我国白银期货和现货价格相关性研究  

Research on the Correlation between China's Silver Futures and Spot Prices

作　　者：吴玉菡[1] 

机构地区：[1]河南牧业经济学院

出　　处：《价格理论与实践》2020年第1期107-110,共4页Price:Theory & Practice

基　　金：河南省审计厅课题,审计与区域金融稳定的协调机制研究,编号:2015B15。

摘　　要：白银期货的推出,可降低白银现货市场的波动风险,白银现货市场又反作用于白银期货市场,二者在理论存在相关性。本文以2012年5月10日至2019年12月31日白银现货与期货价格数据为分析对象,运用协整检验、ECM模型、Granger因果关系检验等方法对白银期现货价格之间的相关性进行实证分析。结果显示:两种市场价格存在长期均衡关系及较强的短期动态修正功能;白银期现货价格互为格兰杰原因;在相互引导及冲击效果方面,白银期货价格均强于现货价格。最后,在结论基础上本文提出相关建议。The introduction of silver futures can reduce the volatility risk of the silver spot market.The silver spot market reacts to the silver futures market.The two have a theoretical correlation.This article uses silver spot and futures price data from May 10,2012 to December 31,2019 as the analysis object,and uses the methods of cointegration test,ECM model,Granger causality test and other methods to analyze the correlation between silver spot prices Empirical analysis.The results show that the two market prices have a long-term equilibrium relationship and a strong short-term dynamic correction function;silver spot prices are Granger reasons for each other;in terms of mutual guidance and impact effects,silver futures prices are stronger than spot prices.Finally,on the basis of conclusions,this article makes relevant suggestions.

关 键 词：白银期货 白银现货 价格相关性 

分 类 号：F832.54[经济管理—金融学] F832.5