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本文将理性投机泡沫研究运用到商品市场,通过对便利收益的理论分析,构造商品市场超额收益,并采用持续期依赖方法对2004年2月至2008年7月上海金属铝市场的泡沫现象进行了实证检验。研究结果显示,在这段时期内,特别是自2006年下半年以来,商品铝市场存在投机泡沫。这表明我国商品市场的效率还不高,需要进一步完善现货交易制度,提高商品市场效率。
This article applies rational speculative bubble research to the commodity market, constructs the excess returns of the commodity market through the theoretical analysis of the convenience returns, and adopts the method of duration dependence on the bubble phenomenon of the aluminum metal market in Shanghai from February 2004 to July 2008 Empirical test. The results show that there was speculative bubble in the commodity aluminum market during this period, especially since the second half of 2006. This shows that the efficiency of China’s commodity market is not high, and the spot trading system needs to be further improved to improve the efficiency of the commodity market.