摘要
黄金期货在国内上市三年有余,其价格发现功能发挥如何?本文利用上市以来的972个黄金期货和黄金现货样本数据对黄金期货市场功能发挥情况进行了量化研究。分别采用了协整理论、误差修正模型、格兰杰因果分析和脉冲响应函数进行分析。结果显示黄金期货市场已经渐渐发挥其价格发现功能,但并不十分显著,究其原因,与交易制度密切相关。
Gold futures has been listing at home more than three years. How does the price discovery function work? Using the methods of cointegration theory, VECM, Granger causality analysis and impulse response function, this paper quantitatively researched on the functions of gold features market with 972 samples of gold futures and spot data. The results show that gold futures market has gradually been playing its price discovery function, but not remarkable, the reason is related with the trading system.
出处
《浙江社会科学》
CSSCI
北大核心
2012年第7期19-25,18,共8页
Zhejiang Social Sciences
基金
上海市博士后科研资助计划(重点项目)资助
编号为12R21421000
