中国黄金期货价格发现功能动态演进实证研究

发布时间：2018-03-23 17:42

本文选题：黄金期货　切入点：价格发现功能　出处：《华南理工大学学报(社会科学版)》2016年03期

【摘要】：本文针对中国黄金现货价格以及黄金期货价格之间的联动关系进行实证分析。根据中国黄金期货保证金比率的变动,本文将数据分为两段,分别对其进行实证检验:先后进行平稳性检验、协整检验、建立VAR模型、进行Granger因果关系检验、Hasbrouck方差分解,通过对比两阶段的实证结果,研究中国黄金期货市场的价格发现功能以及分析保证金比例的提高对黄金期货市场价格发现功能的影响方向及其程度。研究结果表明,中国黄金期货价格与黄金现货价格之间存在相互引导关系。同时,黄金期货保证金比率的提高对黄金期货市场与黄金现货市场之间价格的联动关系并未产生实质性的影响,但是会降低黄金期货市场在价格发现中的贡献。最后,本文分析了影响黄金期货市场价格发现功能的原因,并提出了相应的建议。
[Abstract]:This paper makes an empirical analysis on the linkage between gold spot price and gold futures price in China. According to the change of margin ratio of gold futures in China, this paper divides the data into two sections. The empirical tests were carried out respectively: the stationary test, cointegration test, VAR model, Granger causality test and Hasbrouck variance decomposition were carried out, and the results of the two stages were compared. This paper studies the price discovery function of Chinese gold futures market and analyzes the direction and extent of the influence of the increase of margin ratio on the price discovery function of gold futures market. There is a mutual guiding relationship between gold futures price and spot price in China. At the same time, the increase of margin ratio of gold futures has no material effect on the linkage relationship between gold futures market and gold spot market. However, the contribution of gold futures market to price discovery will be reduced. Finally, this paper analyzes the reasons that affect the function of price discovery in gold futures market, and puts forward some corresponding suggestions.
【作者单位】：中山大学财务与国有资产管理处;
【分类号】：F724.5;F832.54;F224

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