设为首页收藏本站

EPS数据狗论坛

搜索
快捷导航
查看: 436|回复: 0

[其他] 有色金属价格波动率对中国股票市场预测的应用

[复制链接]

12

主题

1133

金钱

4326

积分

教授VIP

发表于 2017-10-19 21:30:02 | 显示全部楼层 |阅读模式
  Abstract: The aim of the present work is to examine whether the price volatility of nonferrous metal futures can be used to predict the aggregate stock market returns in China. During a sample period from January of 2004 to December of 2011, empirical results show that the price volatility of basic nonferrous metals is a good predictor of value-weighted stock portfolio at various horizons in both in-sample and out-of-sample regressions. The predictive power of metal copper volatility is greater than that of aluminum. The results are robust to alternative measurements of variables and econometric approaches. After controlling several well-known macro pricing variables, the predictive power of copper volatility declines but remains statistically significant. Since the predictability exists only during our sample period, we conjecture that the stock market predictability by metal price volatility is partly driven by commodity financialization.
  Key words: commodity futures; nonferrous metals; price volatility; stock return; predictability

有色金属价格波动率对中国股票市场预测的应用.zip

331.93 KB, 下载次数: 3, 下载积分: 贡献 -1

您需要登录后才可以回帖 登录 | 立即注册

本版积分规则

关闭

站长推荐上一条 /1 下一条

客服中心
关闭
在线时间:
周一~周五
9:00-18:00
QQ群:
542280196
联系电话:
010-85786021-8014
在线咨询
客服中心

Powered by BFIT! X3.2© 2008-2018 BFIT Inc.

快速回复 返回顶部 返回列表
082 840 819 796