硅锰期现市场与工业市场、股票市场价格关联性研究
Research on the Price Correlation between Silicon Manganese Futures Market, Industrial Market and Stock Market

本文选取2019年5月1日至2023年7月24日国内硅锰期货市场、国际锰矿现货市场、股票市场、工业市场的日频数据，基于VAR-MGARCH-BEKK模型分析市场之间的溢出关系。研究发现：国际锰矿现货市场与国内硅锰期货市场存在单向的均值溢出效应和双向的波动溢出效应；工业市场与股票市场、国内硅锰期货市场存在单向均值溢出效应，不存在波动溢出效应；工业市场与国际锰矿现货市场存在单向的均值溢出效应和单向波动溢出效应；国内硅锰期货市场与股票市场存在单向的波动溢出效应。国际锰矿现货市场对国内硅锰期货市场影响较大，在价格引导方面处于主导地位，也会出现投资风险的传递。工业市场与其他市场联系较紧密。
This article selects daily return data of domestic silicon manganese futures market, international manganese ore spot market, stock market, and industrial market from May 1, 2019 to July 24, 2023, and analyzes the spillover relationship among markets based on VAR-MGARCH-BEKK model. We find that there is a one-way mean spillover effect and a two-way volatility spillover effect between the international manganese ore spot market and the domestic silicon manganese futures market. There is a one-way mean spillover effect between the industrial market and the stock market, while there is no volatility spillover effect. There is a one-way mean spillover effect in the industrial market and the domestic silicon manganese futures market, and there is no volatility spillover effect. There are one-way mean spillover effects and one-way volatility spillover effects between the industrial market and the international manganese ore spot market. There is a one-way volatility spillover effect between the silicon manganese futures market and the stock market. The international manganese ore spot market has a significant impact on the domestic silicon manganese futures market. It plays an important role in price discovery, and there will also be the transfer of investment risk. The industrial market is closely connected to other markets.