中国黄金期货价格发现功能动态演进实证研究

Discovery Function of China's Gold Futures Market

本文针对中国黄金现货价格以及黄金期货价格之间的联动关系进行实证分析。根据中国黄金期货保证金比率的变动,本文将数据分为两段,分别对其进行实证检验:先后进行平稳性检验、协整检验、建立VAR模型、进行Granger因果关系检验、Hasbrouck方差分解,通过对比两阶段的实证结果,研究中国黄金期货市场的价格发现功能以及分析保证金比例的提高对黄金期货市场价格发现功能的影响方向及其程度。研究结果表明,中国黄金期货价格与黄金现货价格之间存在相互引导关系。同时,黄金期货保证金比率的提高对黄金期货市场与黄金现货市场之间价格的联动关系并未产生实质性的影响,但是会降低黄金期货市场在价格发现中的贡献。最后,本文分析了影响黄金期货市场价格发现功能的原因,并提出了相应的建议。

This paper makes an empirical study on the relationship between the spot price and the futures price of the gold market. According to the changes of the futures margin rates,the paper adopts the segmentation method in the empirical study,with the first period from January 9,2009 to November 28,2010,the second period from November 29,2010 to January 9,2012. With the help of ADF test,Cointegration test,the VAR model,the Granger test and Hasbrouck variance decomposition,the empirical research shows that China＇s gold futures price interacts with the spot price,and China＇s gold futures market is capable of price discovery function. Besides,although the raise in the margin rate has no crucial impact on the relationship between the futures price and the spot price of the gold market,it is detrimental to the price discovery function of the gold futures market. Finally,given the defects of China＇s gold futures market,this paper offers some corresponding suggestion as the blueprint for China＇s gold futures market.