白银期货与黄金期货、白银现货市场间价格联动性研究

本文为研究黄金期货与白银现货对白银期货的影响,选取国内的白银期货品种AG1508与黄金期货AU1508以及上海贵金属交易所的白银现货,利用单位根检验、协整检验与格兰杰因果检验得出白银期货价格主要由黄金期货、白银现货影响,但是滞后期有着明显的不同。     

贵金属现货、原油和人民币汇率动态关系的实证分析

本文研究了黄金、白银、铂金等贵金属现货、原油和人民币汇率之间的价格传递关系。结果显示,贵金属和人民币汇率等国内经济变量对原油价格的长期影响微乎其微,原油价格变动冲击无论短期或是长期都是导致人民币汇率、贵金属现货价格波动的重要因素。在贵金属内部,黄金价格具有"风向标"的引导作用,白银和铂金则处于从属地位。原油和黄金等商品对人民币汇率变动的长短期影响都是显著的,人民币汇率对原油和贵金属现货价格波动影响有限。这些结论有助于深化对商品金融化的认识,对市场投资、货币监管以及金融改革发展都有一定的参考意义。     

黄金价格的货币影响因素分析

自从布雷顿森林体系解体以来,黄金价格不再与美元直接挂钩。市场化的黄金价格变动因素多样复杂,且其波动性越来越大。2013年2月份以来,黄金白银的价格下跌之势越来越明显,黄金10年牛市将要终结的传闻甚嚣尘上。作为各国的主要储备资产,黄金成为金融危机中货币保值增值的主要手段,它具有     

向逸扬:黄金白银价格受伯老言论承压,低位整理

昨日美盘时段美联储主席伯老在进行国会半年度作证时对QE3的态度和之前一样,没有明确的提及具体措施,但是昨日其本人对美国经济表达了较为悲观的看法,这让贵金属有小小的经历了一次过山车行情,黄金白银价格下跌后涨,今日金价开盘在1583,白银开盘价在5547。行情回顾:昨日美盘时段美联储主席伯     

兄弟“情”深

【策划二】作为黄金的兄弟,白银和黄金无论是金属特性,还是金融角色上都十分接近,但要在两者的价格之间画上一个固定的等号或公式却是十分困难的。     

白银期货品种简析

目前白银期货交易越来越受到投资者的青睐，但是由于缺乏全面的了解，导致交易过程中问题不断。本文首先从白银期货交易意义出发，其次介绍白银基础知识，最后分析白银价格影响因素，使投资者对这个品种有简单全面的了解。     

危险的白银

白银,本是黄金的替代投资品,主要优势在于投资门槛较低,并且具备一定的金融属性。但从2010年下半年以来,白银却反客为主,成为贵金属投资市场绝对的主角。短短一年间,银价暴涨了近170%,尤其从2011年1月底开始,白银仿佛坐上了火箭,狂飙不止。但进入2011年5月,国际贵金属市场风云突变,白银价格一改前期牛气冲天、连创新高的局面,转而暴跌不     

基于小波的黄金和白银期货价格波动分析

本文采用小波变换分析方法对黄金和白银期货价格进行小波多分辨率信息提取,然后分别对黄金和白银相同尺度下的波动项进行脉冲响应和格兰杰因果检验,.由此得出不论在短、中、长期黄金期货价格都会影响白银期货价格,这个影响时间随时期不同而变化.     

