| 上海黄金市场期现价格的实证分析 |
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| 引用本文： | 魏忠,蒋冰.上海黄金市场期现价格的实证分析[J].上海金融学院学报,2011(1):78-84. |
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| 作者姓名： | 魏忠 蒋冰 |
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| 作者单位： | 上海金融学院国际金融学院,上海,201209 |
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| 摘 要： | 本文以上海黄金市场的期货和现货价格为样本,建立VAR和VECM模型对上海黄金市场进行实证研究。研究结果表明,上海黄金市场的期现货价格之间存在协整关系;期货价格是市场价格的先行指标,是引导现货价格变化的Granger原因;上海黄金期货市场具有价格发现功能,并且具有较强的调整作用。
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| 关 键 词： | Granger检验 协整 VAR VECM |
An Empirical Analysis on Prices of Future and Spot From Shanghai Gold Market |
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| Wei Zhong,Jiang Bing.An Empirical Analysis on Prices of Future and Spot From Shanghai Gold Market[J].Journal of Shanhai Finance University,2011(1):78-84. |
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| Authors: | Wei Zhong Jiang Bing |
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| Institution: | Wei Zhong,Jiang Bing |
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| Abstract: | Using prices of future and spot from Shanghai Gold Market,VAR and VECM are built.Results from the researches on Shanghai Gold Market are as following: there is co-integration relationship between the gold prices of future and spot;future price is the leader index of Shanghai gold market,which is Granger cause of spot price;Shanghai gold future market is of function of price discovery,also function of strongly adjustment. |
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| Keywords: | VAR VECM |
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