中国粮食期货与现货市场间的多重分形交互相关性研究
Multifractal Cross-Correlations Between Grain Futures and Spot Markets in China
冯佑帅 1李杨2
作者信息
- 1. 湖州师范学院"两山"理念研究院,浙江 湖州 313000
- 2. 江苏开放大学教育学院,江苏 南京 210013
- 折叠
摘要
以中国的大豆、玉米和小麦的期货和现货价格为研究对象,运用多重分形非对称去趋势交互相关分析(MF-ADCCA)和多元多重分形去趋势交互相关分析(MV-MFDCCA)等多重分形分析方法探讨了中国粮食期货与现货市场之间交互关系的多重分形特征.实证结果表明,中国粮食期货与现货间的交互相关关系具有多重分形和非对称性特征,且粮食期货与现货间的交互关系的非对称性程度在不同的波动情形下存在差异.此外,粮食期货与现货系统之间的交互相关关系是多重分形的,且两个市场间的整体风险传染效应较弱.
Abstract
Taking the futures and spot prices of soybeans,corn and wheat in China as the research object,this paper applies the multifractal analysis methods including MF-ADCCA and MV-MFDCCA to explores the multifractal characteristics of cross-correlations between grain futures and spot markets in China.The empirical results show that the cross-correlations between grain futures and spot in China have multifractal and asymmetric characteristics,and the asymmetry degree of cross-correlations between grain futures and spot are distinct under different fluctuations.In addition,the cross-correlations between grain futures and spot systems in China are multifractal,and the overall risk contagion effect between the two markets is relatively weak.
关键词
粮食期货/MF-ADCCA/MV-MFDCCA/交互相关性/多重分形Key words
grain futures/MF-ADCCA/MV-MFDCCA/cross-correlation/multifractal引用本文复制引用
基金项目
江苏省研究生科研与实践创新计划项目(KYCX21_1442)
国家特殊需求博士人才科研专项课题(BSZX2021-08)
出版年
2024
NETL
NSTL
万方数据