An empirical study on information spillover effects between the chinese copper futures market and spot market
文献类型：期刊论文
| 作者 | Liu, Xiangli1,2; Cheng, Siwei2; Wang, Shouyang2; Hong, Yongmiao3,4; Li, Yi2 |
| 刊名 | Physica a-statistical mechanics and its applications
 |
| 出版日期 | 2008-02-01 |
| 卷号 | 387期号:4页码:899-914 |
| 关键词 | Futures market Kernel function Backtest Information spillover Granger causality Conditional var Extreme upside risk Extreme downside risk |
| ISSN号 | 0378-4371 |
| DOI | 10.1016/j.physa.2007.09.044 |
| 通讯作者 | Liu, xiangli(05liuxiangli@mails.gucas.ac.cn) |
| 英文摘要 | This study employs a parametric approach based on tgarch and garch models to estimate the var of the copper futures market and spot market in china. considering the short selling mechanism in the futures market, the paper introduces two new notions: upside var and extreme upside risk spillover. and downside var and upside var are examined by using the above approach. also, we use kupiec's [p.h. kupiec, techniques for verifying the accuracy of risk measurement models, journal of derivatives 3 (1995) 73-84] backtest to test the power of our approaches. in addition, we investigate information spillover effects between the futures market and the spot market by employing 4 linear granger causality test, and granger causality tests in mean, volatility and risk respectively. moreover, we also investigate the relationship between the futures market and the spot market by using a test based on a kernel function. empirical results indicate that there exist significant two-way spillovers between the futures market and the spot market, and the spillovers from the futures market to the spot market are much more striking. (c) 2007 elsevier b.v. all rights reserved. |
| WOS关键词 | PRICE DISCOVERY ; CONDITIONAL HETEROSKEDASTICITY ; TIME-SERIES ; VOLATILITY ; CAUSALITY ; RETURNS ; MODELS ; RATES |
| WOS研究方向 | Physics |
| WOS类目 | Physics, Multidisciplinary |
| 语种 | 英语 |
| WOS记录号 | WOS:000252613300017 |
| 出版者 | ELSEVIER SCIENCE BV |
| URI标识 | http://www.irgrid.ac.cn/handle/1471x/2387100 |
| 专题 | 中国科学院大学 |
| 通讯作者 | Liu, Xiangli |
| 作者单位 | 1.Beijing Informat Technol Inst, Dept Fundamental, Beijing 100101, Peoples R China 2.Chinese Acad Sci, Grad Sch, Sch Management, Beijing 100080, Peoples R China 3.Cornell Univ, Dept Econ, Ithaca, NY 14850 USA 4.Cornell Univ, Dept Stat Sci, Ithaca, NY 14850 USA |
| 推荐引用方式 GB/T 7714 | Liu, Xiangli,Cheng, Siwei,Wang, Shouyang,et al. An empirical study on information spillover effects between the chinese copper futures market and spot market[J]. Physica a-statistical mechanics and its applications,2008,387(4):899-914. |
| APA | Liu, Xiangli,Cheng, Siwei,Wang, Shouyang,Hong, Yongmiao,&Li, Yi.(2008).An empirical study on information spillover effects between the chinese copper futures market and spot market.Physica a-statistical mechanics and its applications,387(4),899-914. |
| MLA | Liu, Xiangli,et al."An empirical study on information spillover effects between the chinese copper futures market and spot market".Physica a-statistical mechanics and its applications 387.4(2008):899-914. |
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来源：中国科学院大学
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