上海黄金市场期现价格的实证分析

An Empirical Analysis on Prices of Future and Spot From Shanghai Gold Market

本文以上海黄金市场的期货和现货价格为样本,建立VAR和VECM模型对上海黄金市场进行实证研究。研究结果表明,上海黄金市场的期现货价格之间存在协整关系;期货价格是市场价格的先行指标,是引导现货价格变化的Granger原因;上海黄金期货市场具有价格发现功能,并且具有较强的调整作用。

Using prices of future and spot from Shanghai Gold Market, VAR and VECM are built. Results from the researches on Shanghai Gold Market are as following： there is co-integration relationship between the gold prices of future and spot; future price is the leader index of Shanghai gold market, which is Granger cause of spot price; Shanghai gold future market is of function of price discovery, also function of strongly adjustment.