固体、液体和数字黄金期货的动态
On the Dynamics of Solid, Liquid and Digital Gold Futures
摘要：
本文研究了三种商品的期货价格波动性和基础的决定因素：黄金，石油和比特币-通常被称为固体，液体和数字黄金-通过使用先前应用于原油期货波动性调查的逐合约分析。通过提取2017年12月18日至2021年11月30日这三种资产的现货和期货每日价格以及到期日、交易量和未平仓合约数据，我们发现交易量在塑造所有三种资产的波动性方面发挥了积极和重要的作用，而未平仓合约在重要时可能产生负面影响，这支持了石油期货背景下的早期发现。此外，我们发现成熟度对比特币和石油期货价格波动具有相对积极的意义。此外，我们的分析表明，成熟度对比特币和黄金的基础产生了积极的影响-证实了一般理论，即随着比特币和黄金成熟度的接近，基础收敛于零-而石油则受到两个方向的影响。
英文摘要：
This paper examines the determinants of the volatility of futures prices and basis for three commodities: gold, oil and bitcoin -- often dubbed solid, liquid and digital gold -- by using contract-by-contract analysis which has been previously applied to crude oil futures volatility investigations. By extracting the spot and futures daily prices as well as the maturity, trading volume and open interest data for the three assets from 18th December 2017 to 30th November 2021, we find a positive and significant role for trading volume and a possible negative influence of open interest, when significant, in shaping the volatility in all three assets, supporting earlier findings in the context of oil futures. Additionally, we find maturity has a relatively positive significance for bitcoin and oil futures price volatility. Furthermore, our analysis demonstrates that maturity affects the basis of bitcoin and gold positively -- confirming the general theory that the basis converges to zero as maturity nears for bitcoin and gold -- while oil is affected in both directions.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
