Journal of Changshu Institute of TechnologyIssue(7)：58-61,4.
上海黄金期货价格与现货价格关系的实证分析
An Empirical Analysis on the Relationship between Shanghai Gold Future Price and Spot Price
周梅1
作者信息
- 1. 常熟理工学院 管理学院,江苏 常熟 215500
- 折叠
摘要
Abstract
Selecting the trading data of Shanghai gold futures and spots from 5th January 2009 to 31st December 2011, this paper investigates the long-term and dynamic relationship between gold futures and spots by utilizing se⁃rial quantitative methods such as ADF unit root test, Cointegration test, Error Correction Model (ECM) as well as Granger test. Results indicate that gold futures price cointegrates with spots price in the long term. From the short-term dynamic perspective, the price changes in futures affect those of spots with a certain proportion, and a unidirectional causality running from futures price to spot price exists in the gold market.关键词
黄金期货/ADF单位根检验/协整检验/误差修正模型/格兰杰因果检验Key words
gold future/ADF test/cointegration test/ECM/granger test分类
管理科学引用本文复制引用
周梅..上海黄金期货价格与现货价格关系的实证分析[J].Journal of Changshu Institute of Technology,2012,(7):58-61,4.
