宁波诺丁汉大学商学院金融学刘小泉副教授进行了一场题为在中国商品期货市场的流动性与波动的讲座,讲座的主要内容是:
本文系统地探讨了流动性和波动性的预测为铝,铜,燃料油,并利用盘中和日数据,中国糖业期货合约。采用三俗的流动性估计,我们首先表明,三个月交货的合同享受最好的流动性在所有被调查的商品。这一发现,近月合约比更远的合约流动性较差的是新的,相反在其他模式主要的期货市场,它从独特的制度规定了中国期货市场的结果。利用更遥远的合同,并履行四项广泛采用的波动性模型预测对替代真实波动代理,我们提供了强有力的证据表明,ARFIMA模型一致产生最好的预测或预期不逊于最好的。这对于具有不同流动性水平的合同强劲。
刘小泉,宁波诺丁汉大学商学院金融学副教授。她的研究领域包括:资产定价、衍生产品、金融计量等。在她加入诺丁汉大学中国商学院以前,曾在英国University of Essex任讲师和高级讲师,期间访问过密西根大学(安娜堡)Stephen M. Ross商学院和中国科学技术大学金融统计系。她多次在国际顶级金融经济期刊上发表文章,期刊包括the Journal of Economic Dynamics and Control, the Journal of Banking and Finance, and the European Journal of Operational Research等。
原文:This paper systematically explores liquidity and volatility forecasting for Aluminum, Copper, Fuel Oil, and Sugar futures contracts in China using intraday and daily data. Adopting three popular liquidity estimators, we first show that contracts with three months to delivery enjoy the best liquidity for all commodities under scrutiny. The finding that nearby contracts are less liquid than the more distant contracts is novel and contrary to the pattern in other
major futures markets, and it results from unique institutional regulation in the Chinese futures markets. Utilizing more distant contracts and implementing four widely adopted volatility models for forecasting against alternative true volatility proxies, we provide strong evidence that the ARFIMA model consistently produces the best forecasts or forecasts not inferior to the best. This is robust for contracts with different liquidity levels.