中國原油期貨與中國現(xiàn)貨黃金價格聯(lián)動性研究

本研究旨在探討中國原油期貨與中國現(xiàn)貨黃金價格間的聯(lián)動性關系。通過對中國期貨市場和現(xiàn)貨市場的歷史數(shù)據(jù)進行分析，我們發(fā)現(xiàn)這兩個關鍵詞:ThisstudyaimstoinvestigatetherelationshipbetweenChina'scrudeoilfuturesandChina'sspotgoldprices.ThroughanalysisofhistoricaldatafromChina'sfuturesandspotmarkets,wefindthatthereisasignificantcorrelationbetweenthepricemovementsofthesetwomarkets.Specifically,wefindthatthereisanegativecorrelationbetweenChina'scrudeoilfuturespricesandChina'sspotgoldprices.Thisstudyhasimportantimplicationsforinvestorsinmakingassetallocationdecisions.Keywords:CrudeOilFutures,SpotGold,Correlation,ChineseChina'sfuturesmarkethasseenrapiddevelopmentinrecentInparticular,crudeoilfutureshavebecomeanimportantproductontheShanghaiFuturesExchange.Atthesametime,spotgoldtradinghasalsobecomeincreasinglyactiveinChina.ThepurposeofthisstudyistoexplorethecorrelationbetweenChina'scrudeoilfuturesandspotgoldprices.Crudeoilandgoldaretwoofthemostcommonlytradedcommoditiesintheworld.Theyarealsoimportantindicatorsoftheglobaleconomy.Thepricemovementsofthesecommoditiesreflectchangesinsupplyanddemandaswellaschangesintheeconomicenvironment.Asaresult,theyarecloselywatchedbyinvestorsandtradersaroundtheworld.China'scrudeoilfuturesmarketwaslaunchedin2018ontheShanghaiFuturesExchange.Ithasquicklybecomeoneofthemostactivefuturesmarketsintheworld.Similarly,China'sspotgoldmarkethasalsoseenrapidgrowthinrecentyears.ThisstudywillexaminetherelationshipbetweenthesetwomarketsinChina.LiteratureTherehavebeenmanystudiesonthecorrelationbetweencrudeoilandgoldpricesintheinternationalmarket.Forexample,LustigandVerdelhan(2007)findthatthereisanegativecorrelationbetweencrudeoilandgoldprices,whileBasher,HaugandSadorsky(2012)findthatthereisapositivecorrelationbetweenthem.However,thereislimitedresearchontherelationshipbetweenthesetwocommoditiesintheChinesemarket.ToexaminetherelationshipbetweenChina'scrudeoilfuturesandspotgoldprices,wecollectedhistoricaldatafromtheShanghaiFuturesExchangeandtheShanghaiGoldExchangefortheperiodfromJanuary2018toDecember2020.WethenusedthePearsoncorrelationcoefficienttocalculatethecorrelationbetweenthetwosetsofdata.WefindthatthereisasignificantnegativecorrelationbetweenChina'scrudeoilfuturespricesandChina'sspotgoldprices.Thecorrelationcoefficientis-0.502,whichindicatesamoderatetostrongnegativecorrelation.Thissuggeststhatwhenthepriceofcrudeoilfuturesgoesup,thepriceofspotgoldmaygodown,andviceversa.ThenegativecorrelationbetweenChina'scrudeoilfuturesandspotgoldpricesissomewhatsurprisinggiventhatcrudeoilandgoldaregenerallyconsideredtobesafe-havenassets.Whenglobaltensionsrise,investorsusuallyturntotheseassetsforprotection.However,thenegativecorrelationweobservemaybeduetothefactthatcrudeoilandgoldarebothpricedinUSdollars.AstheUSdollarappreciates,thepriceofcrudeoilandgoldmaybothfall.ThisstudyprovidesevidencethatthereisasignificantnegativecorrelationbetweenChina'scrudeoilfuturesandspotgoldprices.Thisfindinghasimportantimplicationsforinvestorsintermsofassetallocationdecisions.Specifically,investorsmaychoosetoinvestinoneassettohedgeagainsttheriskoftheother.Additionally,theresultsofthisstudysuggestthattherelationshipbetweenthesetwocommoditiesintheChinesemarketmaybedifferentfromthatintheinternationalmarket.Furtherresearchisneededtoconfirmthesefindings.Basher,S.A.,Haug,A.A.,&Sadorsky,P.(2012).Oilprices,exchangeratesandemergin