纽约黄金期货价格波动对我国期货市场收益率的影响研究

A Research into the Effect of Price Volatility of New York Gold Futures on the Return Rate of Chinese Futures Market

随着我国期货市场的迅速发展,商品期货逐步显示出金融属性。本文运用自回归分布滞后模型结合GARCH族模型对纽约黄金期货价格波动与我国上海期货交易所沪铜、沪铝、沪锌、天然橡胶、燃料油期货价格波动之间的动态关系展开研究,以考察宏观经济运行对我国期货市场的影响。

With the rapid development of the futures market of our country, the financial character of commodity futures becomes more and more evident. Using ADL and GARCH models, the authors research the dynamic relationship between the price volatility of New York gold futures and the price volatility of the futures of copper, zinc, natural rubber and fuel oil in Shanghai Futures Exchange.