| 纽约黄金期货价格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,何建敏.纽约黄金期货价格波动对我国期货市场收益率的影响研究[J].经济经纬,2010(2). |
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| 作者姓名： | 吴迪 何建敏 |
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| 作者单位： | 1. 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
2. 东南大学经济管理学院,江苏,南京,210096 |
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| 基金项目： | 国家自然科学基金资助项目(70671025);;江苏省软科学项目(SBR20090383) |
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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族模型对纽约黄金期货价格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 黄金期货 收益率 |
A Research into the Effect of Price Volatility of New York Gold Futures on the Return Rate of Chinese Futures Market |
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| WU Di,HE Jian-min.A Research into the Effect of Price Volatility of New York Gold Futures on the Return Rate of Chinese Futures Market[J].Economic Survey,2010(2). |
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| Authors: | WU Di HE Jian-min |
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| Institution: | 1.School of economics & management;Southeast University;Nanjing 210096;China;2.Nanjing University of Posts & Telecommunications;Nanjing 210003;China |
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| Abstract: | With the rapid development of the futures market of our country,the financial character of commodity futures becomes more and more evident.Using ADL and GARCH models,the authors research the dynamic relationship between the price volatility of New York gold futures and the price volatility of the futures of copper,zinc,natural rubber and fuel oil in Shanghai Futures Exchange. |
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| Keywords: | futures price gold futures return rate |
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