投资者关注与白银价格、股票市场相关性

随着我国金融市场的不断地进步和发展,人们的投资选择越来越多,其中股票和贵金属成为投资者的首要选择,二者的相关性也是学者们的研究重点。互联网的快速发展使得搜索引擎成为投资者获得信息的主要来源,百度搜索是投资者使用频率最高的搜索引擎。因此,基于百度指数运用ADCC-GARCH模型来分析研究白银搜索量和白银现货价格、股票市场之间的多元动态相关关系。结果表明:百度指数数据能够对白银的价格产生影响,并能够预测白银的价格。而白银价格在一定程度上又与股市有着负相关,所以百度指数会对股市的价格有一定的影响。     

黄金期货上市引来的机遇

推出黄金期货交易,是国内商品期货品种上市发展进程中的一次重大突破,有利于广大生产企业和投资者利用期货市场进行套期保值、发现价格,规避生产经营和投资风险,完善黄金市场体系和价格形成机制,分析出影响黄金价格的因素,进而更好地让投资者与黄金相关企业参予投资黄金期货。     

New evidence on hedges and safe havens for Gulf stock markets using the wavelet-based quantile

This paper examines the dynamic tail dependence structure for the Gulf equity indices, using the Dow Jones Islamic world emerging equity index and four macroeconomics factors (the three-month U.S. Treasury bill rate, the VIX index, gold prices and oil prices) under different market conditions and scale or investment horizons. We find little or insignificant dependence at the short investment horizon but strong asymmetric dependence at the middle and long investment horizons. Gold is a strong hedge and a safe haven at the short, middle and long run horizons for all Gulf markets.     

The effect of oil price shocks on asset markets: Evidence from oil inventory news

We quantify the reaction of U.S. equity, bond futures, and exchange rate returns to oil price shocks driven by oil inventory news. Across most sectors, equity prices decrease in response to higher oil prices before the 2007/2008 crisis but increase after it. Positive oil price shocks cause a depreciation of the U.S. dollar against a broad range of currencies but have only a modest effect on bond futures returns. The evidence suggests that changes in risk premia help to explain the time-varying effect of oil price shocks on U.S. equity returns.     

“The bigger they are, the harder they fall”: Retail price differences across U.S. cities

This paper examines the evidence for nonlinear price behavior in retail goods prices across U.S. cities. First, a simple continuous-time model is used to explore the types of price behavior that can arise in the presence of market frictions. These frictions could be interpreted as transport costs, but we prefer a broader interpretation in which they operate at the level of technology and preferences. Second, we gather price data from 24 U.S. cities on individual goods like orange juice and toothpaste. The empirical analysis reveals that price discrepancies between U.S. cities are stationary and nonlinearly mean-reverting to price parity.     

Analysis of Bitcoin prices using market and sentiment variables

This paper proposes an empirical model for analysing the dynamics of Bitcoin prices. To do this, we consider a vector error correction model over two overlapping periods: 2010–17 and 2010–19. Price discovery is achieved through the Gonzalo–Granger permanent‐transitory decomposition. The pricing factors are endogenous linear combinations of the S&P 500 index, gold price, a Google search variable associated to Bitcoin and a fear index proxied by the FED Financial Stress Index. Our empirical analysis shows that during the first period, a linear combination of four pricing factors describes the efficient Bitcoin price. The S&P 500 index and Google searches have a positive effect whereas gold prices and the fear index have a negative effect. In contrast, during the second period, the efficient price behaves idiosyncratically and can be only rationalised by individuals' search for information on the cryptocurrency. These findings provide empirical evidence on the presence of a correction in Bitcoin prices during the period 2018–19 uncorrelated to market fundamentals. We also show that standard empirical asset pricing models perform poorly for explaining Bitcoin prices.     

Commodity Markets and Commodity Mutual Funds

Fundamental economic factors—market demand and supply conditions—provide the most consistent explanation for trends in commodity prices from 2004 to 2011. This paper presents empirical evidence that the rise and fall of commodity prices on a monthly basis can be strongly linked to the value of the U.S. dollar and the world business cycle—in particular, to the strength or weakness in emerging market economies such as China, Brazil, India, and Russia. Despite concerns raised by some policymakers that increased commodity index investment (the financialization of commodities) has driven commodity price movements, numerous academic studies have concluded that index-based investing has not moved prices or exacerbated volatility in commodity markets in recent years. An examination of weekly and monthly net flows into commodity mutual funds reveals that these flows have little or no effect on the overall growth rate of commodity prices. In particular, weekly flows into commodity mutual funds do not lead to future commodity price changes. These results are consistent with academic papers that find little or no impact of commodity index investors on commodity prices in individual markets. The paper concludes by briefly discussing three key factors that illustrate why flows into commodity mutual funds cannot explain commodity price movements.     

