中文摘要：

商品期货市场发展已经成为资本市场的重要组成部分。旨在提供开展国际商品期货市场比较的模型分析框架。主要以中国大连商品期货交易所与美国CBOT两个市场的玉米期货交易数据为例，来分析两市期货价格收益率的协整关系，检验两市之间的“溢出效应”和“杠杆效应”，研究两市玉米期货价格波动性的聚类性和非对称性，探讨两市玉米期货价格收益率与波动性的互动性与传导规律，以及时变风险特征与风险水平。

英文摘要：

Commodity futures market has already become an important part of capital market. The paper tries to give a model analytical framework for drawing a parallel between international commodity futures markets. Based on the busi- ness data of corn futures on the two markets of China Dalian Commodity Futures Exchange and USA CBOT, it makes a cointegration analysis of futures price returns, tests spillover effect and leverage effect between the two markets, studies clustering and asymmetry in the volatility of corn futures price on the two markets, and explores interaction and law between returns and volatility, and time varying risks.