我国黄金期货流动性与基差的动态关系研究  

Dynamic Linkage of Gold Future Liquidity and Future-Cash Basis in China Market

作　　者：王录琦 潘慧峰[2] 刘曦彤[3] 

机构地区：[1]中国人寿资产管理有限公司固定收益部 [2]对外经济贸易大学金融学院应用金融研究中心 [3]对外经济贸易大学金融学院

出　　处：《科学决策》2013年第1期19-44,共26页Scientific Decision Making

基　　金：国家自然科学基金(项目编号:70871023);对外经贸大学教师学术创新团队资助项目(CXTD2-04)

摘　　要：选取了我国黄金市场的三个主力合约,采用均值回复模型和Granger因果检验研究了我国黄金期货市场流动性与基差之间的动态关系,探讨资产的流动性对套利交易的影响,即高流动性是否有助于资产价格迅速回复至无套利水平。实证结果表明:(1)三个合约均值回复模型的回复速度均与其流动性成正相关关系;(2)在Granger因果检验表明,0812合约的基差和流动性之间存在着双向的Granger因果关系,0906与0912合约的流动性是基差的Granger原因,而基差不是流动性的Granger原因。本文的理论意义在于流动性与基差所表现出来动态关系在一定意义上验证了市场的有效性,即一价定律在我国黄金期货市场和现货市场基本成立,现实意义在于市场上的交易者可以通过流动性来预测基差,提高套期保值效率。In this paper three major contracts in the China＇ s gold f-narket are selected and mean - reversion model and Granger causality test are used to study the dynamic relationship between the liquidity of China＇ s gold future market and the spot- future basis of the futures and investigate the impact of the assets＇ liquidity on the arbitrage transaction, which refers to whether high liquidity of assets can contribute to the quick retum of price to the no - arbitrage level. The empirical results show： （ 1 ） the speed of assets＇ price return displayed in all of the three contracts＇ mean - reversion models is positively related to their liquidity; （ 2 ） as the result of the Granger causalty test, there exists two - way Granger causality relationship between the basis and the liquidity of the Contract8012, and under Contract0906 and0912 Granger cause of the basis is their liquidity while the basis is not the Granger cause of their liquidity. The theoretical significance of this paper lies on the fact that the relationship between the liquidity and basis verifies the effectiveness of the market in a certain sense. That is to say, Law of One Price in China＇s gold future market basically holds. And in the practical sense it shows that traders in the market can predict the basis by observing the liquidity and improve the efficiency of hedging thereby.

关 键 词：黄金市场 流动性 基差 均值回复 GRANGER因果检验 

分 类 号：F061.5[经济管理—政治经济学]