期货价格收益率与波动性的实证研究——以中国上海与英国伦敦为例

采用协整模型、Granger因果关系检验、ECM模型及几种GARCH模型对中国上海与英国伦敦金属期货价格收益率和波动性做了研究.发现两市期货价格之间存在Granger因果关系、协整关系、同向变动关系和长期的共同趋势.采用ECM模型研究了两市的短期波动差异.GARCH类模型研究发现,两市波动性存在非对称性、溢出效应、杠杆效应.上海对伦敦市场的单向溢出效应显著存在.两市存在的利空消息均大于利多消息的作用,伦敦期货市场风险大于上海期货市场风险.

The Empirical Research of Futures Price Return and Volatilities in Shanghai of China and London of U. K

In the paper,we made research for futures price return and volatilities in Shanghai of China and London of U.K through Co-integration model and Granger Causality relation Testing and ECM model and several GRACH models.We found that there is Granger Causality relation and co-integrated relation and same direction change relation and long-term common trend between Shanghai's and London's metal futures prices.We study short term fluctuation difference between two markets by ECM.The several GARCH models show that there is asymmetric and spillover effects and leverage effects between two markets.There have been prominent single direction spillover effects of Shanghai's futures market of China to London of U.K,and the effect of bad news is bigger than that of good news in the two markets.risk of London is bigger than Shanghai's