| 中美大豆期货价格波动特征比较 |
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| 引用本文： | 徐团团,霍学喜,高志杰.中美大豆期货价格波动特征比较[J].安徽农业科学,2007,35(36):12119-12120,12123. |
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| 作者姓名： | 徐团团 霍学喜 高志杰 |
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| 作者单位： | 西北农林科技大学经济管理学院,陕西杨凌,712100 |
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| 摘 要： | 通过运用GARCH模型,研究了中美大豆期货收益序列波动的特征。对比研究表明:两个市场的价格收益序列具有较强的波动持续性,大连大豆期货市场在定价效率上和美国大豆期货市场是接近的,具有较高的定价效率。大连大豆期货市场要在完善制度、加强投资者教育的基础上,加快产品创新步伐,尽快推出大豆期权交易,完善大豆期货市场体系。
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| 关 键 词： | 期货 波动 比较 GARCH模型 |
| 文章编号： | 0517-6611（2007）36-12119-02 |
| 收稿时间： | 2007-06-25 |
| 修稿时间： | 2007年6月25日 |
Comparison of the Price Volatility between Sino-US Soybean Futures |
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| XU Tuan-tuan et al.Comparison of the Price Volatility between Sino-US Soybean Futures[J].Journal of Anhui Agricultural Sciences,2007,35(36):12119-12120,12123. |
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| Authors: | XU Tuan-tuan |
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| Abstract: | With the GARCH model,the volatility character of Sino-US soybean futures was studied.The comparison indicated that the two markets both had strong volatility persistence and the DCE soybean future market had the same efficiency in price making as the CBOT soybean future market.Advice was given that strengthened the product innovation such as soybean option,which should be on the base of perfecting the foundation work of the future market,and strengthened the investor education. |
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| Keywords: | Futures Volatility Comparison GARCH model |
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