国内外黄金价格关系的实证研究
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摘要
自2002年10月上海黄金交易所成立以来,我国黄金管理体制由中国人民银行的“统收统管”制度逐步过渡到黄金流通实行市场化的管理体制。我国的黄金市场仍是以现货交易为主,其主要功能是为黄金生产加工企业提供市场供求信息、沟通产需、促进黄金商品的流通等服务,一定程度上起到了利用市场机制配置黄金资源的作用。2008年是不平凡的一年,金融海啸席卷世界,并引发了百年不遇的经济危机。世界上大宗商品的价格也走出了“过山车”般的行情,从年初的疯狂上涨到年底的暴跌,而黄金的价格却独领风骚,充分体现了其集商品属性与金融属性于一身的特性;另外,2008年1月9日黄金期货在上海期货交易所上市,这是我国第一个具有金融属性的期货品种,引起了市场的广泛关注。目前对我国黄金期货价格研究很少。本文借助向量自回归(VAR)模型、格兰杰因果关系检验等方法对国内、国际期货市场上黄金期货、现货价格之间的动态关系进行实证研究。通过本文的研究,希望能够解决以下几个问题: (1)近期黄金价格的走势、影响因素、以及与历史比较的新特点。(2)国内黄金期货市场与国际黄金期货市场价格之间的相关性。(3)国内期货价格与现货价格之间是否存在互动关系。
本文共分为六章,各章节内容如下:
第一章导论。主要阐述了论文的选题背景、研究目的和意义,并对研究思路、方法和创新制作了说明。
第二章概述了黄金市场和期货市场。介绍了黄金的双重属性、影响因素;国内外主要的黄金市场;期货市场的发展历程、中国期货市场和黄金期货市场的现状。
第三章主要回顾2008年黄金价格的走势,分析了动荡的金融市场发生的事件对黄金价格的影响,以及黄金走势的特点。
第四章分析了在过去的一年多黄金价格的影响因素,并讨论了黄金走势的新特点。在金融海啸的背景下,黄金价格与往年走势不同,受原油、大宗商品等价格影响减小,与美元指数表现出一定的正相关性。这都充分凸显了黄金的避险、保值的金融属性。
第五章进行了数据检验与相关性分析。检验了4个黄金价格序列的平稳性,发现它们经过一阶差分过一阶差分后可以平稳,即I(1)序列,此外进行,了协整检验,发现了几对序列存在协整关系。
第六章运用VAR模型、方差分解、脉冲效应函数等方法等对四个黄金价格序列进行实证研究,分析了其价格间的互相影响关系,并针对上海黄金期货提出自己的看法和建议。最后总结了本文的研究成果,概括全文的主要观点和结论。
Since October 2002 since the founding of the Shanghai Gold Exchange, China's gold management system gradually turn form "reunification admission control" system monitored by the People's Bank of China's to circulation management system. Before 2008, China's gold market is still mainly based on spot transactions, and its main function is the provision of market information, promote the circulation of commodities of gold for gold production and processing enterprises. It played a prime role of market mechanisms to allocate resources role. In January 9, 2009, gold futures launch in Shanghai Futures Exchange. It has been running smoothly for more than a year till now. At present, the research on dynamic relationship between China's gold futures and spot market prices with international gold prices is still blank. In this paper, I made empirical research on the dynamics relationship of gold futures, spot prices and international influential god prices by using correlation analysis, error correction model .Through the study of this article, I hope could be able to resolve the following issues: (1) Whether domestic and international gold futures prices have close link? (2) Whether the domestic futures prices have interaction with spot prices ? (3) Could a market price changes be explained by price of another the market?
The essay is divided into six chapters:
Chapter one is introduction.This mainlu elaborated the backgound,the research goal and the significance,and explained the research mentality.the method and the innovation places.
Chapter two is the introduction of gold and futures markets..i introduce the double attribute of gold and influence factor; Domestic and foreign main gold market; Futures market development course, the present situation of China futures market and gold futures market.
Chapter there Mainly reviews in 2008 the gold rate the trend, analyze the event in turbulent money market occurs to the gold price influence, as well as gold trend characteristic.
Chapter four has analyzed influence factor of gold price in the past one year ,discussed the new characteristic of gold trend.Under the financial tsunami background, gold price has a different trend with the old times, gold price goes different with the crude oil, large amount commodity as well as US dollar index.This has all fully highlighted the financial attribute of gold.
