CAJ | 학술논문

近年来，我国大宗商品期货市场发展迅猛，但是能否减缓价格波动、调节市场供求？我国商品期货价格的波动是否存在羊群行为？本文研究我国27种已上市的大宗商品合约，分析2005到2013年的期货市场日频数据，使用MS—GARCH模型发现了我国大宗商品市场在一般波动状态中的羊群行为。在低波动率区间内，我国商品期货市场显著存在羊群行为；在市场下跌时，交易者更容易跟风抛售。然而，羊群行为在市场波动剧烈时并非显著。随着市场波动增大，农产品期货市场的羊群行为出现弱化，但是工业金属品市场的羊群行为始终显著。相对而言，我国政府对于农产品期货市场监管严格，对于工业金属品市场干预较少。此外，我国股市和商品期货市场总体上并不存在显著的溢出联动效应。
근년래，아국대종상품기화시장발전신맹，단시능부감완개격파동、조절시장공구？아국상품기화개격적파동시부존재양군행위？본문연구아국27충이상시적대종상품합약，분석2005도2013년적기화시장일빈수거，사용MS—GARCH모형발현료아국대종상품시장재일반파동상태중적양군행위。재저파동솔구간내，아국상품기화시장현저존재양군행위；재시장하질시，교역자경용역근풍포수。연이，양군행위재시장파동극렬시병비현저。수착시장파동증대，농산품기화시장적양군행위출현약화，단시공업금속품시장적양군행위시종현저。상대이언，아국정부대우농산품기화시장감관엄격，대우공업금속품시장간예교소。차외，아국고시화상품기화시장총체상병불존재현저적일출련동효응。
In recent years, the commodity futures markets have been developing rapidly in China. Can the Chinese futures markets help to reduce the price volatilities of commodities？ Do herding behaviors exist in the Chinese commodity futures markets？ Studying the daily data of 27 listed commodities from 2005 to 2013 with our MS - GARCH model, we find that there are herding behaviors in the Chinese commodity futures markets in general. When the volatilities are low, the herding behaviors are rather significant in the futures markets. In particular, the traders tend to follow the trend to sell out with the market decline. However, the herding behaviors are insignificant during the period with high volatilities. When the market volatility increases, the herding behaviors in the agrieuhural eommodity futures markets are weakened under the relatively tight government regulations, but the herding is always quite significant in the industrial metal futures markets which is subject to less government interventions. In addition, we do not find significant spillover linkage effect between the Chinese stock market and the commodity futures markets.