| 中国黄金期货与黄金现货价格的实证分析 |
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| 引用本文： | 高建勇.中国黄金期货与黄金现货价格的实证分析[J].经济研究导刊,2010(30):69-71. |
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| 作者姓名： | 高建勇 |
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| 作者单位： | 西北农林科技大学,经济管理学院,陕西,杨凌,712100 |
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| 摘 要： | 意旨探索中国黄金现货价格对黄金期货价格形成的作用机制。借助ADL模型和共同因子贡献法进行实证分析,研究了中国黄金期货价格与黄金现货价格的关系。研究表明,中国黄金期货价格与现货价格长期趋势是一致的,但是短期存在比较大的偏差,同时中国黄金期货和现货价格波动率序列之间有较高的依存度。由此中国黄金期货市场已具备一定规避风险的功能。
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| 关 键 词： | 黄金期货价格 黄金现货价格 波动率序列 相关性 |
China's Gold Futures and Gold Spot Price of Empirical Analysis |
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| GAO Jian-yong.China's Gold Futures and Gold Spot Price of Empirical Analysis[J].Economic Research Guide,2010(30):69-71. |
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| Authors: | GAO Jian-yong |
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| Institution: | GAO Jian-yong (North West Agricultre and Fonestry University Economy and Management Department,Yangling712100,China) |
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| Abstract: | This paperaims to explore China＇s gold spot price pairgold futures price formation mechanism.Using ADLmodel and common factor contribution method conduct empirical analyze China＇s gold futures prices and the relationship between the spot price of gold.The results show that China＇s gold futures prices and spot prices is consistent of long-term trend,but the relatively larger of short-term deviations,while China＇s gold futures and spot price have a higherdegree of dependence between Volatility sequences.Thus China＇s gold futures market has a certain risk aversion function. |
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| Keywords: | gold futures prices gold spot prices volatility sequence correlation |
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