Chapter five made data examination and the relevant analysis.I examined 4 gold prices sequence stability,discovered they data become steady through a step difference step difference, namely I(1) sequence.
Chapter six using the VAR model, the variance decompose, methods and so on pulse effect function and so on ,make empirical research to four gold rate sequences, analyzed mutual influence relations among them, take my own view and the suggestion about Shanghai gold stock.Finally summarized my research results.
本文共分为六章,各章节内容如下:
第一章导论。主要阐述了论文的选题背景、研究目的和意义,并对研究思路、方法和创新制作了说明。
第二章概述了黄金市场和期货市场。介绍了黄金的双重属性、影响因素;国内外主要的黄金市场;期货市场的发展历程、中国期货市场和黄金期货市场的现状。
第三章主要回顾2008年黄金价格的走势,分析了动荡的金融市场发生的事件对黄金价格的影响,以及黄金走势的特点。
第四章分析了在过去的一年多黄金价格的影响因素,并讨论了黄金走势的新特点。在金融海啸的背景下,黄金价格与往年走势不同,受原油、大宗商品等价格影响减小,与美元指数表现出一定的正相关性。这都充分凸显了黄金的避险、保值的金融属性。
第五章进行了数据检验与相关性分析。检验了4个黄金价格序列的平稳性,发现它们经过一阶差分过一阶差分后可以平稳,即I(1)序列,此外进行,了协整检验,发现了几对序列存在协整关系。
第六章运用VAR模型、方差分解、脉冲效应函数等方法等对四个黄金价格序列进行实证研究,分析了其价格间的互相影响关系,并针对上海黄金期货提出自己的看法和建议。最后总结了本文的研究成果,概括全文的主要观点和结论。
Since October 2002 since the founding of the Shanghai Gold Exchange, China's gold management system gradually turn form "reunification admission control" system monitored by the People's Bank of China's to circulation management system. Before 2008, China's gold market is still mainly based on spot transactions, and its main function is the provision of market information, promote the circulation of commodities of gold for gold production and processing enterprises. It played a prime role of market mechanisms to allocate resources role. In January 9, 2009, gold futures launch in Shanghai Futures Exchange. It has been running smoothly for more than a year till now. At present, the research on dynamic relationship between China's gold futures and spot market prices with international gold prices is still blank. In this paper, I made empirical research on the dynamics relationship of gold futures, spot prices and international influential god prices by using correlation analysis, error correction model .Through the study of this article, I hope could be able to resolve the following issues: (1) Whether domestic and international gold futures prices have close link? (2) Whether the domestic futures prices have interaction with spot prices ? (3) Could a market price changes be explained by price of another the market?
The essay is divided into six chapters:
Chapter one is introduction.This mainlu elaborated the backgound,the research goal and the significance,and explained the research mentality.the method and the innovation places.
Chapter two is the introduction of gold and futures markets..i introduce the double attribute of gold and influence factor; Domestic and foreign main gold market; Futures market development course, the present situation of China futures market and gold futures market.
Chapter there Mainly reviews in 2008 the gold rate the trend, analyze the event in turbulent money market occurs to the gold price influence, as well as gold trend characteristic.
Chapter four has analyzed influence factor of gold price in the past one year ,discussed the new characteristic of gold trend.Under the financial tsunami background, gold price has a different trend with the old times, gold price goes different with the crude oil, large amount commodity as well as US dollar index.This has all fully highlighted the financial attribute of gold.
Chapter five made data examination and the relevant analysis.I examined 4 gold prices sequence stability,discovered they data become steady through a step difference step difference, namely I(1) sequence.
Chapter six using the VAR model, the variance decompose, methods and so on pulse effect function and so on ,make empirical research to four gold rate sequences, analyzed mutual influence relations among them, take my own view and the suggestion about Shanghai gold stock.Finally summarized my research results.
引文
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[4] DH ILLON U S, LASSER D J, WATANABE T. Volatility, information, and double versuswalrasian auction pricing in US and Japanese futuresmarkets[J]. Journal of Banking & Finance 1997, 21: 1045—1061.
[5]CHOW Y F. Arbitrage, risk premium, and cointegration tests of the efficiency of futures markets[J]. Journal ofBusiness Finance & Accounting 2001, 28: 693—713.
[6]XU X E, FUNG H G. Cross2market linkages between U. S. and Japanese p reciousmetals futures trading, Int. Fin. Mar2 kets, Inst. andMoney 2005, 15: 107—124.
