我國黃金期貨與國際黃金現貨價格趨勢之相關性

Relationship between International Gold Spot Prices and Taiwanese Gold Futures Premium

李方智(Fan-Gjhy Li) ； 黃宜侯(Alex YiHou Huang) ； 謝明峰(Ming-Feng Hsieh)

《經營管理論叢》 7卷2期 (2011/12) Pp. 51-71

https://doi.org/10.6872/OMR.201112_7(2).0015

摘要

本研究以黃金商品價格為研究標的，探討國際黃金現貨市場與台灣黃金期貨市場間的互動關係。本研究採用時間序列之單根檢定、共整合檢定、向量誤差修正模型與Granger因果關係檢定等研究方法進行實證分析。結果顯示國際黃金現貨及台灣黃金期貨價格皆為非定態，然現貨和期貨價格間皆具共整合的特性，即長期而言，黃金商品的平價關係處於均衡狀態。至於價格間短期之動態關係，本文發現台灣台幣計價黃金期貨之價格，與倫敦和紐約的黃金現貨價格趨勢一致，並領先香港黃金現貨的價格走勢，而台灣美元計價黃金期貨的價格趨勢，則明顯落後國際黃金現貨價格。本研究希望能提供個人與機構投資者，依其交易目的的不同，藉由國外現貨市場價格的觀察，掌握黃金期貨價格之趨勢，進一步較有效能的交易國內黃金期貨。

關鍵字

黃金現貨價格 ； 黃金期貨價格 ； 向量誤差修正模型

並列摘要

This paper investigates the relationship between international gold spot prices and Taiwanese gold futures premium. Time series methods including unit root, cointegration, VECM, and Granger causality test are applied. This paper finds that series of international gold spot prices and Taiwanese gold futures premium are nonstationary. The two variables are cointegrated and thus have statistically significant long run relationship. In the short run interdependence, the Taiwanese gold futures premium which is traded by Taiwanese dollar interacts synchronically with spot prices of London and New York gold markets but leads the one in Hong Kong market. On the contrary, the Taiwanese gold futures premium which is traded by US dollar is generally led by international gold spot prices. This study seeks to provide valuable empirical findings of to investors, who can then extend their knowledge and have better use of the gold derivative product.

並列關鍵字

Gold spot price ； Gold futures price ； Vector Error Correction Model