国内外黄金市场价格联动机制研究

发布时间：2018-02-11 20:44

本文关键词： COMEX黄金期货价格伦敦现货黄金中国黄金市场价格传导联动　出处：《浙江大学》2013年硕士论文　论文类型：学位论文

【摘要】：中国人自古对黄金有着执着追求,视其为财富权力的象征,然而中国真正意义上的黄金市场,形成不过十年。2002年上海黄金交易所开业,标志着中国打开了黄金市场这一通道;随后事隔六年,黄金期货在上海期货交易所上市,中国黄金市场向衍生产品进军,标志着又一里程碑。市场的快速成长总是让理论研究显得稍有滞后,理论界鲜有关于中国黄金期货市场的深入探讨。作为世界公认的黄金定价权威伦敦现货黄金,以及起到标杆作用的COMEX黄金期货对于中国黄金期货是否具有一定引导?中国黄金期货是否已经具备了价格发现能力能与现货遥相辉映?在这四者之间是否存在这直线性或者几何型的制衡?这就是本文所要探讨的问题。本文总共分为五个部分：第一部分绪论分别阐述了研究背景与意义,罗列了对笔者产生启发的主要文献,以及本文的主要内容,研究框架,和难点创新点.第二部分是关于世界主要黄金市场的介绍,只取重中之重-------伦敦现货金、COMEX期货金以及国内黄金现货期货市场进行历史沿革与制度变革的分析；第三部分是关于期货价格理论,在对经典的期货价格形成理论进行解析之后,分别探讨了影响黄金期货价格的中长期以及短期因素,然后通过合理假设,对价格传导路径进行了梳理；第四部分是实证环节,通过经典的VAR模型与脉冲响应分解比较四个变量之间的内部关系,然后通过GRANGER检验来梳理四者的先后引导关系；第五部分是本文的结论和政策建议部分,针对之前理论分析与实证检验得出的结论进行合理地建议。本文认为,这四者的主要特点在于COMEX黄金期货起到了标杆作用,伦敦现货金是定价机器,我国黄金期货市场功能未完全定型,无论在制度建设,还是市场氛围营造上都有很大的改进空间,比如在投资者结构的调整上,合约研发方面,以及交割制度方面。
[Abstract]:Since ancient times, the Chinese people have a persistent pursuit of gold, regard it as a symbol of wealth and power, but China's real gold market, formed only 10 years. 2002, the opening of the Shanghai Gold Exchange, marked the opening of China's gold market this channel; Six years later, gold futures were listed on the Shanghai Futures Exchange and China's gold market moved into derivatives, marking another milestone. The rapid growth of the market always makes the theoretical research appear a little laggard, and the theorists seldom discuss the Chinese gold futures market in depth. As the world recognized gold pricing authority, London spot gold, As well as the role of benchmark COMEX gold futures for China's gold futures have a certain guidance? Does China's gold futures already have the ability to find prices to match spot prices? Are there any checks and balances of the linearity or geometry between the four? This is the question that this text wants to discuss. This paper is divided into five parts: the first part of the introduction respectively describes the background and significance of the study, listed the main literature inspired by the author, as well as the main content of this paper, research framework, The second part is about the introduction of the world's main gold market, only take the most important-London spot gold futures gold and the domestic gold spot futures market to carry on the historical evolution and the system reform analysis; The third part is about the futures price theory. After analyzing the classical futures price formation theory, the paper discusses the medium and long term factors which affect the gold futures price, and then through the reasonable hypothesis. The price conduction path is combed; part 4th is the empirical link, through the classical VAR model and impulse response decomposition to compare the internal relations between the four variables, and then through the GRANGER test to comb the four leading relationships; The 5th part is the conclusion and policy suggestion part of this paper, which is based on the conclusion of theoretical analysis and empirical test. This paper holds that the main characteristics of these four are that COMEX gold futures play a role as a benchmark, London spot gold is a pricing machine, and the function of our gold futures market is not completely finalized, regardless of the institutional construction, There is also a lot of room for improvement in terms of investor restructuring, contract development, and delivery systems.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.54

【参考文献】