Empirical Research on the Relationship between Futures Price and Spot Price in China's Gold Market
Selecting the data of gold futures price and spot price in recent 10 years,Unit root test and co-integration test were carried out on the two sets of time series data to analyze the relationship between futures and spot prices,and error correction model was established to analyze the impact of futures prices on spot prices,and Granger causality test was used to analyze the effect between the two.The results show that there is indeed a cointegration relationship between gold futures and spot prices in recent ten years,and the two influence each other,but the effect is not significant.The guiding effect of futures price on spot price is not strong,which indicates that the price discovery function of China's futures market is not fully played.
NETL
NSTL
万方数据
