中美黄金期货市场有效性的实证研究

Empirical Tests on Efficiency of Gold Futures Markets in China and U.S.A

本文以我国黄金期货价格为研究对象,运用相关性分析、单位根检验、协整检验、格兰杰因果检验和脉冲响应函数分析等方法,对比研究中国和美国黄金市场的有效性。结果显示,黄金期货市场中存在非有效因素,而且黄金现货价格单向引导黄金期货价格,美国现货价格信息对期货价格的作用高于中国水平。

basing on the correlation analysis, unit root test, cointegration test, Granger test and impulse responses analysis, this paper analyzes the efficiency of gold futures markets in China and America. From this paper, we could conclude that there are uncertain factors in the gold futures markets. Also we could find out that the spot prices can Granger cause futures prices, but the futures prices can not Granger cause spot prices. Additionally, the effect of new information on spot markets to futures markets in America are much more efficiency than that in China.