上海黄金期货市场有效性的实证分析

黄金因为其兼有货币、商品和金融三大属性的特征历来受到人们的重视。今年年初黄金期货在上海期货交易所的上市,填补了我国长期缺乏金融期货的空白。同时管理层与市场各参与主体对黄金期货给予很高的期望与关注,因此研究上海黄金期货市场的有效性具有重要意义。通过运用ADF单位根检验、协整检验、误差修正模型以及格兰杰因果检验等时间序列与计量经济方法,对上海期货交易所黄金期货市场的有效性进行实证分析。结果表明,上海黄金期货市场尚未达到有效,并且黄金现货价格单向引导期货价格。

The Empirical Analysing on the Efficiency into Shanghai Gold Market of Futures

People are paying attention to the gold because of its property of currency, commodity, and finance. The gold futures listed on Shanghai Futures Exchang in early this year, and it filled up the blank of China＇s futures market which has been without financial futures for a long time. At the same time, the governors and all kinds of participants of the market have more expectation and hope to it. Therefore, it is important significance to study the efficiency of Shanghai gold futures market. This paper based on the time series methods of ADF unit root test, cointegration test, error correction model and Granger test to take the empirical analysis of the gold futures market. And the conclusions are： Shanghai gold futures market is not efficient, and the gold spot price granger the gold futures price only.