我国黄金期货市场弱式有效性的实证研究

An Empirical Study on the Weak Validity of China’s Gold Futures Market

黄金期货市场是否有效,决定着黄金期货市场是否存在风险和具有保值等作用。因此对黄金期货市场有效性的检验有着十分重要的意义。首先对黄金期货市场有效性进行界定,然后从价格时间序列是否随机、以及价格功能是否实现等角度,采用随机游走检验、EG两步法协整检验、基于R/S计算的Hurst指数等方法对黄金期货市场进行有效性分析。发现黄金期货市场价格序列符合随机游走;并且在价格发现功能方面,黄金现货市场与黄金期货市场存在一定的协整关系,黄金期货市场对现货市场起主导作用。通过协整检验、基于R/S计算的Hurst指数综合分析,得出了黄金期货市场不是弱式有效的结论。

Whether the gold futures market is effective or not determines whether there is risk in the gold futures market and it also has the function of preserving value.Therefore,it is of great significance to test the validity of gold futures market.Firstly,the validity of the gold futures market was defined,and then the validity of the gold futures market was analyzed by random walk test,EG two-step co-integration test,Hurst index based on R/S calculation from the perspectives of whether the price time series was random and whether the price function was realized.It is found that the price sequence of gold futures market conforms to random walk.In terms of price discovery,there is a co-integration relationship between gold spot market and gold futures market,and gold futures market play a leading role in the spot market.Through co-integration test and comprehensive analysis of Hurst index based on R/S calculation,it is concluded that the gold futures market is not weakly efficient.