上海与纽约黄金期货价格联动关系实证分析

A Positive Analysis of the Interactive Relationship of Gold Futures Price between Shanghai and New York

为研究国内外期货黄金价格之间的关联性,对2011～ 2012年间的纽约期金日收盘价格和上海期金开盘价格进行协整检验、因果检验,建立误差修正模型,进行脉冲响应分析和方差分解研究.结果表明：上海黄金期货市场与纽约黄金期货市场价格之间存在长期均衡的关系.上海期货价格受到纽约期货市场价格的影响幅度更大,时间间隔更短.

To conduct a research on the correlation between domestic gold futures price and that abroad, the Shanghai gold futures opening price in 2011 and 2012 and the New York gold futures closing price in the same period are employed to undergo cointegration test and Granger causality test, and a model of error correction （ECM） is established to make the impulse response analysis. Result shows that a long-term balance relationship exists between the Shanghai gold futures price and that of New York. But the Shanghai futures price is affected greatly by the New York futures market price at very short intervals.