Chinese Journal of Management Science ›› 2024, Vol. 32 ›› Issue (5): 254-264.doi: 10.16381/j.cnki.issn1003-207x.2021.0747
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Wenhua Yu1,Xiangyang Ren1,Kun Yang1,2,Yu Wei3()
Received:
2021-04-15
Revised:
2021-10-14
Online:
2024-05-25
Published:
2024-06-06
Contact:
Yu Wei
E-mail:weiyusy@126.com
CLC Number:
Wenhua Yu,Xiangyang Ren,Kun Yang,Yu Wei. Asymmetric Effects of Infectious Diseases-related Uncertainty on the Volatility of Commodity Futures[J]. Chinese Journal of Management Science, 2024, 32(5): 254-264.
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期货 市场 | 平均值 | 标准差 | 偏度 | 峰度 | J-B | ADF |
---|---|---|---|---|---|---|
Panel A:传染病不确定性 | ||||||
EMVID | 0.015 | 0.659 | 0.154*** | 3.418*** | 3.4*** | -17.346*** |
Panel B:整体波动 | ||||||
原油 | 0.014 | 0.029 | 9.652*** | 112.263*** | 157478.6*** | -8.949*** |
黄金 | 0.004 | 0.005 | 3.853*** | 21.676*** | 5221.3*** | -4.247*** |
铜 | 0.006 | 0.008 | 6.420*** | 60.233*** | 4409.5*** | -5.435*** |
大豆 | 0.005 | 0.008 | 8.562*** | 103.970*** | 134160.3*** | -6.828*** |
瘦肉猪 | 0.013 | 0.017 | 2.991*** | 13.743*** | 1934.1*** | -6.768*** |
Panel C:好波动 | ||||||
原油 | 0.007 | 0.013 | 9.620*** | 122.339*** | 186910.9*** | -8.291*** |
黄金 | 0.002 | 0.004 | 4.288*** | 26.502*** | 8006.0*** | -4.311*** |
铜 | 0.003 | 0.003 | 3.873*** | 22.416*** | 5589.6*** | -4.333*** |
大豆 | 0.002 | 0.003 | 8.940*** | 119.134*** | 176611.3*** | -6.587*** |
瘦肉猪 | 0.006 | 0.011 | 4.171*** | 23.727*** | 6385.4*** | -8.505*** |
Panel D:坏波动 | ||||||
原油 | 0.007 | 0.018 | 9.849*** | 110.969*** | 154080.8*** | -9.721*** |
黄金 | 0.002 | 0.002 | 3.088*** | 13.943*** | 2019.7*** | -5.491*** |
铜 | 0.003 | 0.005 | 7.809*** | 83.806*** | 86645.0*** | -6.854*** |
大豆 | 0.003 | 0.006 | 7.087*** | 70.079*** | 60126.9*** | -7.358*** |
瘦肉猪 | 0.006 | 0.011 | 3.381*** | 16.963*** | 3078.8*** | -8.073*** |
"
变量 | 原油 | 黄金 | 铜 | 大豆 | 瘦肉猪 |
---|---|---|---|---|---|
Panel A: m=2 | |||||
2.813*** | 3.587*** | 2.628*** | 2.286** | 2.626*** | |
2.838*** | 3.555*** | 2.324** | 2.208** | 3.221*** | |
2.055** | 3.126*** | 2.583*** | 2.588*** | 2.789*** | |
Panel B: m=3 | |||||
4.139*** | 3.553*** | 2.406** | 2.160** | 3.576*** | |
3.575*** | 2.657*** | 2.143** | 2.085** | 4.140*** | |
3.804*** | 4.191*** | 2.348** | 2.394** | 3.621*** | |
Panel C: m=4 | |||||
4.025*** | 3.638*** | 2.372** | 2.113** | 3.537*** | |
3.317*** | 2.120** | 2.112** | 1.906* | 3.953*** | |
3.540*** | 4.217*** | 2.350** | 2.398** | 3.441*** | |
Panel D: m=5 | |||||
2.969*** | 2.649*** | 2.436** | 2.241** | 3.805*** | |
2.322** | 1.756* | 2.112** | 2.135** | 2.398** | |
2.229** | 2.118** | 2.415** | 2.456** | 2.898*** |
"
期货市场 | 原假设:EMVID不是特定商品期货波动在 | ||||||||
---|---|---|---|---|---|---|---|---|---|
0.1 | 0.2 | 0.3 | 0.4 | 0.5 | 0.6 | 0.7 | 0.8 | 0.9 | |
原油 | 2.516*** | 3.826*** | 4.174*** | 4.597*** | 4.826*** | 4.959*** | 4.294*** | 3.215*** | 3.090*** |
黄金 | 1.704* | 2.553*** | 2.653*** | 3.248*** | 3.286*** | 3.222*** | 2.870*** | 2.710*** | 2.142** |
铜 | 2.048** | 2.721*** | 3.248*** | 3.995*** | 3.656*** | 3.180*** | 2.758*** | 2.493*** | 1.609 |
大豆 | 2.473*** | 2.931*** | 3.281*** | 3.563*** | 3.326*** | 3.590*** | 3.719*** | 2.582*** | 1.803* |
瘦肉猪 | 3.108*** | 4.241*** | 4.514*** | 4.817*** | 4.931*** | 4.908*** | 4.722*** | 3.776*** | 2.778*** |
条件波动率: | |||||||||
原油 | 3.823*** | 5.028*** | 5.219*** | 5.098*** | 5.136*** | 4.802*** | 4.177*** | 3.828*** | 2.705*** |
黄金 | 4.232*** | 4.992*** | 4.806*** | 4.545*** | 4.665*** | 4.495*** | 4.218*** | 3.647*** | 3.009*** |
铜 | 3.265*** | 4.194*** | 4.427*** | 5.263*** | 4.891*** | 4.458*** | 4.306*** | 4.049*** | 2.950*** |
大豆 | 2.022** | 3.381*** | 3.422*** | 3.379*** | 3.366*** | 3.115*** | 2.611*** | 2.204** | 1.797* |
瘦肉猪 | 1.541 | 2.231** | 2.856*** | 3.636*** | 4.094*** | 3.810*** | 3.940*** | 3.505*** | 2.295** |
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