[1]刘建和,田嘉惠,王玉斌,等.基于变结构的Copula函数中美大豆期货波动溢出效应变动研究[J].大豆科学,2019,38(03):469-476.[doi:10.11861/j.issn.1000-9841.2019.03.0469]
　LIU Jian-he,TIAN Jia-hui,WANG Yu-bin,et al.Volatility Spillover Effect Between Chinese and American Soybean Futures Markets Based on Variable Structure Copula Function[J].Soybean Science,2019,38(03):469-476.[doi:10.11861/j.issn.1000-9841.2019.03.0469]
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基于变结构的Copula函数中美大豆期货波动溢出效应变动研究

《大豆科学》[ISSN:1000-9841/CN:23-1227/S] 卷: 第38卷 期数: 2019年03期 页码: 469-476 栏目: 出版日期: 2019-05-20
Title:
Volatility Spillover Effect Between Chinese and American Soybean Futures Markets Based on Variable Structure Copula Function
作者:
刘建和1; 田嘉惠1; 王玉斌2; 吴航宗1
（1.浙江财经大学 金融学院， 浙江 杭州 310018； 2.中国农业大学 经济管理学院， 北京 100083 ）
Author(s):
(1.School of Finance, Zhejiang University of Finance & Economics, Hangzhou 310018,China； 2.College of Economics and Management, China Agricultural University, Beijing 100083,China)
关键词:
：溢出效应; 大豆期货; 黄大豆1号; Copula函数; 变结构Copula函数
Keywords:
Spillover effect;  Soybean futures;  No.1 soybean futures;  Copula function;  Variable structure Copula function
DOI:
10.11861/j.issn.1000-9841.2019.03.0469
文献标志码:
A
摘要:
近年来，我国大豆需求量逐年上升， 而国产大豆产量却逐渐下降，进口量迅速上升。自美国政府对我国发起贸易战以来，大豆期货价格大幅变动。因此，研究中国大豆期货价格的形成机制尤为重要。本文通过建立变结构的正态Copula-GARCH(1,1)-t模型检验DCE（大连商品交易所）和CBOT（芝加哥商品交易所）两个市场之间的波动溢出效应，并利用Bayes时序诊断和Z检验方法诊断变结构点。结果发现：CBOT大豆期货的波动性高于DCE大豆期货，DCE与CBOT大豆期货市场之间存在波动溢出效应，DCE与CBOT大豆期货时变相关系数序列有3个变结构点最为显著。据此，对DCE与CBOT大豆期货的波动溢出效应的变化原因进行了分析。
Abstract:
In recent years, the demand of China′s soybean has been increasing while the production of domestic soybean gradually declining, and imports have been rising rapidly. Since the US government initiated a trade war against China, the prices of soybean futures have changed significantly. Thus, it is especially important to study price formation and mechanism of China′s soybean futures. Therefore, this paper tested the volatility spillover effects between CBOT and DCE markets by establishing a normalized variable structure Copula-GARCH(1,1)-t model, uses Bayesian Time Series Diagnosis and Z test to observe the variable structure points. The results showed that the volatility of DCE soybean futures was lower than CBOT soybean futures, and there existed volatility spillover effect between CBOT soybean futures market and DCE soybean futures market. And there were three significant variable structure points. The paper analyzes the reasons of the correlation changes between CBOT and DCE soybean futures.

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备注/Memo

收稿日期：2018-12-25

基金项目：国家社会科学基金（16BJY004）。
第一作者简介：刘建和（1973-），男，博士，教授，主要从事金融市场、家庭金融研究。E-mail:bruceliu@zufe.edu.cn。
通讯作者：王玉斌（1974-），男，博士，副教授，主要从事农村金融、家庭金融研究。E-mail:wyb@cau.edu.cn。

更新日期/Last Update: 2019-05-31