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《Journal of Management Sciences in China》 2008-03
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Analysis of information spillover effect between futures market and spot market

LIU Xiang-li~(1,2) CHENG Si-wei~2 WANG Shou-yang~2 HONG Yong-miao~3 1.Department of Fundamental,Beijing Information Technology Institute,Beijing 100101,China;2.School of Management,Graduate School of the Chinese Academy of Sciences,Beijing 100080,China;3.Department of Economics and Department of Statistical Science,Cornell University,NY 14850,U.S.A.  
This paper adopts GARCH model to estimate the conditional VaR in both downside and upside di- rection.The paper further utilizes the linear Granger causality test based on regression,Granger causality test in mean,Granger causality test in variance and Granger causality test in risk based on kernel function to study information spillover effect between the futures market and the spot market of copper,using daily data of cop- per price of two markets ranging from July 2000 to June 2006.This paper uses the kernel based statistical test to explore the correlation between the futures market and the spot market for the first time.Because all the lagged orders are used,the test statistics has a relatively strong power.Considering there are long and short in the futures market,we also introduce two new conceptions which are the upside VaR and upside risk spillover. Our findings indicate that there exists extremely significant two-way information spillover effect between the fu- tures market and the spot market of copper.Further analysis reveals that the spillover effect from the futures market to the spot market is more significant than that from the spot market to the futures market.
【Fund】: 国家自然科学基金委员会优秀创新研究群体基金(70300501)
【CateGory Index】: F724.5;F426.32;F224
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