Volatility Effects of Index Trading and Spillovers onUSAgricultural Futures Markets: A MultivariateGARCHApproach
使用多元GARCH模型和2006-2014年周数据，研究指数交易对玉米、大豆和小麦期货的同期收益和波动的影响，发现指数交易降低自身波动，溢出效应有限。
Abstract We examine the effects of speculation in the form of index trading on contemporaneous returns and volatility on corn, soybeans and wheat futures markets on the Chicago Board of Trade using multivariate generalised autoregressive conditional heteroscedasticity models and weekly data for 2006–2014. We also assess spillovers. Results are threefold. First, contemporaneous effects of index trading on own returns are positive and inelastic, and they are partially mitigated in the following week. Second, volatility depends positively on own past volatility, and volatility spillovers are limited. Third, index trading reduces own volatility.