摘要
在全球金融市场不断开放和融合的大背景下,黄金市场不但与外部市场频繁互动,其系统内部的联动关系也变得极为多元和复杂,黄金市场间的价格联动反映了信息和风险在不同市场间的传递过程。黄金价格通常会受到外部因素干扰而产生波动,但市场间的联动关系是否会因此而改变是值得重点关注的问题,黄金市场功能的有效性及稳固的市场关系是投资者利用全球黄金市场进行对冲和避险的先决条件,同时也关系到整个金融市场的稳定性。本文将研究重点聚焦于黄金市场内部,在研究中外各主要黄金市场间动态相关性和波动溢出效应的同时引入外部冲击以检验不同因素对黄金期货、现货市场间联动关系的影响从而探讨国内外黄金市场间价格联动的稳定性问题。结果表明:中国与全球主要黄金期货、现货市场间整体上保持了正相关关系,同时与各主要黄金市场间均存在显著的波动溢出效应。在一般市场条件下,外部冲击并没有显著改变中国与全球主要黄金期货、现货市场间的联动关系,表明黄金市场内部的价格联动具有较强的稳定性。
With the continuous opening up and integration of the global financial market, the Chinese gold market frequently interacts with the external market, and its internal linkage relationship also becomes extremely diverse and complex. The price linkage between gold markets reflects the transmission process of information and risk between different markets. The price of gold usually fluctuates due to the interference of external factors, but whether the linkage relationship between markets will change accordingly is not immediately obvious. The effectiveness of the market function and the stable relationship of gold markets are the prerequisites for investors to hedge and diversify their portfolios, and they are also related to the stability of the entire financial market.Gold futures and spot markets have great differences in market structure and trading mechanisms, so distinguishing the two types of markets is helpful for understanding their linkage mechanism and market characteristics. This paper focuses on the inner side of the gold market, taking the Chinese gold market as the main reference, and choosing the United States, Britain, Switzerland, Dubai, Thailand, and Japan as representatives of the international gold spot and futures market. The closing prices of the main gold contracts of the major exchanges are taken here from the financial terminal of Data Stream. Based on this data sample, the dynamic correlation and volatility spillover effects between the major gold markets in China and foreign countries from 2011 to 2018 are comprehensively analyzed. Crude oil prices, the MSCI index, and the US dollar index are introduced as external shocks to test the impact of different types of market factors on the linkage between the gold spot and futures market and to explore the stability of price linkage between the Chinese and foreign gold markets.The results show that there is a positive correlation between the Chinese gold market and the major global gold spot and futures markets as a whole, and there is a one-way or two-way volatility spillover effect between them. The significant volatility spillover effect between Chinese and foreign markets indicates that there are channels of information and risk transmission within the gold market, but the dynamic correlation between the markets does not determine the direction of risk transmission. Under general market conditions, external shocks have not significantly changed the linkage relationship between China and the major global gold markets, indicating that the price linkage within the gold market has a strong stability. However, it is worth noting that in extreme market conditions, external factors will have a significant asymmetric impact on the linkage between Chinese and foreign gold markets. These conclusions clarify the basic relationship between markets and provide useful theoretical reference for cross-market cooperation. At the same time, the different linkage mechanisms between spot and futures markets provide a clearer market model for market participants. Investors can use relevant conclusions to hedge and invest effectively.This paper makes three main contributions. First, it addresses the deficiencies of the research on the internal linkage of the gold market. Most of the literature focuses on the linkage between the gold market and other financial markets, but few studies have focused on the gold market and classified it according to futures and spot markets. This paper makes a comprehensive theoretical and empirical study of the internal correlation of the gold market. Second, this paper tests the stable price relationship between Chinese and foreign gold market from the perspective of external shocks, to explain why the market function of gold can be effectively played;this is a perspective different from that of previous studies. When external factors interfere with gold prices, such shocks do not significantly affect the correlation between gold markets, so investors can still use the global gold market for effective hedging without unduly worrying about the internal risks of the gold market. Finally, this paper chooses a sample of the futures and spot contracts of eight major global gold markets in the post-financial crisis era. The sample interval covers a variety of market conditions, and the conclusions are subjected to a series of robustness tests to make them more comprehensive and reliable.
作者
王聪
焦瑾璞
WANG Cong;JIAO Jinpu(College of Economics and Management,China Agricultural University;Shanghai Gold Exchange)
出处
《金融研究》
CSSCI
北大核心
2019年第11期75-93,共19页
Journal of Financial Research
