我国黄金市场期货价格与现货价格的实证研究

Empirical Research on the Relationship between Futures Price and Spot Price in China’s Gold Market

选取近10年的黄金期货价格数据和现货价格数据进行分析。对两组时间序列数据进行单位根检验、协整性检验以此分析期货和现货之间的关系,并建立误差修正模型分析期货价格对现货价格的影响程度,通过格兰杰因果检验分析两者之间的效应。结果表明,近10年黄金的期货和现货价格之间确实存在协整关系,两者之间相互影响,影响效果显著性不强。期货价格对现货价格的指导作用效果不强,表明我国期货市场的价格发现作用没有完全发挥。

Selecting the data of gold futures price and spot price in recent 10 years,Unit root test and co-integration test were carried out on the two sets of time series data to analyze the relationship between futures and spot prices,and error correction model was established to analyze the impact of futures prices on spot prices,and Granger causality test was used to analyze the effect between the two.The results show that there is indeed a cointegration relationship between gold futures and spot prices in recent ten years,and the two influence each other,but the effect is not significant.The guiding effect of futures price on spot price is not strong,which indicates that the price discovery function of China’s futures market is not fully played.