| 美国CRB指数波动对我国期货市场收益率的影响研究 |
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| 引用本文： | 吴迪.美国CRB指数波动对我国期货市场收益率的影响研究[J].西安电子科技大学学报(社会科学版),2010,20(2):16-21. |
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| 作者姓名： | 吴迪 |
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| 作者单位： | 东南大学,经济管理学院,江苏,南京,210096;南京邮电大学,江苏,南京,210003 |
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| 基金项目： | 国家自然科学基金，江苏省软科学项目 |
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| 摘 要： | 随着我国期货市场的迅速发展,商品期货逐步显示出金融属性。本文运用自回归分布滞后模型结合GARCH族模型对CRB指数波动与我国上海期货交易所沪铜、沪铝、沪锌、天然橡胶、燃料油期货价格波动之间的动态关系展开研究,以考察宏观经济运行对我国期货市场的影响。
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| 关 键 词： | 期货价格 CRB指数 收益率 |
Effects of Volatility of CRB Index on Return Rate of Chinese Futures |
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| WU DI.Effects of Volatility of CRB Index on Return Rate of Chinese Futures[J].Journal of Xidian University (Social Sciences Edition),2010,20(2):16-21. |
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| Authors: | WU DI |
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| Institution: | WU DI1,2(1.School of Economics & Management,Southeast University,Nanjing,210096,China,2.Nanjing University of Posts & Telecommunications,210003,China) |
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| Abstract: | With rapid development of Chinese futures market,financial character of commodity futures becomes more and more clear.Based on ADL and GARCH models,the dynamic relationship between volatility of CRB Index and SHFE futures is studied to disclose influence of macroeconomics on SHFE futures market. |
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| Keywords: | Futures price CRB Index Return rate |
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