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本文通过使用基于工具变量法的样本内预测及基于DM检验的样本外预测以探究我国农产品期货持仓量对股市收益率的预测能力。研究结果显示,农产品期货持仓量对国内股市收益率具有一定的预测能力:基于工具变量法的样本内预测得到了边际显著的结果,而在样本外预测中,使用DM检验得到了在100次预测当中,有60次添加农产品期货持仓量变化率的预测模型强于不添加该变量的预测模型的结果。
In this paper, we use the intra-sample forecasting based on the tool-based variable method and the sample-based forecasting based on the DM test to explore the predictive ability of China’s agricultural futures positions to the stock market yield. The results show that the futures positions of agricultural products have certain predictive ability on the domestic stock market returns: the marginal significant results are obtained in the intra-sample prediction based on the instrumental variable method, while in the out-of-sample prediction, Among them, the forecasting model of the rate of change of the agricultural futures positions added 60 times is stronger than the result of the forecasting model without adding the variable.