摘要
本文选取了2011年1月2日到2017年9月30日上海黄金期货和纽约黄金期货的日交易价格数据,以黄金期货连续交易上市日为分界点,运用协整分析,比较连续交易推出前后两者价格关系的变化以及对我国黄金期货市场的影响。研究结果表明,连续交易推出后,纽约黄金期货价格在价格引导关系中仍旧处于主导地位,但是引导的效果有所减弱,同时上海黄金期货市场受到纽约黄金期货市场的影响显著下降,市场的独立性明显提高,连续交易制度的推出对上海黄金期货市场产生了显著的积极影响,市场的有效性有所提高。
This article selects the date of January 2, 2011 to September 30, 2017 Shanghai gold futures and New York gold futures trading price data, the gold futures trading market as a cut-off point, the use of co integration analysis, the introduction of the continuous trading before and after the price relationship between the two changes and the impact of China＇s gold futures market. The results show that the continuous trading, New York gold futures prices in the price guide is still in a dominant position, but the effect has weakened, while the Shanghai gold futures market has been significantly reduced, the market＇s independence is significantly improved, the introduction of continuous trading system has a significant positive impact on Shanghai gold futures market, the market＇s effectiveness has improved.
出处
《价格理论与实践》
CSSCI
北大核心
2017年第8期104-107,共4页
Price:Theory & Practice
关键词
连续交易
黄金期货
协整分析
Continuous trading
Gold futures
Co integration analysis
