| 2013年黄金大跌对白银市场的影响力探讨 |
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| 引用本文： | 林新丹.2013年黄金大跌对白银市场的影响力探讨[J].特区经济,2014(6):98-99. |
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| 作者姓名： | 林新丹 |
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| 作者单位： | 华南理工大学经济与贸易学院,广东广州511400 |
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| 摘 要： | 本文选取2013年黄金大跌后黄金、白银期货的高频交易数据,使用多个计量方法揭示两者在价格上的动态关联关系。为使实证结论更加客观,文中选取4个不同抽样频率下的样本数据进行对比分析。实证结果显示:在样本期间内,黄金白银价格序列存在长期稳定的正相关关系,相关系数高达0.91,在较高频情形下两者互为Granger原因。这表明,2013年的黄金大跌对白银市场造成了严重的冲击。
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| 关 键 词： | 关联性分析 黄金期货 白银期货 高频数据 |
2013 gold crash's influence on silver market |
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| Abstract: | Base on the high-frequency exchanging data of the trading activities of Chinese gold futures and silver futures after 2013 gold＇s declining, and by the application of statistical methods, we discuss the correlation between gold price and sliver price. In order to draw more objective conclusions, our research bases on figures of 4 different frequencies. The empir ical results show that, there is a longrun equilibrium relationship with a correlation of over 0.91 and mutual Granger causality relationship between gold price and sliver price. All in all, 2013 gold＇s declining had a serious impact on sliver market. |
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| Keywords: | correlation analysis gold futures Silverfutures：high-frequencydata |
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