發(fā)布時間：2018-03-19 12:20

  本文選題：黃金期貨　切入點：市場有效性　出處：《浙江工商大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：2008年美國次貸危機爆發(fā)后,在全球?qū)е铝艘幌盗械倪B鎖反應(yīng),逐漸演變成全球性的金融危機。全球經(jīng)濟(jì)復(fù)蘇至今已有3年,但復(fù)蘇步伐依然沉重。不管是發(fā)達(dá)經(jīng)濟(jì)體,還是新興市場與發(fā)展中經(jīng)濟(jì)體都面臨不同程度的發(fā)展困境,經(jīng)濟(jì)增長一直在低位徘徊,并且今年世界經(jīng)濟(jì)低速增長的態(tài)勢仍將持續(xù)。在這樣的經(jīng)濟(jì)格局下,黃金及相關(guān)金融產(chǎn)品作為避險工具備受關(guān)注。黃金期貨作為我國金融期貨的先行者,不僅和我國金價的變化有密切的關(guān)系,還對其他金融期貨起到探路者的作用。 時值我國黃金期貨上市交易五年,其市場有效性更是我們需要關(guān)注的內(nèi)容。一方面,檢驗市場有效性是對以往市場發(fā)展?fàn)顩r的階段性檢測,審視發(fā)展?fàn)顩r是否達(dá)到了預(yù)期的目標(biāo)或是否發(fā)揮了應(yīng)有的作用；另一方面,市場有效性的檢測結(jié)果為黃金期貨以后的發(fā)展提供了理論依據(jù)和實踐基礎(chǔ)。對于黃金期貨的投資者,可提供市場有效性程度,使之在投資時進(jìn)行相應(yīng)風(fēng)控策略的選擇以獲取更好的收益；對于實行政策的相關(guān)部門,可以提供影響其有效性的原因,使之對市場的改進(jìn)做到有的放矢；對于其他金融期貨,尤其是我國剛推出的白銀期貨,可以提供我國市場和期貨合約的適應(yīng)程度,使其他金融期貨在發(fā)展上少走彎路。 本文對我國黃金期貨市場有效性的研究分為四個部分：第一部分,在梳理國內(nèi)外相關(guān)研究的基礎(chǔ)上提出擬解決的問題,即檢驗我國黃金期貨市場的有效性；第二部分,簡要介紹了黃金期貨的產(chǎn)生、價格變化的影響因素及國內(nèi)外主要黃金期貨市場的發(fā)展情況；第三部分,基于市場有效性的理論對我國黃金期貨市場進(jìn)行實證研究；第四部分,根據(jù)實證研究的結(jié)果,分析原因并提出改進(jìn)的建議。 根據(jù)黃金期貨的特殊性及市場有效性的相關(guān)解釋,本文對我國黃金期貨市場有效性的研究較為全面,分別從定價效率和信息傳遞效率這兩方面展開。 定價效率考察的是黃金期貨作為期貨與現(xiàn)貨之間的相互引導(dǎo)關(guān)系。期現(xiàn)貨的價格序列經(jīng)過ADF單位根檢驗顯示為一階單整,首先通過Johansen協(xié)整檢驗證明黃金期現(xiàn)貨之間存在長期均衡關(guān)系,其次又通過誤差修正模型描述長期關(guān)系,并得出短期回調(diào)速度力度適中的結(jié)論。但最后根據(jù)Granger因果檢驗發(fā)現(xiàn),黃金現(xiàn)貨對期貨存在價格引導(dǎo)關(guān)系,期貨對現(xiàn)貨卻不存在價格引導(dǎo)關(guān)系。這說明了我國黃金期貨在定價方面還沒有完全發(fā)揮有效性。 信息傳遞效率考察的是黃金期貨作為一般金融商品其價格能否做出充分及時的反應(yīng)。通過計算2008年—2012年我國黃金期貨價格的歷史波動率、實際波動率和每日價格振幅,發(fā)現(xiàn)價格波動的總體趨勢是逐年平穩(wěn)的。為進(jìn)一步檢驗市場能否及時消化信息,對黃金期貨價格波動方向的變化,采用了游程檢驗,對價格波動幅度的變化,采用了R/S檢驗。最后得出我國黃金期貨價格的波動是隨機的,能夠及時消化市場信息,因而是有效的。 不同于以往的實證結(jié)果,本文發(fā)現(xiàn)我國黃金期貨市場在信息傳遞方面是有效的,但在定價方面還存在不足。針對期貨價格引導(dǎo)能力不足的問題,分別從期貨合約、交易規(guī)則、投資者構(gòu)成等方面提出了相應(yīng)的建議。
[Abstract]:The United States in 2008 after the outbreak of the subprime crisis in the world, resulting in a series of chain reaction, gradually evolved into a global financial crisis. The global economic recovery has been 3 years, but the pace of recovery is still heavy. No matter in developed economies, emerging market or economy and development are facing the development dilemma in different degree, economic growth has been in the low, and this year the world economy slow growth trend will continue. In this situation, gold and related financial products as a hedge of concern. Gold futures as a pioneer of China's financial futures, not only have close relations with the changes of China's gold, but also to the pathfinder for other financial futures the role of.
As China's gold futures traded five years, the effectiveness of the market is more we need to pay attention to the content. On the one hand, the effectiveness of testing market is periodic inspection of the previous development of the market, to examine the development status is to achieve the desired goal or whether to play its due role; on the other hand, the effective detection market nature provides theoretical basis and practical foundation for the development of gold futures in the future. For gold futures investors, can provide the degree of effectiveness of the market, the corresponding risk control strategy to get a good return on the investment; for the relevant departments to implement the policy, it can provide the reasons of effectiveness that makes the market to improve the targeted; for other financial futures, especially our country has just launched the silver futures, can provide the adaptation degree of China's market and futures contracts, Make other financial futures less detours in development.
