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Gold Science and Technology >

2024 , Vol. 32 >Issue 4: 731 - 744

DOI: https://doi.org/10.11872/j.issn.1005-2518.2024.04.117

Mining Technology and Mine Management

Research for theHedging Capability of the Gold Domestic Board and the Gold International Board on Crude Oil

  • Junwei JI , 1 ,
  • Yifei CHEN 1 ,
  • Jing LU 2 ,
  • Han LUO 1
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  • 1. Business School, Chengdu University of Technology, Chengdu 610059, Sichuan, China
  • 2. School of Economics and Business Administration, Chongqing University, Chongqing 400044, China

Received date: 2023-08-10

  Revised date: 2024-01-28

  Online published: 2024-08-27

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Abstract

The Shanghai gold domestic board，gold international board，and Shanghai crude oil futures market play significant roles in emerging financial markets. However，the hedging capability of the gold domestic board and international board in relation to domestic and foreign crude oil markets are not clearly defined. It is crucial for regulators to assess the differences in hedging capability between the two gold markets in domestic and foreign crude oil markets，and to explore the underlying reasons. It is also crucial for regulators to have a comprehensive understanding of the evolution of gold markets in order to effectively implement risk management strategies.This study focuses on the gold domestic board，gold international board，Shanghai crude oil futures，and WTI crude oil futures as the research objects，analyzing the variations in risk hedging from the gold international board to Shanghai crude oil and WTI crude oil from an international perspective，as well as from the gold domestic board and international board to Shanghai crude oil from a domestic perspective. The study utilized the DCC-MGARCH model to analyze the dynamic correlation of yield among the gold domestic board，gold international board，Shanghai crude oil，and WTI crude oil. Additionally，the hedging capabilities of gold on crude oil was evaluated from the perspectives of extreme risk and falling prices. Lastly，an examination of volatility spillover and price discovery function provided insights into the varying hedging abilities of Shanghai and WTI crude oil on the gold domestic and international boards. The findings indicate that the correlation coefficients between gold domestic and international boards，Shanghai crude oil，and WTI crude oil exhibit dynamic characteristics. Additionally，the hedging capability of gold international board on Shanghai crude oil is weaker than that of WTI crude oil. This is attributed to Shanghai crude oil’s susceptibility to risks associated with WTI crude oil，as well as its lack of significant correlation with gold international board compared to WTI crude oil. Thirdly，the hedging capability of the gold international board for Shanghai crude oil is weaker than that of the gold domestic board. This disparity can be attributed to the inadequate market liquidity of the gold international board and its lagging price discovery function compared to the gold domestic board.

Key words： gold domestic board; gold international board; Shanghai crude oil futures; WTI crude oil futures; hedging capability; quantile GARCH model

Cite this article

Junwei JI , Yifei CHEN , Jing LU , Han LUO . Research for theHedging Capability of the Gold Domestic Board and the Gold International Board on Crude Oil[J]. Gold Science and Technology, 2024 , 32(4) : 731 -744 . DOI: 10.11872/j.issn.1005-2518.2024.04.117

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2024年上半年我国增持黄金28.93 t

7月28日，记者从2024中国国际黄金大会获悉，2024年上半年，国内原料黄金产量为179.634 t，与2023年同期相比增产1.036 t，同比增长0.58%，其中，黄金矿产金完成141.496 t，有色副产金完成38.138 t。另外，2024年上半年进口原料产金72.026 t，同比增长10.14%，加上这部分进口原料产金，全国共生产黄金251.660 t，同比增长3.14%。

2024年上半年，黄金矿山企业和大型黄金冶炼企业紧紧抓住金价高企的有利时机，调整产能结构，优化生产布局，最大限度利用金矿资源，收到显著成效。山东三山岛金矿、甘肃早子沟金矿、内蒙古毕力赫金矿、黑龙江多宝山金铜矿等大型黄金矿山矿产金产量同比增长均超过10%。不过，虽然黄金价格表现较好，但上半年我国黄金产量并未如期增长，主要原因是老矿山易开采资源逐渐减少，新建矿山面临深井建设难题，且安全环保政策要求不断提高，部分黄金矿山企业减产、关停整改或无法延续生产。

大型黄金企业（集团）是我国黄金行业的中流砥柱。上半年，境内矿山矿产金产量67.851 t，占全国的比重为47.95%。紫金矿业、山东黄金和赤峰黄金等企业“走出去”成效显著。

2024年上半年，全国黄金消费量523.753 t，与2023年同期相比下降5.61%。其中：黄金首饰270.021 t，同比下降26.68%；金条及金币213.635 t，同比增长46.02%；工业及其他用金40.097 t，同比下降0.53%。

2024年上半年，随着黄金价格不断刷新历史新高，黄金首饰和金条金币两个类别的销量呈现两极分化：溢价较高的黄金首饰消费大幅下降，溢价较低的金条及金币消费大幅上涨。金价高位巨幅波动使得黄金加工销售企业生产经营风险增大，批发零售企业进货减少，首饰加工企业加工量大幅下降。

2024年上半年，黄金避险保值功能重新受到重视，黄金价格强势上涨，不断刷新历史新高。6月底，伦敦现货黄金定盘价为2 330.90美元/盎司，较年初2 074.90美元/盎司上涨12.34%，上半年均价2 202.91美元/盎司，较上年同期1 931.54美元/盎司上涨14.05%。上海黄金交易所Au9999黄金6月末收盘价549.88元/克，较年初开盘价480.80元/克上涨14.37%，上半年加权平均价格为514.12元/克，较上年同期432.09元/克上涨18.98%。

2024年上半年，各国央行持续增持黄金，不断增加黄金在外汇储备中的份额。我国累计增持黄金28.93 t，截至6月底，我国黄金储备为2 264.33 t。

中国矿业报）

http://www.goldsci.ac.cn/article/2024/1005-2518/1005-2518-2024-32-4-731.shtml

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