information in Eurodollar futures markets: a continuously trading market hypothesis. Journal of International Money and Finance, 1996, 15 (3) : 447-465
10Wiley, Marilyn K, & Robert T Daigler. Volume Relationships among Types of Traders in the Financial Futures Markets. Journal of Futures Markets, 1998, 18 (1) : 91-113

二级参考文献42

1肖辉,吴冲锋,鲍建平,朱战宇.伦敦金属交易所与上海期货交易所铜价格发现过程[J].系统工程理论方法应用,2004,13(6):481-484. 被引量：41
2Ates, A. and G. Wang. Information transmission in electronic versus open - outcry trading systems : An analysis of U. S.equity index futures Markets [ J ]. The Journal of Futures Markets, 2005, Vol. 25, 679 -721.
3Baillie, R. T. , G. G. Booth, Y. Tse and T. Zabotina. Price discovery and common factor models [ J ]. Journal of Financial Markets, 2002, Vol. 5, 309-321.
4Breedon, F.. Why do the LIFFE and DTB bund futures contracts trade at different prices? [ P]. 1998, Working Paper.
5Breedon, F. and A. Holland. Electronic versus open outcry markets: the case of the bund futures contract[ P]. 1998,Working Paper.
6Domowize, I. , J. Glen and A. Madhavan. International cross - listing and order flow migration : evidence from an emerging market[J]. Journal of Finance, 1998, Vol. 53, 2001 -2027.
7Edgerton, D. and C. Wells. Critical values for the cusumsq statistic in medium and large sized samples [ J ]. Oxford Bulletin of Economics and Statistics, 1994, Vol. 56, 355 - 380.
8Engle, R. F. and C. W. J. Granger. Co-integration and error correction: representation, estimation, and testing[J].Econometrica, 1987, Vol. 55, 251 -276.
9Garbade, K. D. and W. L Silber. Dominant and satellite markets : A study of dually - traded securities [ J ]. Review of Economics and Statistics , 1979, Vol. 61,455-460.
10Garbade, K. D. and W. L Silber. Price movements and price discovery in futures and cash markets[ J]. Review of Economics and Statistics, 1983, Vol. 65,289 - 297.