| 国内外白糖期货风险控制实证研究 |
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| 引用本文： | 杨照东,魏振祥.国内外白糖期货风险控制实证研究[J].湖南财经高等专科学校学报,2008,24(1):113-115. |
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| 作者姓名： | 杨照东 魏振祥 |
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| 作者单位： | 1. 郑州商品交易所,研发部,河南,郑州,450008
2. 西安交通大学,管理学院,陕西,西安,710049 |
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| 摘 要： | 应用计量经济学相关性分析、时间序列格兰杰（Granger）因果检验和统计概率分析对郑州白糖期货和纽约白糖期货、郑州白糖期货和南宁白糖现货价格相关性和相互引导关系进行了分析，并根据研究结果对纽约白糖期货和南宁白糖现货对郑州白糖价格影响做出分析，发现国外白糖期货市场和国内白糖现货市场与郑州白糖期货具有联动性效应，应加强风险控制。
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| 关 键 词： | 白糖期货 保证金 涨跌停板 格兰杰因果检验 隔日波动率 |
| 文章编号： | 1009-4148(2008)01-0113-03 |
| 修稿时间： | 2007年11月15 |
An Empirical Research on Risks Control of White Sugar Futures at Home and Abroad |
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| YANG Zhao-dong,WEI Zhen-xiang.An Empirical Research on Risks Control of White Sugar Futures at Home and Abroad[J].Journal of Hunan Financial and Economic College,2008,24(1):113-115. |
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| Authors: | YANG Zhao-dong WEI Zhen-xiang |
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| Institution: | YANG Zhao-dong WEI Zhen-xiang(R&D Department,Zhengzhou Commodity Exchange,Zhengzhou Henan 450008,Management School,Xi'an Jiaotong University,Xi'an Shannxi 710049) |
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| Abstract: | Correlation and mutual guiding relations between Zhengzhou and New York white sugar futures,as well as Zhengzhou white sugar futures prices and Nanning white sugar spot prices were analyzed mainly by correlation analysis of econometrics,time series Granger causality test and statistical probability analysis.In the light of the findings,the impact of New York white sugar futures and Nanning white sugar spot on the prices of Zhengzhou white sugar was analyzed,thus the linkage effects between foreign white sug... |
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| Keywords: | white sugar futures margin price limit granger causality test interday fluctuating rate |
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