境内外黄金期货价差形成、影响及对策  

Research on Gold Futures Price Spreads between China and Global Markets

作　　者：王雯 李滨 陈羿伶 WANG Wen;LI Bin;CHEN Yiling(Zhongtai Securities Co.Ltd;Finarice Research Institute,University of Jinan;Hongta Securities Co.Ltd)

机构地区：[1]中泰证券股份有限公司研究所 [2]中泰证券股份有限公司风险管理部 [3]济南大学金融研究院 [4]红塔证券股份有限公司风险管理部

出　　处：《金融市场研究》2023年第4期69-76,共8页Financial Market Research

基　　金：国家社会科学基金青年项目:关联图谱视角下资本市场系统性风险传导及预警研究(项目编号:19CJL041)。

摘　　要：境内外黄金期货价格长期高度相关且价差稳定。但在新冠疫情蔓延、乌克兰危机等极端风险事件冲击下,境内外黄金期货价差频频呈现脉冲式波动与“倒挂”现象。本文对境内外黄金期货价差的形成机制与波动特征进行理论分析;综合随机森林与Stepwise Logistic回归模型,实证研究境内外黄金期货价差的影响机理,发现部分情绪类指标、宏观类指标、基本面指标与价差呈显著负相关,流动性指标与价差呈显著正相关。最后,依据上述分析提出改善境内黄金供需状况、提高机构投资者市场参与积极性、鼓励期货转现货交易等建议措施,以促进我国黄金市场理性成长。China's domestic and global gold futures prices have been stable and highly correlated over a lengthy period.However,under the impact of extreme risk events such as the Covid-19 pandemic and the Russia-Ukraine conflict,spreads have occasionally spiked and even shown backwardation.Based on a Random Forest-Stepwise Logistic regression model,this paper analyzes the volatility characteristics of gold futures spreads and conducts an empirical study on the key factors influencing them.The results show that some sentiment indicators as well as macroeconomic and supply and demand indicators are significantly negatively correlated with spreads while liquidity indicators are positively correlated.Finally,based on the above analysis,this study proposes measures to promote the rational growth of China's gold market,such as improving the domestic gold supply and demand,increasing the participation of institutional investors and encouraging exchange of futures for physical(EFP)agreements.

关 键 词：期货转现货交易 境内外黄金期货价差 黄金市场 

分 类 号：F832.5[经济管理—金融学] F832.54