摘要
本文利用Hasbrouck信息份额分析方法,通过上海黄金交易所和伦敦黄金市场之间的比较,研究我国黄金市场的价格发现功能。研究表明,上海黄金市场和伦敦黄金市场之间存在长期均衡的关系,伦敦黄金市场在价格发现过程中居主导地位。通过数据分段分析得出,上海黄金交易所的价格发现功能不断加强,说明我国黄金市场在国际黄金市场上的地位逐渐提高。
In this paper, Hasbrouck（1995）Information Share model is utilized to analyze the price discovery mechanism of gold markets in China by contrasting the SGE and LBMA. The study shows a fact that SGE and LBMA have long equilibrium relationship and LBMA lies in a dominant position in the price discovery process. The price discovery ability of SEG is strengthened constantly. The status of Chinese gold markets in international gold markets is gradually raised.
出处
《中国矿业大学学报（社会科学版）》
2007年第1期58-64,共7页
Journal of China University of Mining & Technology(Social Sciences)
关键词
黄金市场
价格发现
信息份额
gold markets
price discovery
information share
