| 中国期货市场价格波动非对称性效应的实证研究 |
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| 引用本文： | 罗孝玲,李一智,杨怀东. 中国期货市场价格波动非对称性效应的实证研究[J]. 中南大学学报(社会科学版), 2005, 11(6): 771-775 |
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| 作者姓名： | 罗孝玲 李一智 杨怀东 |
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| 作者单位： | 中南大学商学院,湖南,长沙,410083 |
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| 摘 要： | 采用EGARCH模型,以铜、大豆及小麦三个主要的连续期货合约收益序列为样本的实证研究表明:利空消息对我国期货价格波动的影响,要大于利多消息对期货价格波动的影响.对300个期货交易者的问卷调查结果也表明:我国期货投资者普遍存在的"过度恐惧"心理,是造成利空消息对期货价格波动的影响大于利多消息对期货价格波动的影响的最为重要的原因.
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| 关 键 词： | 期货市场 利多消息 利空消息 非对称性效应 EGARCH模型 |
| 文章编号： | 1672-3104(2005)06-0771-05 |
| 修稿时间： | 2005-09-15 |
An empirical study on asymmetric effect of price volatility on future market of China |
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| LUO Xiao-ling,LI Yi-zhi,YANG Huai-bong. An empirical study on asymmetric effect of price volatility on future market of China[J]. Journal of Central South Huiversity: Social Science, 2005, 11(6): 771-775 |
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| Authors: | LUO Xiao-ling LI Yi-zhi YANG Huai-bong |
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| Abstract: | This paper investigates the asymmetric impact of good news and bad news on the volatility on Chinese future markets by EGARCH for copper,soybean and wheat return series of consecutive futures contracts.The results show that bad news has greater impact on markets activities than good news.We inquired of 300 futures bargainers about this phenomenon and delivered questionnaire,which indicates that our local future investors have the mind of "over scare" universally,which is the most important reason to interpret why bad news has greater impact on markets activities than good news.At last we interpret the demonstration output in detail. |
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| Keywords: | futures market good news bad news asymmetric effect EGARCH model |
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