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研究波罗的海干散货指数与上证综指的联动关系,对于更好地分析全球大宗货物贸易与实体经济、资本市场之间的相关关系,以及研究相互影响和未来市场走势都具有重要积极意义。本文搜集了1991年1月至2016年5月波罗的海干散货指数BDI指数与上证综指SCI;建立GARCH模型,评估大宗货物贸易与资本市场之间的溢出效应及其相关性的影响程度。根据研究结论,发现二者相互影响的规律,并提出未来大宗货物贸易与资本市场预测的相关政策建议。
Research on the linkage between the Baltic Dry Index and the Shanghai Composite Index is of great significance for a better analysis of the correlation between the global bulk commodity trade and the real economy and the capital market as well as the study of mutual influence and future market trends. This article collected the Baltic Dry Index BDI and the SCI SCI from January 1991 to May 2016. We set up a GARCH model to assess the impact of the spillover effect and its correlation between the bulk commodity trade and capital markets. According to the conclusion of the study, we find the law of the interaction between the two and propose the relevant policy recommendations for the future trade of bulk goods and capital market.