连续交易制度与价格发现功能的相关性研究--基于我国黄金期货市场的实证分析

Research on the Correlation between Continuous Trading System and Price Discovery Function--Empirical analysis based on China’s gold futures market

连续交易制度有利于促进期货市场的功能发挥、优化我国期货市场参与者结构、提升我国期货市场国际竞争力。价格发现功能是期货市场的基本功能,本文采用2008年1月-2019年11月国内黄金期货市场和现货市场及国际黄金期货市场的日收盘价格数据,分析比较连续交易制度实施前后,国内黄金期货市场和现货市场及国际黄金期货三者关系的变化,以及该制度对我国黄金期货市场的影响。研究发现:推出连续交易制度增强了我国黄金期现货市场的稳定性,使得黄金期货市场的价格发现功能得到了有效发挥。

The continuous trading system is conducive to promoting the futures market’s function, and enhancing the international competitiveness of China’s futures market. The price discovery function is the primary function of the futures market. This article uses the daily closing price data of the domestic gold futures, the spot, and the international gold futures market from January 2008 to November 2019. It analyzes the local gold futures before and after the implementation of the continuous trading system, and changes in the relationship between the future and the spot market and international gold futures, andetc..The study found that the introduction of the continuous trading system enhanced China’s gold futures and spot market stability and made the price discovery function of the gold futures market play an effective role.