The Effects Analysis of Wheat Futures daily Price Limits System Based on TGARCH Model

摘要：

In this paper, we use Threshold GARCH model to analyze the influence of daily limit system on the wheat futures price changes in Zhengzhou Commodity Exchange. The results showed that for wheat futures, dairy limits have asymmetrical effect on preventing price overreaction and reducing market volatility. To a certain extent, raising limit even do harm to price discovery and volatility control. Finally, by detailed empirical analysis, we suggest the wheat futures in Zhengzhou Commodity Exchange should build up new daily limit rules with different scales so as to deliver the nature and role of the wheat futures market in China well.

关键词： Daily price limits Volatility Price discovery TGARCH

作者: Chunyan Zheng Xinyu Wang

作者单位: School of Management, China University of Mining and Technology, XuZhou, 221116, China

会议类型: 国际会议

会议名称: 第八届武汉电子商务国际会议(The Eighth Wuhan International Conference on E-Business)

会议地点: 武汉

会议语种:英文

页码: 1731-1736

在线出版日期: 2009-05-30（万方平台首次上网日期，不代表论文的发表时间）