有色金属价格波动率对中国股票市场预测的应用_英文_.docxVIP

Trans. Nonferrous Met. Soc. China 24(2014) 597?604Applications of nonferrous metal price volatility to prediction of China’s stock marketDie-feng PENG, Jian-xin WANG, Yu-lei RAOInstitute of Metal Resources Strategy, Central South University, Changsha 410083, China Received 10 August 2013; accepted 25 September 2013Abstract: The aim of the present work is to examine whether the price volatility of nonferrous metal futures can be used to predict the aggregate stock market returns in China. During a sample period from January of 2004 to December of 2011, empirical results show that the price volatility of basic nonferrous metals is a good predictor of value-weighted stock portfolio at various horizons in both in-sample and out-of-sample regressions. The predictive power of metal copper volatility is greater than that of aluminum. The results are robust to alternative measurements of variables and econometric approaches. After controlling several well-known macro pricing variables, the predictive power of copper volatility declines but remains statistically significant. Since the predictability exists only during our sample period, we conjecture that the stock market predictability by metal price volatility is partly driven by commodity financialization.Key words: commodity futures; nonferrous metals; price volatility; stock return; predictability1 IntroductionThe world commodity market has witnessed a big metal price boom in the last decade. Metal prices have risen to recorded nominal highs since the turn of the millennium. According to the data from LME, among all the six Commodity Research Bureau (CRB) categories of primary commodities, metals experienced the greatest dramatic price fluctuation in the 2002?2008 commodity boom. Especially in the commodity market collapse during the financial crisis, the prices of basic metals fell 60%?75% from the peak to the bottom.The integration of metal prices fluctuation w