科学决策
科學決策
과학결책
Scientific Decision-Making
2013年
1期
19~44
,共null页
黄金市场 流动性 基差 均值回复 Granger因果检验
黃金市場 流動性 基差 均值迴複 Granger因果檢驗
황금시장 류동성 기차 균치회복 Granger인과검험
gold market; liquidity; basis; mean - reversion; Granger causality test
选取了我国黄金市场的三个主力合约，采用均值回复模型和Granger因果检验研究了我国黄金期货市场流动性与基差之间的动态关系，探讨资产的流动性对套利交易的影响，即高流动性是否有助于资产价格迅速回复至无套利水平。实证结果表明：（1）三个合约均值回复模型的回复速度均与其流动性成正相关关系；（2）在Granger因果检验表明，0812合约的基差和流动性之间存在着双向的Granger因果关系，0906与0912合约的流动性是基差的Granger原因，而基差不是流动性的Granger原因。本文的理论意义在于流动性与基差所表现出来动态关系在一定意义上验证了市场的有效性，即一价定律在我国黄金期货市场和现货市场基本成立，现实意义在于市场上的交易者可以通过流动性来预测基差，提高套期保值效率。
選取瞭我國黃金市場的三箇主力閤約，採用均值迴複模型和Granger因果檢驗研究瞭我國黃金期貨市場流動性與基差之間的動態關繫，探討資產的流動性對套利交易的影響，即高流動性是否有助于資產價格迅速迴複至無套利水平。實證結果錶明：（1）三箇閤約均值迴複模型的迴複速度均與其流動性成正相關關繫；（2）在Granger因果檢驗錶明，0812閤約的基差和流動性之間存在著雙嚮的Granger因果關繫，0906與0912閤約的流動性是基差的Granger原因，而基差不是流動性的Granger原因。本文的理論意義在于流動性與基差所錶現齣來動態關繫在一定意義上驗證瞭市場的有效性，即一價定律在我國黃金期貨市場和現貨市場基本成立，現實意義在于市場上的交易者可以通過流動性來預測基差，提高套期保值效率。
선취료아국황금시장적삼개주력합약，채용균치회복모형화Granger인과검험연구료아국황금기화시장류동성여기차지간적동태관계，탐토자산적류동성대투리교역적영향，즉고류동성시부유조우자산개격신속회복지무투이수평。실증결과표명：（1）삼개합약균치회복모형적회복속도균여기류동성성정상관관계；（2）재Granger인과검험표명，0812합약적기차화류동성지간존재착쌍향적Granger인과관계，0906여0912합약적류동성시기차적Granger원인，이기차불시류동성적Granger원인。본문적이론의의재우류동성여기차소표현출래동태관계재일정의의상험증료시장적유효성，즉일개정률재아국황금기화시장화현화시장기본성립，현실의의재우시장상적교역자가이통과류동성래예측기차，제고투기보치효솔。
In this paper three major contracts in the China＇ s gold f-narket are selected and mean - reversion model and Granger causality test are used to study the dynamic relationship between the liquidity of China＇ s gold future market and the spot- future basis of the futures and investigate the impact of the assets＇ liquidity on the arbitrage transaction, which refers to whether high liquidity of assets can contribute to the quick retum of price to the no - arbitrage level. The empirical results show： （ 1 ） the speed of assets＇ price return displayed in all of the three contracts＇ mean - reversion models is positively related to their liquidity; （ 2 ） as the result of the Granger causalty test, there exists two - way Granger causality relationship between the basis and the liquidity of the Contract8012, and under Contract0906 and0912 Granger cause of the basis is their liquidity while the basis is not the Granger cause of their liquidity. The theoretical significance of this paper lies on the fact that the relationship between the liquidity and basis verifies the effectiveness of the market in a certain sense. That is to say, Law of One Price in China＇s gold future market basically holds. And in the practical sense it shows that traders in the market can predict the basis by observing the liquidity and improve the efficiency of hedging thereby.