Investigation of Directional and Functional Relationships of Australian Dollar Exchange Rate,Steam Coal Export,and Steam Coal Price

The interesting finding in this article is that the Australian coal exporter's loss, which occurs due to a strong Australian dollar, is less than the profit from increasingly higher prices of Australian steam coal. For this reason, Australian steam coal exporters choose to export more when the price is high. The empirical results of this analysis confirm that for each one cent increase in Australian dollar value against the U.S. dollar, the Australian steam coal price increases by 0.8182 U.S. dollars and for each additional one million tons export of Australian steam coal, the Australian steam coal price increases by 1.752 U.S. dollars.     

Modeling the employment–oil price nexus: A non-linear cointegration analysis for the U.S. market

ABSTRACT

Theoretically, fluctuations in oil prices are expected to affect production costs and may force businesses to delay their investment decisions, triggering pressures on employment. Following these theoretical notions, this paper investigates the asymmetric impact of oil prices on employment (measured as total employment, male employment, and female employment), in a nonlinear cointegration structure for the U.S. market. In doing so, this paper adopts the nonlinear autoregressive distributed lags (NARDL) model to shed light on such asymmetric association, as the NARDL model recently emerged as a new direction in examining nonlinear cointegration and asymmetry. The empirical findings document a long-run asymmetric effect in case of total employment and male employment only. Furthermore, the short-run asymmetric effect was detected for all three employment categories. As a final point, the Granger Causality test documents a unidirectional causality running from oil price decrease to both total employment and male employment.     

Night trading and market quality: Evidence from Chinese and US precious metal futures markets

Given a dominant exchange, how should other exchanges set their trading hours? We examine the introduction of a night session by the Shanghai Futures Exchange, allowing trading concurrently with daytime trading at the Commodity Exchange in the United States. After developing hypotheses, results for gold and silver show: trading activity has increased; liquidity in Shanghai has risen and prices are less volatile at market opening; the price discovery share of Chinese gold futures has fallen but this is not a sign of weakening market quality; and volatility spillovers increase bidirectionally. Longer trading hours have decreased market segmentation and increased information flow.     

Some empirical evidence on commodity arbitrage and the law of one price

This paper draws three conclusions from a regression study of disaggregated commodity arbitrage between the U.S. and Canada: (1) Inability to detect commodity arbitrage characterizes a majority of commodity classes, which can potentially be described as nontradeables. (2) Commodity arbitrage is never perfect. (3) When commodity arbitrage is detected, Canadian prices invariably respond as much or more to the exchange rate as they do to U.S. prices.     

绿色指数发布的股价效应研究——基于投资者情绪的视角

近年来，承载着引导资金投向等多项使命，各类绿色指数相继发布，然而绿色指数是否真的对市场产生了影响有待验证。文章以2017-2019年绿色领先类公司股票数据为样本，采用事件研究法分析绿色指数发布后样本公司收益率的变化,借以探究绿色指数发布的股价效应。实证结果表明：在短期内，绿色指数发布对样本公司股价影响显著，指数发布后，公司的异常收益率在整体上显著为正。而长期来看，该股价效应不具备持续性，平均异常收益率会在长期回落。进一步，文章基于投资者情绪的视角，对该股价效应背后的影响机制做出了梳理。研究结果表明，绿色指数发布后，投资者情绪明显高涨，并且这种情绪对事件日后的异常收益有显著的正向影响。文章的研究为评价绿色指数发布的影响提供了良好的参考，同时对于内在机制的挖掘在一定程度上弥补了既有研究的不足。