| 引用本文： |
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姜宝,张琪,李剑.国际航运市场对我国钢铁市场波动溢出效应研究[J].国际商务研究,2019,(6):20-31 [点击复制]
- JIANG Bao,ZHANG Qi,LI Jian.国际航运市场对我国钢铁市场波动溢出效应研究[J].INTERNATIONAL BUSINESS RESEARCH,2019,(6):20-31 [点击复制]
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| 摘要: |
| 航运市场的周期性和运费的频繁波动构成了市场内部的重大风险，研究航运市场与其他市场的波动溢出效应是有效预测与规避风险的一种方式。本文基于航运市场与钢铁市场的日频数据，采用 DCC-GARCH模型与 DY溢出指数模型实证分析了两市场间的动态相关性及波动溢出效应。研究发现：航运市场与钢铁市场间具有动态相关性，航运指数滞后一周时与钢铁股价指数存在显著的弱相关关系；两市场间具有微弱的波动溢出效应，其价格传导机制存在断层现象。 |
| 关键词: 航运市场 钢铁市场 DCC-GARCH DY溢出指数模型 |
| DOI： |
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| 基金项目:国家社科基金青年项目(项目编号:14CGL053)、中央高校基本科研基金项目(项目编号:201713011)、山东省社科规划专项项目(项目编号:17CCXJ19)。 |
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| The Volatility Spillover Effect Between the International Shipping Market and China’s Steel Market |
| JIANG Bao,ZHANG Qi,LI Jian |
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| Abstract: |
| The strong periodicity and frequent fluctuation of freight price bring huge risks to the shipping market. However, the risks can be forecasted and avoided effectively by studying the volatility spillover effects between shipping market and other markets. Based on the daily frequency data of shipping market and steel market, this paper uses DCC-GARCH model and DY spillover index model to analyze the dynamic correlation and volatility spillover effects between the two markets. The results show that there is a time-varying correlation between the shipping market and the steel market. When the shipping index lags one week, there will be a weak correlation between the two markets. Meanwhile, the volatility spillover effect between the two markets is weak, and the price transmission mechanism of this system is discontinuous. |
| Key words: shipping market iron and steel market DCC-GARCH model DY spillover index model |