This paper studies on the effectiveness of China's gold futures market is divided into four parts: the first part, based on related research at home and abroad on the proposed to solve the problem, which is to check the effectiveness of the gold futures market in China; the second part briefly introduces the generation of gold futures, the development situation at home and abroad and the main factors gold futures market impact of price changes; the third part, the theory of market efficiency is an empirical study on China's gold futures market based on; the fourth part, according to the results of empirical research, analysis of the reasons and puts forward the improvement suggestions.
Based on the explanation of the particularity of gold futures and the explanation of market efficiency, this paper studies the effectiveness of gold futures market in China, which is divided into two aspects: pricing efficiency and information transmission efficiency.
The pricing efficiency of gold futures as the leading relationship between futures and spot. The spot price sequence through the ADF unit root test shows that for a single whole, first through the Johansen cointegration test to prove that there exists a long-term equilibrium relationship between futures and spot gold, then through the error correction model to describe the long-term relationship and the short-term. Conclusion the callback rate of moderate intensity. But according to the Granger causality test found that gold spot on the futures price leading relationship between futures on the spot, but not in the relationship between the price guide. This shows that China's gold futures pricing is not yet fully effective.
The information transmission efficiency of gold futures is the price can make timely response. Through the historical volatility calculation of 2008 - 2012 in China gold futures price rate, the actual price volatility and the daily amplitude, find that the general trend of price fluctuations is steadily year by year. In order to test whether the market can digest the information timely. The change of the direction of gold futures price volatility, the runs test, change of price fluctuations, the R/S test. Finally come to the conclusion that China's gold futures price volatility is random, can digest the market information in time, so it is effective.
Different from previous empirical results, this paper found that China's gold futures market is effective in information transfer, but in terms of pricing is still insufficient. The futures prices lead to capacity shortage, separately from the futures contracts, trading rules, investors etc. put forward the corresponding suggestions.

【學(xué)位授予單位】：浙江工商大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.54;F224

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