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黄金期货价格与我国黄金采选业股票价格关系的实证研究——以山东黄金股票价格为例 被引量：3

Empirical Study of Relation between Gold Futures Prices and China's Gold Mining Stock Price:A Case Study of Shandong Gold Stock Prices
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摘要 本文通过对我国黄金期货价格和相关股票价格之间关系的研究,试图把握其内在规律,为相关行业、企业、市场参与者和市场监管部门提供有价值的市场信息,从而可以正确认识我国目前黄金期货市场的价格发现功能,以及股票市场的运行效率。 By studying the relationship between the price of gold futures and related stock prices, this paper trys to grasp its internal laws, provide valuable market information for the related industries, enterprises, market participants and market supervision department, so that we can correctly understand China＇s current price discovery function of gold futures markets and stock market efficiency.
作者 吴雷 任甄
机构地区 南京农业大学经济管理学院
出处 《价值工程》 2011年第2期136-137,共2页 Value Engineering
关键词 股价 期货价格 协整 stock quotes price of futures cointegration
分类号 F832.5 [经济管理—金融学]
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参考文献3

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  • 1赵进文.cointegration analysis of commodity futures prices in DaLian， China and Chicago[J].Journal ofEmerging Markets,2002:19-27.
  • 2Bessler. D.A. and Covey. T.. Cointegration: Some Results on U.S. Cattle Prices. The Journal of Futures Markets, 1991, (11): 461-474.
  • 3Bigman. D., Goldfarb. D. and Schechtman. E.. Futures Markets Efficiency and the Time Content of the Information Sets. The Journal of Futures Markets, 1983, (3): 321-334.
  • 4Booth. G.,So. R. and Tse. Y.. Price Discovery in the German Equity Index Derivatives Markets. The Journal of Futures Markets, 1999, (19): 6619-6643.
  • 5Elam. E. and Dixon. L. B.. Examining the Validity of a Test of Futures Market Efficiency. The Journal of Futures Markets, 1988, (8): 365-372.
  • 6Engle. R. F. and Granger, C.W.J.. Co-integration and Error Correction: Representation, Estimation, and Testing, Econometrica, 1987, (55): 251-276.
  • 7Garbade. K. D. and Silber. W. L.. Price Movements and Price Discovery in Futures and Cash Markets, Review of Economics and Statistics, 1983, (65): 289-297.
  • 8Lai. K. S. and Lai. M.. A Cointegration Test for Market Efficiency, The Journal of Futures Markets, 1991, (11): 567-575.
  • 9Maberly. E. D.. Testing Futures Market Efficiency- A Restatement. The Journal of Futures Markets, 1985, (5): 365-372.
  • 10Quan. J.. Two-Step Testing Procedure for Price Discovery Role of Futures Prices. The Journal of Futures Markets, 1992, (12): 139-149.

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价值工程
2011年 第2期

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