| 时变信息溢出检验及其在金融市场中的应用 |
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| 引用本文： | 陆凤彬,洪永淼.时变信息溢出检验及其在金融市场中的应用[J].管理科学学报,2012,15(4):31-39,57. |
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| 作者姓名： | 陆凤彬 洪永淼 |
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| 作者单位： | 1. 中国科学院数学与系统科学研究院,北京,100190
2. 厦门大学王亚南经济研究院,厦门,361005 |
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| 基金项目： | 国家自然科学基金资助项目，上海市智能信息处理重点实验室开放课题资助项目 |
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| 摘 要： | 本文将Haugh和Hong提出的信息溢出统计量与滚动窗方法相结合,建立两类时变信息溢出统计量,并给出滚动窗大小的选取准则.Monte Carlo模拟表明,两类统计量可以较好地刻画信息溢出的时变性特征,且基于Hong统计量的时变统计量具有更高的检验功效.实证表明,上海期货交易所(SHFE)和伦敦金属交易所(LME)铜期货市场间的信息溢出具有明显的时变特征,且SHFE在国际铜期货市场的影响力存在提升趋势.
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| 关 键 词： | Granger因果检验 信息溢出 时变性 滚动窗方法 铜期货市场 |
Time-varying information spillover tests and their application to financial markets |
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| LU Feng-bin
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HONG Yong-miao.Time-varying information spillover tests and their application to financial markets[J].Journal of Management Sciences in China,2012,15(4):31-39,57. |
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| Authors: | LU Feng-bin HONG Yong-miao |
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| Institution: | 1.Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing 100190,China; 2.Wang Yanan Institute for Studies in Economics,Xiamen University,Xiamen 361005,China |
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| Abstract: | This paper proposes two types of time-varying information spillover tests by combining Haugh and Hong statistics with rolling window method,and gives the selection rules of the rolling window size.Monte Carlo simulations show that both tests have good performances,and Hong’s time-varying tests show better performance.The empirical study on the time-varying information spillover between Shanghai Futures Market(SHFE) and London Metal Exchange(LME) copper futures market show that the information spillovers between the two markets are apparently time-varying and SHFE’s role in global copper markets raises gradually. |
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| Keywords: | Granger test information spillover time-varying character rolling window method copper futures markets |
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