CAJ | 학술논문

采用GARCH(1,1)-M及EGARCH(1,1)-M模型研究投资基金投机交易、套利交易与国际期铜价格波动的关系，并分别给出引入基金投机持仓、套利持仓后的期铜价格波动信息冲击曲线，其描述结果与实际研究结论的表现一致。结果表明：投资基金不是引起期铜价格波动的原因，基金投机交易能够减小期铜价格波动；期铜价格波动对负面消息的影响更敏感，基金投机持仓能够减缓期铜价格波动的非对称效应，而基金套利持仓对此影响较小。
채용GARCH(1,1)-M급EGARCH(1,1)-M모형연구투자기금투궤교역、투리교역여국제기동개격파동적관계，병분별급출인입기금투궤지창、투리지창후적기동개격파동신식충격곡선，기묘술결과여실제연구결론적표현일치。결과표명：투자기금불시인기기동개격파동적원인，기금투궤교역능구감소기동개격파동；기동개격파동대부면소식적영향경민감，기금투궤지창능구감완기동개격파동적비대칭효응，이기금투리지창대차영향교소。
By using GARCH(1,1)-M and EGARCH(1,1)-M models, the relationships among funds speculation transaction, arbitrage transaction and the fluctuation of international copper future price were studied. The news impact curve of copper future price fluctuation respectively introduced funds speculation position and arbitrage position was given, and the result is consistent with the empirical study conclusion. The results show that investment funds are not the factor that causes copper future price fluctuation, but can reduce the copper future price fluctuation;the copper future price fluctuation is more sensitive to negative information, and fund speculative positions can reduce asymmetric effect of copper price fluctuation, while funds arbitrage position influences less.