摘要
通过对纽约商品交易所和上海期货交易所黄金期货指数收盘价的相关性分析、协整检验、格兰杰因果检验,考察了中美黄金期货价格的关系,分析了中美黄金期货的引导地位,结果表明美国纽约商品交易所黄金期货价格引导中国上海期货交易所黄金期货的价格,继续完善国内黄金市场体系建设,提高中国黄金期货市场的国际影响力和竞争力。
Through correlation analysis, cointegration tests, Granger causality test on the Relationship of the closing price of the gold futures index in the New York Commodity Exchange and the Shanghai Futures Exchange, the relationship of the gold futures price is researched, and the guidance of the gold futures position between the China and America is analyzed. The conclusion is that gold futures prices of the New York Commodity Exchange guide the gold futures prices of the Shanghai Futures Exchange. The system of the gold futures market should be improved continually, and the international influence and competitiveness of the gold futures market should be enhanced in China.
出处
《经济研究导刊》
2009年第15期53-54,共2页
Economic Research Guide
关键词
黄金期货
相关性
ADF检验
协整
格兰杰因果检验
gold futures
correlation
augmented dickey-fuller test
cointegration
granger causality test
