基于高频数据的黄金ETF价格发现功能的实证研究

Empirical Study on Price Discovery Function of Gold ETFs Based on High-frequency Data

利用一分钟高频数据建立误差修正模型,并通过格兰杰因果检验、信息份额模型和共因子模型,实证分析国内黄金ETF、现货和期货在黄金定价过程中发挥的作用。结果显示,三者的交易价格存在稳定的协整关系。从定性角度看,黄金期货价格单向、显著地影响黄金现货和黄金ETF,黄金现货和黄金ETF之间存在双向、紧密的价格联系。从定量角度看,黄金期货的价格发现能力强于黄金ETF,黄金ETF则略好于黄金现货。实证结果验证了黄金期货和黄金ETF的价格发现能力,支持了黄金ETF是黄金投资有效工具的判断。

An error correction model was set up in this paper by using one-minute high-frequency data,and the role played by domestic gold ETFs,spot and futures in the process of gold pricing was analyzed through Granger causality test,information share model and common factor model.The results indicated that there is a stable cointegration relationship among the transaction prices of the three.From a qualitative perspective,the price of future gold has a one-way and significant impact on spot gold and gold ETFs,whereas there is a two-way and close price connection between spot gold and gold ETFs.From a quantitative perspective,the price discovery ability of future gold is stronger than that of gold ETFs,and the price discovery ability of gold ETFs is slightly better than that of spot gold.The empirical results confirmed the price discovery abilities of gold futures and gold ETFs,and supported the assertion that gold ETFs are an effective tool for gold investment.