中国黄金期货市场的有效性检验

发布时间：2018-03-19 12:20

本文选题：黄金期货　切入点：市场有效性　出处：《浙江工商大学》2013年硕士论文　论文类型：学位论文

【摘要】：2008年美国次贷危机爆发后,在全球导致了一系列的连锁反应,逐渐演变成全球性的金融危机。全球经济复苏至今已有3年,但复苏步伐依然沉重。不管是发达经济体,还是新兴市场与发展中经济体都面临不同程度的发展困境,经济增长一直在低位徘徊,并且今年世界经济低速增长的态势仍将持续。在这样的经济格局下,黄金及相关金融产品作为避险工具备受关注。黄金期货作为我国金融期货的先行者,不仅和我国金价的变化有密切的关系,还对其他金融期货起到探路者的作用。时值我国黄金期货上市交易五年,其市场有效性更是我们需要关注的内容。一方面,检验市场有效性是对以往市场发展状况的阶段性检测,审视发展状况是否达到了预期的目标或是否发挥了应有的作用；另一方面,市场有效性的检测结果为黄金期货以后的发展提供了理论依据和实践基础。对于黄金期货的投资者,可提供市场有效性程度,使之在投资时进行相应风控策略的选择以获取更好的收益；对于实行政策的相关部门,可以提供影响其有效性的原因,使之对市场的改进做到有的放矢；对于其他金融期货,尤其是我国刚推出的白银期货,可以提供我国市场和期货合约的适应程度,使其他金融期货在发展上少走弯路。本文对我国黄金期货市场有效性的研究分为四个部分：第一部分,在梳理国内外相关研究的基础上提出拟解决的问题,即检验我国黄金期货市场的有效性；第二部分,简要介绍了黄金期货的产生、价格变化的影响因素及国内外主要黄金期货市场的发展情况；第三部分,基于市场有效性的理论对我国黄金期货市场进行实证研究；第四部分,根据实证研究的结果,分析原因并提出改进的建议。根据黄金期货的特殊性及市场有效性的相关解释,本文对我国黄金期货市场有效性的研究较为全面,分别从定价效率和信息传递效率这两方面展开。定价效率考察的是黄金期货作为期货与现货之间的相互引导关系。期现货的价格序列经过ADF单位根检验显示为一阶单整,首先通过Johansen协整检验证明黄金期现货之间存在长期均衡关系,其次又通过误差修正模型描述长期关系,并得出短期回调速度力度适中的结论。但最后根据Granger因果检验发现,黄金现货对期货存在价格引导关系,期货对现货却不存在价格引导关系。这说明了我国黄金期货在定价方面还没有完全发挥有效性。信息传递效率考察的是黄金期货作为一般金融商品其价格能否做出充分及时的反应。通过计算2008年—2012年我国黄金期货价格的历史波动率、实际波动率和每日价格振幅,发现价格波动的总体趋势是逐年平稳的。为进一步检验市场能否及时消化信息,对黄金期货价格波动方向的变化,采用了游程检验,对价格波动幅度的变化,采用了R/S检验。最后得出我国黄金期货价格的波动是随机的,能够及时消化市场信息,因而是有效的。不同于以往的实证结果,本文发现我国黄金期货市场在信息传递方面是有效的,但在定价方面还存在不足。针对期货价格引导能力不足的问题,分别从期货合约、交易规则、投资者构成等方面提出了相应的建议。
[Abstract]:The United States in 2008 after the outbreak of the subprime crisis in the world, resulting in a series of chain reaction, gradually evolved into a global financial crisis. The global economic recovery has been 3 years, but the pace of recovery is still heavy. No matter in developed economies, emerging market or economy and development are facing the development dilemma in different degree, economic growth has been in the low, and this year the world economy slow growth trend will continue. In this situation, gold and related financial products as a hedge of concern. Gold futures as a pioneer of China's financial futures, not only have close relations with the changes of China's gold, but also to the pathfinder for other financial futures the role of.
As China's gold futures traded five years, the effectiveness of the market is more we need to pay attention to the content. On the one hand, the effectiveness of testing market is periodic inspection of the previous development of the market, to examine the development status is to achieve the desired goal or whether to play its due role; on the other hand, the effective detection market nature provides theoretical basis and practical foundation for the development of gold futures in the future. For gold futures investors, can provide the degree of effectiveness of the market, the corresponding risk control strategy to get a good return on the investment; for the relevant departments to implement the policy, it can provide the reasons of effectiveness that makes the market to improve the targeted; for other financial futures, especially our country has just launched the silver futures, can provide the adaptation degree of China's market and futures contracts, Make other financial futures less detours in development.
This paper studies on the effectiveness of China's gold futures market is divided into four parts: the first part, based on related research at home and abroad on the proposed to solve the problem, which is to check the effectiveness of the gold futures market in China; the second part briefly introduces the generation of gold futures, the development situation at home and abroad and the main factors gold futures market impact of price changes; the third part, the theory of market efficiency is an empirical study on China's gold futures market based on; the fourth part, according to the results of empirical research, analysis of the reasons and puts forward the improvement suggestions.
Based on the explanation of the particularity of gold futures and the explanation of market efficiency, this paper studies the effectiveness of gold futures market in China, which is divided into two aspects: pricing efficiency and information transmission efficiency.
The pricing efficiency of gold futures as the leading relationship between futures and spot. The spot price sequence through the ADF unit root test shows that for a single whole, first through the Johansen cointegration test to prove that there exists a long-term equilibrium relationship between futures and spot gold, then through the error correction model to describe the long-term relationship and the short-term. Conclusion the callback rate of moderate intensity. But according to the Granger causality test found that gold spot on the futures price leading relationship between futures on the spot, but not in the relationship between the price guide. This shows that China's gold futures pricing is not yet fully effective.
The information transmission efficiency of gold futures is the price can make timely response. Through the historical volatility calculation of 2008 - 2012 in China gold futures price rate, the actual price volatility and the daily amplitude, find that the general trend of price fluctuations is steadily year by year. In order to test whether the market can digest the information timely. The change of the direction of gold futures price volatility, the runs test, change of price fluctuations, the R/S test. Finally come to the conclusion that China's gold futures price volatility is random, can digest the market information in time, so it is effective.
Different from previous empirical results, this paper found that China's gold futures market is effective in information transfer, but in terms of pricing is still insufficient. The futures prices lead to capacity shortage, separately from the futures contracts, trading rules, investors etc. put forward the corresponding suggestions.

【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.54;F224

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