浙江社会科学

本文根据Pagan and Sossounov的非参数诊断思想,对我国铜期货市场进行牛熊市划分。在此基础上,采用EGARCH模型研究不同市场态势下我国铜期货市场的波动性特征,结果表明我国铜期货市场在牛市和熊市阶段存在显著的波动非对称性。牛市阶段体现为显著的收益正冲击效应,即"利好"消息大于"利空"消息的影响;熊市阶段体现为显著的收益负冲击效应,即"利空"消息大于"利好"消息的影响。文章进一步从行为金融学的角度探讨了我国铜期货市场存在上述波动非对称性的原因,并据此建议我国监管部门应适时引进期货市场的机构投资者,大力发展期货投资基金。

In this paper,we divide Chinese copper futures market into bear and bull stages according to the thought of non-parameters of Pagan and Sossounov.On the basis,we adopt an EGARCH model to research the volatility of Chinese copper futures market in different stages.The result demonstrates that there are asymmetric volatile effects in different stages.In the bull stage,there is an obvious positive innovative effect;in the bear stage,an obvious negative innovative effect.We then analyze the cause of asymmetric volatile effects in different stages from an angle of behavior finance.Finally,we advise Chinese supervision department to gradually introduce institutional investors and develop investment funds in Chinese futures market.