摘要
意旨探索中国黄金现货价格对黄金期货价格形成的作用机制。借助ADL模型和共同因子贡献法进行实证分析,研究了中国黄金期货价格与黄金现货价格的关系。研究表明,中国黄金期货价格与现货价格长期趋势是一致的,但是短期存在比较大的偏差,同时中国黄金期货和现货价格波动率序列之间有较高的依存度。由此中国黄金期货市场已具备一定规避风险的功能。
This paperaims to explore China＇s gold spot price pairgold futures price formation mechanism.Using ADLmodel and common factor contribution method conduct empirical analyze China＇s gold futures prices and the relationship between the spot price of gold.The results show that China＇s gold futures prices and spot prices is consistent of long-term trend,but the relatively larger of short-term deviations,while China＇s gold futures and spot price have a higherdegree of dependence between Volatility sequences.Thus China＇s gold futures market has a certain risk aversion function.
出处
《经济研究导刊》
2010年第30期69-71,共3页
Economic Research Guide
