文章借助我国2009年1月至2016年8月的月度数据,考虑到变量间关系可能存在结构突变,从非线性角度构建MSVAR-Full BEKK-GARCH模型对市场情绪、玉米期货价格和现货价格间的均值溢出和波动溢出关系进行了实证检验。研究发现：(1)玉米现货价格和期货价格间存在双向均值溢出效应,这表明玉米期货具有价格发现功能；(2)存在市场情绪对玉米现货价格及市场情绪对玉米期货价格的单向均值溢出效应；(3)市场情绪、玉米现货价格和玉米期货价格均具有显著的波动集聚性,且变量间存在双向波动溢出效应。最后,根据本文结论提出了相关政策建议。
英文摘要:
Using the monthly data from January,2009 to August, 2016, this paper establishesd MSVAR-Full BEKK-GARCH model to study the mean and volatility spillover effects among market sentiment, futures price and spot price of corn from the perspective of nonlinearity. Our study shows that, (1)there is bi-directional mean spillovers effects between futures price and spot price, which indicates that corn futures has price discovery function to some extent.(2)there are uni-directional mean spillover effects from market sentiment to future price and spot price. (3)there are strong volatility clustering and significantly bi-directional volatility spillover effects among market sentiment, future price and spot price of corn. At the end of this paper, we propose some policy recommendations.
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