黄金国内国际板对原油避险能力的研究  

Research for theHedging Capability of the Gold Domestic Board and the Gold International Board on Crude Oil

作　　者：季俊伟 陈亦霏 陆静[2] 罗涵 JI Junwei;CHEN Yifei;LU Jing;LUO Han(Business School,Chengdu University of Technology,Chengdu 610059,Sichuan,China;School of Economics and Business Administration,Chongqing University,Chongqing 400044,China)

机构地区：[1]成都理工大学商学院,四川成都610059 [2]重庆大学经济与工商管理学院,重庆400044

出　　处：《黄金科学技术》2024年第4期731-744,共14页Gold Science and Technology

基　　金：国家自然科学基金面上项目“基于市场关注的股票特质波动风险研究”(编号:71973018)资助。

摘　　要：我国黄金市场对原油市场的避险能力表现尚不清晰。基于原油市场收益率极端风险和价格下跌风险2种视角,采用分位数GARCH模型,实证对比考察了黄金国内板和国际板对上海原油和WTI原油避险能力的差异,并基于波动溢出和价格发现功能视角对结果进行了合理解释。结果表明:黄金国际板对上海原油的避险能力最弱。从国际视野来看,由于上海原油不仅易受到WTI原油风险的影响,而且与黄金国际板的联动性弱于WTI原油与黄金国际板的联动性,使得黄金国际板对上海原油的避险能力整体弱于其对WTI原油的避险能力;从国内视野来看,由于黄金国际板的价格发现功能严重滞后于黄金国内板,使得黄金国际板对上海原油的避险能力整体弱于黄金国内板对上海原油的避险能力。The Shanghai gold domestic board,gold international board,and Shanghai crude oil futures market play significant roles in emerging financial markets.However,the hedging capability of the gold domestic board and international board in relation to domestic and foreign crude oil markets are not clearly defined.It is crucial for regulators to assess the differences in hedging capability between the two gold markets in domestic and foreign crude oil markets,and to explore the underlying reasons.It is also crucial for regulators to have a comprehensive understanding of the evolution of gold markets in order to effectively implement risk management strategies.This study focuses on the gold domestic board,gold international board,Shanghai crude oil futures,and WTI crude oil futures as the research objects,analyzing the variations in risk hedging from the gold international board to Shanghai crude oil and WTI crude oil from an international perspective,as well as from the gold domestic board and international board to Shanghai crude oil from a domestic perspective.The study utilized the DCC-MGARCH model to analyze the dynamic correlation of yield among the gold domestic board,gold international board,Shanghai crude oil,and WTI crude oil.Additionally,the hedging capabilities of gold on crude oil was evaluated from the perspectives of extreme risk and falling prices.Lastly,an examination of volatility spillover and price discovery function provided insights into the varying hedging abilities of Shanghai and WTI crude oil on the gold domestic and international boards.The findings indicate that the correlation coefficients between gold domestic and international boards,Shanghai crude oil,and WTI crude oil exhibit dynamic characteristics.Additionally,the hedging capability of gold international board on Shanghai crude oil is weaker than that of WTI crude oil.This is attributed to Shanghai crude oil’s susceptibility to risks associated with WTI crude oil,as well as its lack of significant correlation with gold international b

关 键 词：黄金国内板 黄金国际板 上海原油期货 WTI原油期货 避险能力 分位数GARCH模型 

分 类 号：F830[经济管理—金融学]