[7]RAMAPRASAD B, SHIGEYUKIH. Information flow between p rice and trading volume in gold futures contracts[J]. International Journal of Business and Economics 2004, (3) : 45—56.
[8]LARRY A, FAB IO S. The p rice of gold and the exchange rate [J]. Journal of International Money and Finance 1996,15: 879—897.
[9]Terence,C.mills,Statiscal analysis of daily gold price data[J].Physica A.2004,Vol,338,PP
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[14]王文杰,部慧,陆凤彬.金融海啸下我国黄金期货市场波动性的实证分析,黄金专刊,2009,1
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[25]王文杰等.金融海啸下我国黄金期货市场波动性的实证分析[ J ].管理评论, 2009, (2)
[26]吴峥峥.2009年黄金年报[R ],2009,北京中期期货公司
[27]周华林.黄金价格影响因素的实证分析[ J ].重庆交通大学学报(社科版), 2005, 21 (5) : 9～12.
[28]顾涛,周向彤.黄金价格影响因素的实证分析[ J ].中国集体经济, 2008, 6 35～37.
[29]张次兰,郁红艳.石油价格与黄金价格的实证研究[J].西南金融,2009(3)
[30]温博慧.国内外黄金价格波动性及其演化的实证研究——以中国上海和英国伦敦黄金市场为例。世界经济情况[ J ].上海金融,2008(10) : 4～8.
[31]张世英许启发周红清华大学出版社《金融时间序列分析》叶陈毅,陈林兴,胡劲
[32]刘振班.计量经济学教程[M] .北京:中国人民大学出版社,1993
[33]刘凤军,刘勇.期货价格与现货价格波动关系的实证研究—以农产品大豆为例[J].财贸经济,2006(8)
[34]张金清,刘庆富.中国金属期货市场与现货市场之间的波动性关系研究[J].金融研究,2006(7)
[35]姚仲诚.中美大豆期货市场互动关系研究[J].商业时代,2006,(6)
[36]田新民,沈小刚.SHFE与LME期铜价格因果关系分析[ J ].首都经济贸易大学学报,2005,(3)
[37]易丹辉.数据分析和Eviews的应用[M ] 1北京:中国统计出版社,2006国统计出版社, 2002
[38]徐剑刚.期货报酬时间序列统计特性[ J ].统计研究, 1997 (3) : 32 - 36
[39]陈刚.期货市场价格波动的长程相关性研究[ J ]系统工程2005 (12) : 81 - 82 [38]
[40]王赛德,潘瑞娇.《中国小麦期货市场效率的协整检验》财贸研究[ J ],2004 (6) :31-35
[41]瞿敏,乔娟.《中国大豆期货市场运行特点及其影响因素》调研世界[ J ],2005(1):20-24
[42]唐衍伟,陈刚,张晨宏.我国期货市场的波动性与有效性———基于三大交易市场的实证分析[J ]1财贸研究,2004 , (5) :16～221
[44]叶陈毅,陈林兴,胡劲松.海和伦敦期铜价格谐整和引导关系的实证研究[J ],石家庄经济学院学报,2005 , (4) :210～2121
[45]闫屹等.近年来国际黄金价格走势分析及预测[J ],商场现代化,2006,12
[47]杨咸月.国内外铜市场互动及其价格波动关系研究[J].财经研究,2006(7)
[48]胡恩同.黄金的双重属性与其价格决定机制[J].黄金科学技术,2005(9)
[49]刘志新,贾宁.沪铜现货市场波动率的互动关系研究及国际比较[J].中国管理科学,2004(10)
[50]张金清,刘庆富.中国金属期货市场与现货市场之间的波动性关系研究[J].金融研究,2006(7)
[2]URICH T J. Models of fluctuation in metal futures p rices[ J]. Journal of futures Markets 2000, 20: 219—241.
[3] FAMA E F, FRENCH K R. Business cycles and the behavior of metal p rices [ J ].Journal of Finance 1988, 43:1075—1093.
[4] DH ILLON U S, LASSER D J, WATANABE T. Volatility, information, and double versuswalrasian auction pricing in US and Japanese futuresmarkets[J]. Journal of Banking & Finance 1997, 21: 1045—1061.
[5]CHOW Y F. Arbitrage, risk premium, and cointegration tests of the efficiency of futures markets[J]. Journal ofBusiness Finance & Accounting 2001, 28: 693—713.
