本文關(guān)鍵詞： 滬銅價(jià)格波動(dòng) GARCH模型 逐步回歸 因子分析　出處：《江西財(cái)經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：隨著我國經(jīng)濟(jì)的發(fā)展，，對(duì)銅的需求越來越大，我國已經(jīng)成為世界最大的銅生產(chǎn)國和消費(fèi)國。受全球經(jīng)濟(jì)一體化的影響，我國銅現(xiàn)貨市場(chǎng)和國際銅現(xiàn)貨市場(chǎng)聯(lián)系越緊密，而我國滬銅期貨市場(chǎng)更是成為僅次于LME銅期貨市場(chǎng)的世界第二大期銅交易市場(chǎng)。近年來滬銅價(jià)格出現(xiàn)了大起大落現(xiàn)象，尤其是2008年金融危機(jī)期間滬銅價(jià)格波動(dòng)更為明顯，鑒于此，對(duì)滬銅期貨市場(chǎng)的研究具有重要價(jià)值，可以為投資者和套期保值者提出規(guī)避風(fēng)險(xiǎn)的方法和投資技巧，為政策制定者提供相關(guān)政策制定的依據(jù)，為監(jiān)管者提供監(jiān)管措施等建議。 本文首先闡述了銅在國內(nèi)及世界運(yùn)用情況，介紹了銅期貨在國外和我國期貨市場(chǎng)的交易情況，通過簡(jiǎn)單介紹可以發(fā)現(xiàn)銅的重要性，研究銅期貨對(duì)于我國期貨市場(chǎng)發(fā)展意義重大。并且介紹了國外關(guān)于期貨市場(chǎng)發(fā)展的理論研究和實(shí)證研究以及我國銅期貨市場(chǎng)實(shí)證研究。通過期貨價(jià)格形成機(jī)制，結(jié)合滬銅期貨交易標(biāo)準(zhǔn)合約，具體分析了影響滬銅期價(jià)因素。利用滬銅期價(jià)每日數(shù)據(jù)，采用GARCH、GARCH-M和E-GARCH等模型分析了滬銅價(jià)格波動(dòng)的條件異方差效應(yīng)、風(fēng)險(xiǎn)溢價(jià)效應(yīng)和杠桿效應(yīng)，研究發(fā)現(xiàn)滬銅收益率序列只存在條件異方差效應(yīng)，并不存在風(fēng)險(xiǎn)溢價(jià)效應(yīng)和杠桿效應(yīng)。利用銅現(xiàn)貨市場(chǎng)價(jià)格、LME銅價(jià)、NYMEX-COMEX輕質(zhì)原油期貨價(jià)格、外匯市場(chǎng)中的美元指數(shù)、美國工業(yè)指數(shù)IP、中國采購經(jīng)理指數(shù)PMI、LME銅庫存、LME銅持倉量、SHFE期鋁價(jià)格ALP、SHFE銅庫存、SHFE銅持倉量和路透社CRB綜合期貨指數(shù)等為解釋變量，SHFE銅價(jià)為被解釋變量，采用逐步回歸分析法研究了影響滬銅期價(jià)因素，最后得出銅現(xiàn)貨市場(chǎng)價(jià)格（cp）、中國采購經(jīng)理指數(shù)PMI（pmi）和路透社CRB綜合期貨指數(shù)（crb）三個(gè)變量對(duì)上海期貨交易所期銅價(jià)格具有顯著影響，當(dāng)然解釋變量間可能存在一定程度的共線性。各個(gè)系數(shù)都為正，說明SHFE銅價(jià)波動(dòng)與銅現(xiàn)貨市場(chǎng)價(jià)格、中國采購經(jīng)理指數(shù)PMI、路透社CRB綜合期貨指數(shù)正相關(guān)，這也符合經(jīng)濟(jì)發(fā)展常理，因?yàn)楝F(xiàn)貨價(jià)格上漲，說明現(xiàn)貨市場(chǎng)需求大于供給，提高投資者的價(jià)格預(yù)期，遠(yuǎn)期交易價(jià)格上漲，期貨價(jià)格也上漲；中國采購經(jīng)理指數(shù)越高，表明中國經(jīng)濟(jì)越景氣，對(duì)于銅的需求增加，需求旺盛，期銅價(jià)格上漲；路透社CRB綜合期貨指數(shù)越大，說明炒作基金看漲期貨市場(chǎng)，期銅價(jià)格上漲�；貧w方程可絕系數(shù)和調(diào)整的可絕系數(shù)都為0.998，非常高，可以擬合方程；方程顯著；各項(xiàng)系數(shù)顯著。 然后對(duì)因子分析理論進(jìn)行介紹，闡述因子回歸步驟，利用銅現(xiàn)貨市場(chǎng)價(jià)格、LME銅價(jià)、NYMEX-COMEX輕質(zhì)原油期貨價(jià)格、外匯市場(chǎng)中的美元指數(shù)、美國工業(yè)指數(shù)IP、中國采購經(jīng)理指數(shù)PMI、LME銅庫存、LME銅持倉量、SHFE期鋁價(jià)格ALP、SHFE銅庫存、SHFE銅持倉量和路透社CRB綜合期貨指數(shù)等12個(gè)解釋變量進(jìn)行了因子分析，計(jì)算因子得分。