摘要
本文选取我国黄金期货、现货市场5分钟高频交易数据,利用协整理论、误差修正模型、永久瞬时模型以及分位数回归等方法系统分析了我国黄金期货市场的定价效率、引导-滞后关系以及价格发现功能。实证结果显示:(1)黄金现货、期货的协整系数为(1,-0.963),表现出较高的定价效率;(2)我国黄金现货与期货存在双向引导关系,但期货对现货的引导力度要大得多;(3)新信息融入黄金期货市场价格比率高达90.06%,期货市场在信息传递中位于主导地位,是价格发现过程中的主要驱动力量;(4)不同涨跌幅下的黄金期货与现货之间的相互影响存在差异,具有非对称性特征,表现出市场波动的杠杆效应。
This paper chooses five-minute high-frequency data in China＇s gold spot and future market, using cointegration theory, error correction, permanent instantaneous model as well as quantified regression method, to systematically analyze the efficiency of China＇s gold future market, pricing efficiency, lead-lag relations and pricing discovery. The empirical results show that： （1） The gold spot and future cointegration coefficient is （1,-0.963）, which illustrates higher pricing efficiency; （2）The gold spot and future price has mutual lead-lag relations, though the future price has greater effect on the spot price; （3）The rate for new information to be integrated into the market is up to 90.06%, with the future market playing a dominant role in the transmission of information, and serving as the major driving force in the process of price discovery; （4）The interaction between gold future and spot price has asymmetric features which create a leverage effect on market volatility.
出处
《国际金融研究》
CSSCI
北大核心
2013年第4期74-82,共9页
Studies of International Finance
关键词
黄金期货
定价效率
贡献度测算
价格发现功能
高频数据
Gold Futures
Pricing Efficiency
Contribution Measurement
Price Discovery
High-frequency Data
