基于 DCC-GARCH的中国大宗商品 金融化研究

本文选取2005年1月4日至2016年9月30日农产品类、金属类和工业品类等中国和国际大宗商品期货市场交易品种,以及国内外主要股票市场指数的日收益率,基于DCC--GARCH模型分析了期货市场和股票市场的波动性溢出关系和动态相依性。结果发现,股票市场对中国商品期货有波动率溢出效应,但是不同类型的大宗商品其波动率溢出效应有明显差异。这说明:中国大宗商品市场存在金融化现象,但是不同类型的大宗商品金融化的程度不同,和国际大宗商品期货市场相比,中国市场的金融化程度总体偏低。

A Study on the Financialization of Commodity Markets in China Based on DCC-GARCH Model

This paper mainly explores the dynamic conditional relationship and spillover effect between international commodity markets and stock markets based on DCC-GARCH model. The study includes agricultural, metal and chemical futures and international principal stock markets indices. Through a comparative of diverse commodities and different markets, it shows that the financialization exists in Chinese commodity market but the extent is different in diverse commodities, and the extent of financialization in Chinese commodity market is weaker than one in international markets.