從方差貢獻(xiàn)率和累積方差貢獻(xiàn)率來看，前三個(gè)因子累積方差貢獻(xiàn)率達(dá)到83.717%，第一個(gè)因子方差貢獻(xiàn)率達(dá)到51.078%，說明第一個(gè)因子對(duì)原有變量解釋效果比較好，第一個(gè)因子在倫銅期價(jià)、滬鋁期貨價(jià)格、銅現(xiàn)價(jià)、原油期貨價(jià)格、路透社CRB綜合期貨指數(shù)和美元指數(shù)等變量上有較大的載荷，反映了相關(guān)市場(chǎng)、大宗商品價(jià)格以及商品指數(shù)基金炒作因素對(duì)滬銅期價(jià)影響。第二個(gè)因子在倫銅庫存、倫銅持倉量、滬銅庫存和滬銅持倉量具有較大載荷，反映供求關(guān)系對(duì)滬銅價(jià)格影響，對(duì)全部初始變量的方差貢獻(xiàn)率為23.920%。第三個(gè)因子在中國采購經(jīng)理指數(shù)上有較大載荷，反映了中國經(jīng)濟(jì)景氣程度對(duì)滬銅期價(jià)影響，它對(duì)全部初始變量的方差貢獻(xiàn)率為8.719%。利用因子回歸分析法分析影響滬銅期價(jià)的各因子，最終三個(gè)因子對(duì)滬銅期價(jià)都有顯著影響，銅現(xiàn)貨價(jià)格對(duì)滬銅價(jià)格影響最為明顯，當(dāng)然中國采購經(jīng)理指數(shù)PMI（pmi）和路透社CRB綜合期貨指數(shù)（crb）對(duì)滬銅價(jià)格波動(dòng)也有一定的影響。 最后通過對(duì)以上結(jié)果分析總結(jié)，為投資者、套期保值者和監(jiān)管者等提出建議。對(duì)于投資者和套期保值者而言，應(yīng)該關(guān)注現(xiàn)貨價(jià)格波動(dòng)和我國經(jīng)濟(jì)發(fā)展景氣程度等基本面，以現(xiàn)貨價(jià)格和我國經(jīng)濟(jì)發(fā)展作為基本面來分析滬銅期貨價(jià)格的波動(dòng)，更好的選擇期貨合約的買賣；商品指數(shù)基金對(duì)滬銅期價(jià)影響較大，我國在發(fā)展資本市場(chǎng)的同時(shí)，也要注意適當(dāng)?shù)馁Y本管制，嚴(yán)厲打擊國外和國內(nèi)的一些炒作基金左右滬銅期價(jià)；我國滬銅期價(jià)并不存在杠桿效應(yīng)和風(fēng)險(xiǎn)溢價(jià)效應(yīng)，投資者盲目跟風(fēng)，追漲殺跌，所以交易所應(yīng)該嚴(yán)格實(shí)施保證金制度和大戶報(bào)告制度等風(fēng)險(xiǎn)管理制度；對(duì)于政府，除了應(yīng)該加強(qiáng)監(jiān)管以外，還需要結(jié)合我國經(jīng)濟(jì)發(fā)展和資本市場(chǎng)的發(fā)展，參照國外期貨市場(chǎng)發(fā)展的先進(jìn)經(jīng)驗(yàn)，制定更為完善的法律制度和規(guī)則，控制風(fēng)險(xiǎn)，正確引導(dǎo)投資者。
[Abstract]:With the development of China's economy, the demand for copper is growing, China has become the world's largest copper producer and consumer. Affected by the global economic integration, China's copper futures market and international copper spot market more closely linked, while China's Shanghai copper futures market is the world's second largest period the copper market after the LME copper futures market. In recent years there has been the phenomenon of copper price change radically during the 2008 financial crisis, especially the copper price volatility is more obvious, in view of this, the research of Shanghai copper futures market has important value for investors and hedgers is proposed to avoid the risk of investment and skills, provide relevant makers the policy basis for policy recommendations, regulatory measures for the regulator.
