刘庆富,徐闻宇,方磊

• 1:复旦大学金融研究院
• 2:南开大学商学院

摘要(Abstract)：

为研究中国商品期货市场假日效应的存在性及其特征,本文从收益和波动出发,在构建学生分布随机波动模型的基础上采用贝叶斯MCMC模拟技术对中国铜、铝、橡胶、大豆、豆粕和小麦期货市场的假日效应进行了实证分析,研究结果显示:假日前和假日后信息对商品期货交易收益及其波动均具有显著的影响,对不同交易品种而言,其影响方向及影响程度均存在一定差异;更具体地,对各类假日分别进行分析发现,元旦、春节、劳动节和国庆节的假日前和假日后信息对商品期货收益及其波动均具有显著的影响,且比分类之前假日前和假日后信息的影响能力明显增强,其个性特征也更加突出。

关键词(KeyWords)： 商品期货市场;假日效应;随机波动;贝叶斯MCMC

Abstract:

Keywords:

基金项目(Foundation): 国家自然科学基金项目“重大风险事件对中国期货市场的冲击效应研究”(项目编号:71073026);; 教育部人文社会科学规划项目“中国期货信息联结市场上的跳跃溢出行为——基于重大风险事件的视角”(项目编号:09YJC790044);; 上海哲学社会科学规划项目“中国股指期货市场极端风险的生成机理及应对策略研究”(项目编号:2010BJB015)的资助

作者(Author): 刘庆富,徐闻宇,方磊

DOI: 10.13269/j.cnki.ier.2012.02.009

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