国际间黄金期货市场价格联动关系研究——基于中国和美国、日本黄金期货市场传导影响的分析

Research on The Price Linkage Relationship of The International Gold Futures Market——An Evidential Analyses on China and The United States and Japan

自2016年以来,英国脱欧、美联储加息、欧佩克(OPEC)的回归以及日本、欧洲全面推行负利率政策等一系列政治经济事件给国际金融市场带来了新的不确定性。黄金市场作为金融市场的"天然避风港"能否有效发挥避险功能关系到整个金融市场的稳定,具有十分重大的意义。本文运用VAR-DCC-GARCH模型对中国、美国和日本黄金期货市场的研究发现:中国、美国与日本三个黄金期货市场间均存在显著的双向引导关系,在面对外部冲击时,美国市场对其他市场的冲击更强,中日两国黄金市场间的关系更为稳定。

Since 2016, the Brexit, an increase in interest rates by the Fed, OPEC meetings and the negative interest rates policy in Europe and Japan. A series of political and economic events have brought new uncertainty to the international financial market. Gold, as the most im- portant safe haven asset, has played an extremely important role in the face of market volatil- ity and uncertainty. But with the development of the market and the large demand for gold market, the relationship between the gold market has become more complex. As a natural haven of fi- nancial market, whether the gold market can effectively play a safe haven function is very im- portant for the stability of the whole financial market. The study of price linkage and market dynamics in international gold market helps us to grasp the internal relationship between price movements in the world gold market and provide guidance for domestic financial market to effec- tively hedge international market risks. On the other hand, it can provide theoretical support for the internationalization of China＇s gold futures market, and has great significance for the whole markets. This paper uses VAR-DCC-GARCH model to analysis China, the United States and Japan gold futures markets and the results indicate that there is a significant two-way rela- tionship between China, the United States and Japan＇s gold futures markets. In the face of ex- ternal shocks, the U.S. market has a stronger impact on other markets, compared with the U.S. market, the relationship between China and Japan gold market is more stable.