摘要
为了探究黄金的现货价格和期货价格是否存在一定的联动性,以及存在何种联动性,论文通过构建VAR模型进行实证分析。黄金期货价格来源于上海期货交易所,现货价格来源于上海黄金交易所。数据的时间跨度为2020年1月2日到2020年9月1日,共162组数据(其间有节假日等期货不开盘的时间)。对收集整理过后的有效数据通过EViews软件进行单位根ADF检验、E-G两步协整检验、格兰杰检验,构建VAR模型,进行脉冲分析和方差分解分析等。最后得到结论:黄金期货价格信息会影响到黄金的现货价格,而且这种影响是单向的,黄金现货价格会受到黄金期货价格的影响,现货价格却不会对期货价格产生影响。验证了黄金期货市场的价格发现功能。
In order to explore whether there is a certain linkage between spot price and futures price of gold,and what linkage exists,this paper makes an empirical analysis by building VAR model.The price of gold futures is listed on the website of Shanghai Futures Exchange with price list of futures varieties every year.Spot price is recorded by the website of Shanghai Gold Exchange according to the price trend chart.The time span of data is from January 2,2020 to September 1,2020,with 162 groups of data(during which futures will not open for holidays).The effective data collected and sorted out are tested by using EViews software,such as ADF test,E-G two-step cointegration test,Granger test,and the VAR model is constructed to carry out impulse analysis and variance decomposition analysis.Finally,the conclusion is that the information of gold futures price will affect the spot price of gold,and the influence is one-way.The spot price of gold will be affected by the futures price of gold,but the spot price will not affect the futures price.The price discovery function of gold futures market is verified.
作者
计承杰
芮林仁
Ji Chengjie;Rui Linren(College of Economics&Management,Anhui Agricultural University,Hefei,Anhui,230036)
出处
《市场周刊》
2021年第6期132-135,共4页
Market Weekly
