earticle

영어

China’s gold market was founded in 1993, in the same year the document No. 63 confirmed the marketization direction of China’s gold market. In January 2008, China gold features listed in Shanghai Features Exchange following approval by the China Securities Regulatory Committee. From then on, China entered a new phase of gold market and gold has become popular type of investment in China. This study analizes the interaction of China’s gold spot market and Futures market. Based on the gold futures price and international gold spot price database, empirical analysis regarding the impact of gold spot price, and to which extent it affects China’s gold futures market is conducted. Empirical methodologies such as unit root test, cointegration test, Granger causality tset, and vector error correction model (VECM) are used to analyze the price function of China’s gold spot and futures market. The daily data of the period from September 2004 to August 2013 are used. The data source of gold spot price and futures price is Shanghai Gold Stock Exchange. The data on international gold spot prices are from Korean Stock Exchange, and the exchange rates between China Yuan and US Dollar are from Bank of China. The data set of the international gold spot price, China’s gold spot price, and China’s gold futures price has been analyzed through unit root test and the results presents unstable time series. After first order differential, the data set turns out to be stable time series. Based on the analysis of cointegration approach for the unstable time series, the international gold spot price remains long-term equilibrium relationship with China’s gold futures price. According to the database of international gold spot price change rates, China’s gold spot price change rates, and China’s gold futures price change rates, the Granger causality test results indicate that fluctuation rates of China’s gold futures prices are in result of that of China’s spot price. However, the fluctuation rates of China’s gold spot price have little effect on that of China’s gold futures price. Furthermore international gold spot price barely influence that of China, to the contrary, China's gold spot price can significantly effect international gold spot price. Then following the analysis through vector error correction model (VECM) and impulse response function, China's gold spot price has positive impact on China's gold futures price. Although China's gold futures price has limited impact on China's gold spot price, its influence can be gradually increasing. Meanwhile, international gold spot price has no significant impact on either China's gold spot price or futures price. Finally, the variance decomposition analysis indicates the following results. China’s gold spot price has more impact on international gold spot price than that of China’s gold futures price.

한국어

본 연구는 중국 금 현물가격, 국제 금 현물가격, 중국 금 선물가격 간의 관련성을 실증적으로 검토한다. 분석 대상 기간은 2004년 9월 1일부터 2013년 8월 23일까지이며, 일별자료를 이용하였다. 본 연구에서는 먼저 단위근 검증을 통하여 시계열의 안정성을 확인하였으며, 다음으로 시계열 간에 공적분 관계가 존재하는가를 검증하였다. 다음으로 시계열 안정성이 확보된 자료를 이용하여 Granger 인과관계를 검증하였다. 마지막으로 오차수정모형을 추정하여 충 격반응함수와 예측오차 분산분해를 통하여 중국의 금 현물가격이 중국의 금 선물가격이나 국제 금 현물가격에 의하 여 받는 영향의 정도를 분석하였다. 단위근 검증 결과, 국제 금 현물가격, 중국 금 현물가격, 중국 금 선물가격 자료는 단위근을 자기는 불안정적인 시계열인 것으로 나타났고, 이들을 로그 값을 취하고 1차 차분하여 산출한 변화율 자료는 안정적인 시계열로 나타났 다. 그리고 가격변수에 대하여 공적분 검증을 실시한 결과, 국제 금 현물가격, 중국 금 현물가격, 중국 금 선물가격 간에 장기적인 균형관계를 나타내는 공적분 관계가 존재하는 것으로 나타났다.