This paper describes the application of copper in China and the world, the copper futures in our country and foreign futures market transactions, through a brief introduction to the importance of research can be found in copper, copper futures of great significance for the development of futures market in China and introduces the theoretical research and empirical research abroad on the development of the futures market and China An Empirical Study on the formation mechanism of the copper futures market. Through the combination of copper futures prices, futures trading standard contract, analyzes the influence factors of the price of copper. Using the GARCH copper price data, daily, GARCH-M and E-GARCH model to analyze the copper price volatility GARCH effect, risk premium effect and leverage effect, the study found that copper yield the rate of sequence exists only conditional heteroskedasticity effect, there is no risk premium effect and leverage effect. The copper spot market price, LME price, NYMEX-COMEX light crude oil futures prices, the dollar index in the foreign exchange market, the industry index IP, Chinese purchasing managers index PMI, LME copper stocks, LME copper holdings, SHFE aluminum price ALP, SHFE copper stocks, SHFE copper holdings and Reuters CRB futures index as explanatory variables, as explained by SHFE copper the variables, using stepwise regression analysis was used to study the influence factors of copper price, finally obtains the copper spot market price (CP), Chinese purchasing managers index PMI (PMI) and the Reuters CRB comprehensive index futures (CRB) three variables have significant influence on the Shanghai Futures Exchange copper prices, of course, explain the collinearity degree variable. Each coefficient is positive, indicating that SHFE fluctuations in copper prices and copper prices on the spot market, China purchasing managers index PMI is positively related to Reuters CRB comprehensive index futures, which accord with the economic development of the common sense, because it is now Stock prices, indicating that the spot market demand is greater than supply, improve investor price expectations, long-term transaction prices, futures prices also rose; China purchasing managers index is higher, Chinese showed more economic prosperity, increasing demand for copper demand, copper price rise; Reuters CRB futures index is larger, indicating the hype the fund bullish futures market, copper prices. The regression equation can be adjusted by the vast coefficient and the coefficient is 0.998, is very high, can fit the equation; the equation is significant; coefficient is significant.
Then the theory of factor analysis are introduced, this factor regression step, the copper spot market price, LME price, NYMEX-COMEX light crude oil futures prices, the dollar index in the foreign exchange market, the industry index IP, Chinese purchasing managers index PMI, LME copper stocks, LME copper holdings, SHFE aluminum price ALP, SHFE copper stocks copper, SHFE holdings and Reuters CRB comprehensive index futures 12 explanatory variables by factor analysis, factor scores were calculated. The rate and the cumulative variance contribution rate from the variance contribution of the first three factors, the cumulative variance contribution rate reached 83.717%, the first factor variance contribution rate reached 51.078%, the first factor of the original variables explain the effect is better, the first factor in the price of copper, Shanghai aluminum futures price, the price of copper, crude oil futures prices have larger load Reuters CRB comprehensive index futures and the dollar index and other variables, Reflect the relevant market, commodity prices and commodity index fund speculation factors to futures prices of Shanghai copper. Second factors in LME stocks, copper copper and copper inventory positions, positions with large load, reflecting the impact of supply and demand for copper prices on all variables of the initial variance contribution rate of 23.920%. third factor have a large load on Chinese purchasing managers index, reflects the influence degree of economic boom China of Shanghai copper futures price, the variance of all variables of the initial contribution rate of 8.719%. by factor regression analysis to analyze the factors influencing the Shanghai copper futures, the final three factors to futures prices of Shanghai copper had significant effects, the effects of copper spot the price of copper price is most obvious, of course China purchasing managers index PMI (PMI) and the Reuters CRB comprehensive index futures (CRB) also has some influence on the copper price fluctuations.
By the end of the above results are analyzed and summarized, put forward suggestions for investors, hedgers and regulators. For investors and hedgers, should pay attention to the spot price fluctuation and the economic development of our country economy level of the fundamentals, the spot price and China's economic development as a fundamental analysis of copper futures price volatility. A better choice of trading in futures contracts; commodity index funds have great influence on the price of copper, in the development of China's capital market at the same time, should also pay attention to the appropriate capital controls, to crack down on some foreign and domestic funds speculation about copper price; there is no leverage and risk premium effect of China's copper futures investors. Blindly follow the trend, chase sell, so the exchange should strictly implement the margin system and large report system of risk management system; for the government, but should strengthen Besides supervision, we need to combine our economic development and capital market development, referring to the advanced experience of foreign futures market development, and formulate more perfect legal system and rules, control risks and guide investors correctly.

【學(xué)位授予單位】：江西財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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本文編號(hào)：1532599