我国黄金期现货价格动态关系实证分析.pdf

摘要摘要自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。关键词:黄金期现货价格;引导关系;方差分解;双变量E-GARCH模型;波动溢出AbstractAbstractSince the launch of gold futures on the Shanghai futures exchange in January 2008, China's gold market has been showing a gold futures and spot gold common development situation. This paper attempts to analyze in recent years the operation status of China's gold futures market and spot market operation status, and the dynamic relationship between them. First of all, through carries on the summary of the related research achievements, and on this basis of combing the related knowledge about the relationship between futures and spot. Then it elaborates position of gold futures price and spot price, and analyzes the factors that affect the gold price from the relationship between supply and demand, the macroeconomic and other aspects. Secondly, this article selects the daily closing price of China's gold futures market and spot market as the sample, the sample period is from January 9, 2008 to December 31, 2012, a total of 1214. To analyze empirically the guide relationship between gold futures price and spot price in China, and The validity of the price discovery function of the gold futures market by using ADF unit root test, Johansen cointegration test, vector error corr