多元随机风险传染模型及沪铜场内外风险传染实证

中国管理科学 ›› 2012, Vol. 20 ›› Issue (3): 70-78.

多元随机风险传染模型及沪铜场内外风险传染实证

周伟, 何建敏, 余德建

东南大学经济管理学院, 江苏南京 211189

收稿日期:2011-01-20 修回日期:2012-03-26 出版日期:2012-06-29 发布日期:2012-07-05
基金资助:
国家重点基础研究发展计划资助项目(2010CB328104-02);国家自然科学基金资助项目(71071034);教育部人文社会科学青年基金项目(12YJC630101);江苏省普通高校研究生科研创新计划资助项目(CXZZ-0183);教育部博士研究生学术新人奖资助

Multivariate Stochastic Contagion Model and Its Application in the Copper and Other Metal Futures Markets

ZHOU Wei, HE Jian-min, YU De-jian

School of Economics and Administration, Southeast University, Nanjing 211189, China

Received:2011-01-20 Revised:2012-03-26 Online:2012-06-29 Published:2012-07-05

摘要/Abstract

摘要： 为了更合适的度量金融市场间风险传染整体效果,本文通过理论分析构造了风险传染方程,其风险传染项相比已有的系数风险传染项与协方差时变风险传染项更具实际意义,并借鉴多元GARCH建模原理建立了结合均值溢出、波动溢出与风险传染项的多元随机风险传染模型,设计了模型的MCMC迭代求解算法,满足解的完整性。最后,运用模型对沪铜场内外风险传染现象进行了实证,实证结果不仅验证了一系列已有研究结论,同时还给出了一些符合期货实情的新结论,如金融市场间风险传染类似金融市场波动存在集聚效应、沪铜与沪铝市场存在风险传染交替变化现象、市场行情的变化能提前反映于风险传染效果中等。这也充分表明新模型的有效性、实用性以及优越性。

关键词: 均值溢出, 波动溢出, 风险传染, MCMC迭代算法, 沪铜

Abstract: To appropriately measure the overall contagion effect in different financial markets, a multivariate stochastic contagion model according to multivariate GARCH model including the mean spillover equation, the fluctuation spill equation and the contagion equation is proposed. The new contagion equation is proposed by combining the real financial contagion phenomenon which is different from the fixed coefficient contagion variable and the general covariance contagion variable. Then, a whole solution method based on the MCMC iterative algorithm is given out. In the end, the contagion effect in copper and other metal futures markets using the new contagion model are fitted and forecasted. The empirical results verify some conclusions from previous literatures and give out some new conclusions such as the contagion accumulative effect, the risk alternately phenomenon between the copper and aluminum futures markets, the slow market change in the contagion phenomenon and so on. Moreover, the empirical result also shows the effectiveness, practicality and superiority of this new contagion model.

Key words: mean spillover, fluctuations spillover, contagion, MCMC iterative algorithm, copper futures

中图分类号:

F803.91

周伟, 何建敏, 余德建. 多元随机风险传染模型及沪铜场内外风险传染实证 [J]. 中国管理科学, 2012, 20(3): 70-78.

ZHOU Wei, HE Jian-min, YU De-jian. Multivariate Stochastic Contagion Model and Its Application in the Copper and Other Metal Futures Markets[J]. Chinese Journal of Management Science, 2012, 20(3): 70-78.

参考文献

[1] King M, Wedhwtmi S. Transmission of volatility between stock markets [J]. Review of Financial Studies, 1990, 3(1): 5-33.
[2] Boyer B H, Kumagai T, Yuan K. How do crises spread? Evidences from in accessible stock indices [J]. Journal of Finance, 2006, 61(2): 957-1003.
[3] Boot G G, Lee T H, Tse Y. International linkages in Nikkei stock index futures markets [J]. Pacific Basin Journal, 1996, 4(1): 59-76.
[4] Lin S X, Tamvakis M N. Spillover effects in energy futures markets [J].Energy Economics, 2001,23(1): 43-56.
[5] Forbes K J, Roberto R. No contagion, only inter dependence: measuring stock market co-movements [J]. Journal of Finance, 2002, 57(5): 2223-2261.
[6] Yang Jian, Kolari J W, Sutanto P W. On the stability of long-run relationships between emerging and US stock markets [J]. Journal of Multinational Financial Management, 2004, 14(3): 233-248.
[7] Cappiello L, Engle R F, Sheppard K. Asymmetric dynamics in the correlations of global equity and bond returns [J]. Journal of Financial Econometrics,2006, 4(4): 537-572.
[8] Pesaran M H, Pick A. Econometric issues in the analysis of contagion [J]. Journal of Economic Dynamics & Control, 2007, 31(4): 1245-1277.
[9] 周伟, 何建敏.我国金属期货市场的交叉影响及其传导效应实证研究 [J]. 上海经济研究, 2011, 8: 63-70.
[10] 华仁海,陈百助.国内、国际期货市场期货价格之间的关联研究 [J]. 经济学(季刊), 2004, 3(3): 727-742.
[11] 肖辉, 吴冲锋.伦敦金属交易所与上海期货交易所铜价格发现过程 [J]. 系统工程理论方法应用, 2004, 13(6): 481-485.
[12] 林宇.中国股市与国际股市的极值风险传导效应研究[J]. 中国管理科学, 2008, 16(4): 36-43.
[13] 叶五一, 缪柏其.基于Copula变点检测的美国次级债金融危机传染分析 [J]. 中国管理科学, 2009, 17(3): 1-7.
[14] 方毅, 张屹山.国内外金属期货市场"风险传染"的实证研究 [J]. 金融研究, 2007, 5: 133-144.
[15] 王宝, 肖庆宪.我国金融市场间风险传染特征的实证检验 [J]. 统计与决策, 2008, 11: 78-79.
[16] 刘庆富, 张金清, 华仁海.LME与SHFE金属期货市场之间的信息传递效应研究 [J]. 管理工程学报, 2008, 2(2): 155-159.
[17] 柴尚蕾, 郭崇慧, 苏木亚. 基于ICA模型的国际股指期货及股票市场对我国股市波动溢出研究 [J]. 中国管理科学, 2011, 19(3): 11-18.
[18] Joans A.On the normal inverses gaussian stochastic volatility model [J]. Journal of Business of Economics Statistics, 2001, 19(1): 44-52.
[19] 余素红, 张世英, 宋军.基于GARCH模型和SV模型的VaR比较 [J]. 管理科学学报, 2004, 7(5): 61-66.
[20] Yu Jun. On leverage in a stochastic volatility model [J]. Journal of Econometrics, 2005,127(2): 165-178.
[21] Meyer R, Yu J. BUGS for a Bayesian analysis of stochastic volatility models [J]. Econometrics Journal, 2000, 3(2): 198-215.
[22] 卢斌, 华仁海.基于MCMC方法的中国期货市场流动性研究 [J]. 管理科学学报, 2010, 13(9): 98-102.
[23] 张屹山, 方毅,黄现.中国期货市场功能及国际影响的实证研究 [J].管理世界, 2006, 4: 28-34.