[6]XU X E, FUNG H G. Cross2market linkages between U. S. and Japanese p reciousmetals futures trading, Int. Fin. Mar2 kets, Inst. andMoney 2005, 15: 107—124.
[7]RAMAPRASAD B, SHIGEYUKIH. Information flow between p rice and trading volume in gold futures contracts[J]. International Journal of Business and Economics 2004, (3) : 45—56.
[8]LARRY A, FAB IO S. The p rice of gold and the exchange rate [J]. Journal of International Money and Finance 1996,15: 879—897.
[9]Terence,C.mills,Statiscal analysis of daily gold price data[J].Physica A.2004,Vol,338,PP
[10]章程.黄金价格和美元的相关性分析[N ].金融时报, 2006 ,09,[7]
[11]杨叶.黄金价格和石油价格的联动分析[J].产业经济研究(双月刊) ,2006,(2)
[12]石昀平.上海黄金期货价格与现货价格关系的实证研究[J].经济技术协作信息, 2008(23):34-38
[13]傅瑜.近期黄金价格波动的实证研究[J].产业经济研究,2004(1)
[14]王文杰,部慧,陆凤彬.金融海啸下我国黄金期货市场波动性的实证分析,黄金专刊,2009,1
[15]郑秀田.基于GARCH-M模型的黄金市场风险与收益关系研究[J].黄金市场, 2008(5):22-24
[16]张志刚,黄解宇.我国黄金现货价格与国际金价关系的比较研究[J].价格理论与实践, 2007(12)
[17]张志刚,黄解宇.我国黄金现货价格与国际金价关系的比较研究[J].财经世界, 2005(4):17-204
[18]杨柳勇,史震涛.黄金价格的长期决定因素分析[J].统计研究,2004(6)
[19]瞿敏,华任海.国内外黄金市场的关联研究[J ] .产业经济研究(双月刊) ,2006,
[20]黄益龙,汪杨岚.世界主要黄金品种与我国黄金期货的发展[J].黄金市场,2005(4):4-7 [33]肖雄伟.论我国黄金期货投资风险的影响因素及投资策略[J].经济师,2008(3):41-42
[21]戴家权,周向彤.美元汇率、通货膨胀与石油价格[ J ].国际石油经济, 2005, 13 (2) : 35～37.
[22]上海期货交易所.黄金期货基础[[M]],2008
[23]李国华《期货市场简明教程》北京:经济管理出版社,2003.
[24]文贤.国际期货市场[M] .北京:中国对外经济贸易出版社,19971 (4) :52– 541
[25]王文杰等.金融海啸下我国黄金期货市场波动性的实证分析[ J ].管理评论, 2009, (2)
[26]吴峥峥.2009年黄金年报[R ],2009,北京中期期货公司
[27]周华林.黄金价格影响因素的实证分析[ J ].重庆交通大学学报(社科版), 2005, 21 (5) : 9～12.
[28]顾涛,周向彤.黄金价格影响因素的实证分析[ J ].中国集体经济, 2008, 6 35～37.
[29]张次兰,郁红艳.石油价格与黄金价格的实证研究[J].西南金融,2009(3)
[30]温博慧.国内外黄金价格波动性及其演化的实证研究——以中国上海和英国伦敦黄金市场为例。世界经济情况[ J ].上海金融,2008(10) : 4～8.
[31]张世英许启发周红清华大学出版社《金融时间序列分析》叶陈毅,陈林兴,胡劲
[32]刘振班.计量经济学教程[M] .北京:中国人民大学出版社,1993
[33]刘凤军,刘勇.期货价格与现货价格波动关系的实证研究—以农产品大豆为例[J].财贸经济,2006(8)
[34]张金清,刘庆富.中国金属期货市场与现货市场之间的波动性关系研究[J].金融研究,2006(7)
[35]姚仲诚.中美大豆期货市场互动关系研究[J].商业时代,2006,(6)
[36]田新民,沈小刚.SHFE与LME期铜价格因果关系分析[ J ].首都经济贸易大学学报,2005,(3)
[37]易丹辉.数据分析和Eviews的应用[M ] 1北京:中国统计出版社,2006国统计出版社, 2002
[38]徐剑刚.期货报酬时间序列统计特性[ J ].统计研究, 1997 (3) : 32 - 36
[39]陈刚.期货市场价格波动的长程相关性研究[ J ]系统工程2005 (12) : 81 - 82 [38]
[40]王赛德,潘瑞娇.《中国小麦期货市场效率的协整检验》财贸研究[ J ],2004 (6) :31-35
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