| Gold has been a sacred place in the human mind since ancient times,It is a symbol of wealth and can be acted as currency,goods and financial investment goods at the same time.With the development of science and technology,Credit currency gradually replaced the precious metals such as gold as the function of circulation,But in the era of credit currency,Because the gold has character of easy preservation,Protection against inflation,Depreciation hard and price hardly control by investors,People still believe that gold is hard currency.Nowadays,gold market is a good choice for investors to keep they wealth.Recent years,With the development of china,The consumption of gold beyond India in 2013 and the production is also the first in the word,However,China has no matching gold market to the development.Due to the fluctuating freely of China gold prices and the establishment of the gold futures market is later than other developed country and and China is a lack of the participation of individual institutions and speculators in gold market,the flexibility of our country gold price is poor to the international market,the change of the gold price is lag to developed countries Our country almost has no pricing power in the world gold market.The present situation of China's gold market and its "golden" nation status do not match,It is harmful to investors and the companies buying or selling gold.For investors and companies,The gold price decide how much they get.The gold market is different from the real estate market and the stock market which have no restriction of district.In the word gold market,The The United States with the long history and developed gold market,The index of GCOY is as the leader which can decide the price of the gold in the word.Because the Treasury Department of United States and the international monetary fund(IMF)also transact in New York gold market,New York gold futures market's trading volume is largest in the word.The futures market reaction is more sensitive to information,Whether the function of price discovery of our country and the United States gold futures market work well and it is possible to arbitrage through the gold futures market in China and the United staes is a problem worth studying.In this paper,Through selecting main Chinese gold futures index AU11806,China gold spot index AU9999 and The United States gold futures index GCOY after taking logarithm to study.Firstly,We orderly use the quantitative methods of ADF unit root test,E-G two-step cointegration test,Granger causality test,Vector autoregressive(VAR)model,vector error correction(VEC)model,impulse effect function and variance decomposition to research.Based on the cointegration relationship we give the advice of pairs trading.The empirical results show that there exists a long-term equilibrium relationship each other among LAU1806,LAU9999 and LGCOY,So-called the relationship of cointegration;The granger causality test shows that China's gold futures market can not work well to the function of price discovery,There is no granger causality relationship between AU1806 and AU9999.Due to be influenced by The United States gold market at the same time,China's gold futures market and spot market have a relationship of long-term cointegration;Because the The United States gold market has advantage of information,It is more sensitive to information,when short-term deviating from the long-term equilibrium,the The United States gold futures market will adjust faster to a state of equilibrium and it has a one-way leading role to the china gold spot market,The fluctuation of price in China's gold spot market have little impact on the The United States gold futures market;Investors can take advantage of the short-term deviation of the equilibrium through the trading threshold set up by themselves to carry out arbitrage。... |
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