基于Geweke分解检验的基金投机与国际资源性商品期货价格关系研究——以国际铜市场为例

Research on the Relationship between Fund Speculation and Future Price of International Resource Commodities Based on Geweke Decomposition Test:Taking International Copper Market as Example

中文关键词:  基金投机  国际铜价  Geweke分解检验

英文关键词:fund speculation  international copper price  Geweke decomposition test

中文摘要:

      利用Geweke分解检验对2006年6月13日—2013年6月18日期间基金投机行为与国际期铜价格之间的关系进行了实证研究。结果表明:国际期铜价格对基金投机持仓有长期单向的因果关系,二者之间存在短期双向即期因果关系；从反馈份额来看,更多地表现在二者的短期因果关系上。这说明基金投机并非国际铜价长期剧烈波动的原因,但基金投机短期内对期铜价格起到了推波助澜的作用。

英文摘要:

      This paper uses Geweke decomposition test to study the relationship between fund speculation behavior and copper price on international future market from June 13,6 to June 18,3. The result shows that copper price on international future market has a one-way long-term causal relationship with fund speculation, but there is a two-way short-term causal relationship between the two. From the feedback, the causal relationship is mainly the short-term causal relation. This suggests that fund speculation is not the essential cause of the long-term volatility in copper price, but it makes the copper price fluctuate heavily in the short term. 