CAJ | 학술논문

本文选取我国黄金期货、现货市场5分钟高频交易数据．利用协整理论、误差修正模型、永久瞬时模型以及分位数回归等方法系统分析了我国黄金期货市场的定价效率、引导一滞后关系以及价格发现功能。实证结果显示：（1）黄金现货、期货的协整系数为（1，-0．963），表现出较高的定价效率；（2）我国黄金现货与期货存在双向引导关系，但期货对现货的引导力度要大得多；（3）新信息融入黄金期货市场价格比率高达90．06％，期货市场在信息传递中位于主导地位，是价格发现过程中的主要驱动力量：（4）不同涨跌幅下的黄金期货与现货之间的相互影响存在差异，具有非对称性特征，表现出市场波动的杠杆效应。
본문선취아국황금기화、현화시장5분종고빈교역수거．이용협정이론、오차수정모형、영구순시모형이급분위수회귀등방법계통분석료아국황금기화시장적정개효솔、인도일체후관계이급개격발현공능。실증결과현시：（1）황금현화、기화적협정계수위（1，-0．963），표현출교고적정개효솔；（2）아국황금현화여기화존재쌍향인도관계，단기화대현화적인도력도요대득다；（3）신신식융입황금기화시장개격비솔고체90．06％，기화시장재신식전체중위우주도지위，시개격발현과정중적주요구동역량：（4）불동창질폭하적황금기화여현화지간적상호영향존재차이，구유비대칭성특정，표현출시장파동적강간효응。
This paper chooses five-minute high-frequency data in China＇s gold spot and future market, using cointegration theory, error correction, permanent instantaneous model as well as quantified regression method, to systematically analyze the efficiency of China＇s gold future market, pricing efficiency, lead-lag relations and pricing discovery. The empirical results show that：（1） The gold spot and future cointegration coefficient is （1,-0.963）, which illustrates higher pricing efficiency; （2）The gold spot and future price has mutual lead-lag relations, though the future price has greater effect on the spot price; （3）The rate for new information to be integrated into the market is up to 90.06%, with the future market playing a dominant role in the transmission of information, and serving as the major driving force in the process of price discovery; （4）The interaction between gold future and spot price has asymmetric features which create a leverage effect on market volatility.