我国黄金期现货价格动态关系的实证分析

发布时间：2018-03-23 17:12

本文选题：黄金期现货价格　切入点：引导关系　出处：《云南财经大学》2013年硕士论文

【摘要】：自2008年1月上海期货交易所推出黄金期货以来，，我国黄金市场就呈现出黄金期货与黄金现货共同发展的局面。本文试图对近年来我国黄金期货市场与现货市场的运行情况及两者间的动态关系进行分析。首先，通过对已有的相关研究成果进行总结，并在此基础上梳理了期货与现货间关系的相关知识理论。然后对黄金期现货价格的构成进行了分析，并从黄金的供求关系、宏观经济等方面对影响黄金价格的因素进行了归纳分析。其次，本文选取自黄金期货上市以来至2012年12月31日期间黄金期现货价格的日收盘价格数据为样本，利用ADF单位根检验、Johansen协整检验、向量误差修正模型、Granger因果关系模型以及脉冲响应函数和方差分解的方法对我国黄金期货价格与现货价格间的引导关系、期货市场价格发现功能的有效性进行实证分析，并利用双变量E-GARCH（1，1）模型来分析我国黄金期货市场与现货市场之间的波动性关系。其实证结果表明我国黄金期货价格与现货价格间存在着协整关系，并且黄金现货价格对期货价格存在着单向的引导关系，而期货价格对现货价格的引导作用则相对不明显，同时分析也表明我国黄金期货市场的价格发现功能尚未有效实现。另外，我国黄金期货市场与现货市场的波动均存在着“集聚性”和“杠杆效应”，但两者之间的相互波动溢出效应不明显，只存在着现货市场向期货市场单向的波动溢出效应。最后，本文对造成我国黄金期货市场运行效率低的原因进行初步的分析，并提出了相关对策建议。
[Abstract]:Since the launch of gold futures on the Shanghai Futures Exchange in January 2008, This paper attempts to analyze the operation of gold futures market and spot market and the dynamic relationship between them in recent years. By summarizing the existing research results and combing the relevant knowledge theory of the relationship between futures and spot, the paper analyzes the composition of gold spot price, and analyzes the relationship between supply and demand of gold. The factors influencing gold price are summarized and analyzed from macroeconomic aspects. Secondly, this paper selects the daily closing price data from gold futures from the period of gold futures listing to December 31, 2012, as samples. Using ADF unit root test Johansen cointegration test vector error correction model Granger causality model and impulse response function and variance decomposition method to guide the relationship between gold futures price and spot price in China. The effectiveness of price discovery function in futures market is analyzed empirically. The volatility relationship between the gold futures market and the spot market in China is analyzed by using the bivariate E-GARCH1) model. In fact, the empirical results show that there is a cointegration relationship between the gold futures price and the spot price in China. Moreover, the gold spot price has a unidirectional guiding relationship to the futures price, while the futures price has relatively little guiding effect on the spot price. At the same time, the analysis also shows that the price discovery function of China's gold futures market has not been effectively realized. There is "agglomeration" and "leverage effect" in the fluctuation of gold futures market and spot market in China, but the mutual volatility spillover effect between them is not obvious, there is only one way volatility spillover effect from spot market to futures market. This paper makes a preliminary analysis on the causes of the low efficiency of gold futures market in China, and puts forward some relevant countermeasures and suggestions.
【学位授予单位】：云南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.54

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