我国黄金期货市场价格波动研究

以上海期货交易所2008年1月9日至2011年6月30日的黄金期货市场量价关系为研究对象,构建了GARCH(异方差)族模型检验我国黄金期货市场的价格波动特征.研究结果表明,当分别引入黄金期货市场的交易量和持仓量时,交易量对价格波动的影响在当期和滞后期均十分显著,而持仓量对价格波动的影响在当期显著,滞后期则不显著;当同时引入黄金期货市场交易量和持仓量时,他们对价格波动的解释作用增加,且当期统计检验显著,滞后期效应则不明显.

Study on Price Volatility of China's Gold Futures Market

This paper studies the relation between price and quantity of gold futures market from Jan 9,2008 to Jun 30,2011 in Shanghai Futures Exchange and builds up GARCH models to analyze the price fluctuation features of China’s gold futures market.Result shows when volume of trade and positions are brought in,volume of trade shows an obvious effect in both current and delaying periods,while positions only shows an obvious effect on price fluctuation in current period but not in delaying period.When both volume of trade and positions are brought in,their explanatory function for price fluctuation are enhanced,and the current statistics shows obvious effect while delaying statistics shows none obvious effect.