我国黄金期货价格形成机制实证研究

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1、湖南大学硕士学位论文我国黄金期货价格形成机制实证研究姓名：王盾申请学位级别：硕士专业：金融学指导教师：杨胜刚20090320我图黄金期货价格形成机制实iJ下研究AbstractChinaisoneofthemostimportantcountriesofproducingandconsuminggold．Inrecentyears，thepriceofgoldiscontinuedhighandfluctuatedremarkablythatincreasesthemarketrisk．Thecor

2、porationofproducingandusinggold，thefinancialinstitutionandmostinvestorsneedfindoutpriceandavoidriskbygoldfuturestradingurgently．September11，2007，theChinaSecuritiesRegulatoryCommissionapprovedthegoldfuturescontractstobelistedatShanghaiFuturesExchange．Ja

3、nuary9，2008，ChinesegoldfuturesarelistedtotradeofficiallyatShanghaiFuturesExchange．Goldfuturescouldfurtherimprovethefunctionofthepriceofgoldmarket，furtherimprovethegoldmarketsystemandpriceformationmechanism，exertthespecificinvestmentfunctionofgoldmarket

4、，promotegoldmarketandfinancialmarkettointegrateinChinaandincreasethespeakingrightofChinaintheworldgoldmarketwhichisbeneficialtothegoldproduction，management，processingenterprisestohedgingtransactandavoidmarketrisk，toenhanceriskmanagementlevel，toenhancem

5、arketcompetitivenessandinternationalcompetitivenessandperfecttheproductmixofChinesefuturesmarkettoenhanceourinternationalcompetitiveness．Therefore，toknowthebasicfunctionofourcountry’Sgoldfuturesmarket，thepricemechanism，thedegreeofrelationshipbetweengol

6、dfeaturespricesofChinesewithinternationalgoldmarkethasacertaintheoreticalvalueandpracticalsignificance．Thelinearregression，ADLmodel，SVARmodel，impulseresponsefunction，variancedecompositiontechnique，theTtestofyieldandvolatility,Grangercausalitytestandoth

7、ermethodsareappliedtoempiricallystudythegoldfuturespriceformationmechanismsandpricevolatilitymechanismofourcountry．TheresultoftheempiricaltestconfirmedthatChinesegoldfuturespriceformationismainlyaffectedbytheimpactofLondon，Tokyo，NewYbrk，spotgoldmarket，

8、futuresprices，thedollarindexandtheDowJonesindustrialaverage；thepricefluctuationofgoldfuturesofourcountryismainlyaffectedbythepricefluctuationofspotgoldinLondonandNewYorkgoldfutures．Chinesegoldfuturesmarketisalreadypossessacertaindegreeo