连续交易制度与价格发现功能——基于我国黄金期货市场的实证研究  

Continuous Trading System and Price Discovery Ability——Based on China's Gold Futures Market

作　　者：傅强[1] 季俊伟 钟浩月 

机构地区：[1]重庆大学经济与工商管理学院,重庆400030

出　　处：《数理统计与管理》2017年第6期1119-1130,共12页Journal of Applied Statistics and Management

基　　金：国家社科基金青年项目(15CJY054);教育部人文社会科学研究规划基金项目(13YJA630018)

摘　　要：连续交易制度是提升我国黄金期货市场国际竞争力的重要举措。采用2011年1月至2014年9月中美黄金期货市场日收盘价数据,利用VEC模型、信息份额模型、VEC-BEKK-MGARCH模型、DCC-MGARCH模型,研究了该制度对上海黄金期货市场价格发现功能的影响。结果表明:制度推出后,上海黄金期货市场的价格发现功能得到提升,不过仍弱于美国市场,美国市场对上海市场的收益率传递效应减弱,两市场之间的波动溢出效应有所增强,时变动态相关系数振动幅度明显降低。In order to improve the international competitiveness of China＇s gold futures market, SHFE launched continuous trading system on July 5th, 2013. Based on the daily return price of China＇s and America gold futures markets between January of 2011 and September of 2014, this paper studies the influence of the continuous trading system on China＇s gold futures market using Granger causality test, information share model, DCC-MGARCH model, as well as VEC-BEKK-MGARCH model. The empirical results show that, after the launch of continuous trading system on China＇s gold futures market, China＇s price discovery ability enhances, but gold spot market＇s decreases but still dominants, and timevarying dynamic correlation coefficient＇s fluctuation range decreases, and the yield effect from America market to China＇s market weakens, as well as volatility spillover effect between them strengthens.

关 键 词：价格发现 格兰杰因果关系检 信息份额 VEC-BEKK-MGARCH模型 DCC-MGARCH模型 

分 类 号：F830[经济管理—金融学] O212[理学—概率论与数理统计]