Characteristic Of China's Gold Futures Market Volatility And Risk Research

The gold is not only the personal symbol of social fortune, and Solid gold reserves has become one of the country’s financial market stability and development of strong backing. In January9,2008, Chinese gold future landed Shanghai futures exchange. Gold futures opened a prelude to the development of financial market for China, Gold futures market will promote the vigorous development of China’s gold market, Promote the production, processing and the use of gold enterprises to progress in the round, and Will also improve the gold spot price formation mechanism, strive for the international gold price right will be conducive to China’s financial market stability and healthy development.Since China’s gold futures market, the world economic situation fluctuate considerably, the United States sub-loan crisis led to the global economic downturn, the European sovereign debt, also erupts in succession, international economy suffered heavy losses, the international political situation also cranky, local world tensions had spread, international oil price also appears to fluctuate considerably, cause the international gold futures market prices shock wave, in this context, study Chinese gold futures market price discovery and volatility characteristics, analysis of gold futures market risk, and make targeted decision, on the future of China’s gold futures market development be of great advantage.However, the Chinese gold futures market relevant academic research is quite small, especially in the Chinese gold futures market research and quantitative analysis is very rare, and only a few studies of the prevalence of the relatively small sample size, model is relatively simple, no systematic and comprehensive analysis of the overall characteristics of gold futures market. In fact, after more than four years of development history, gold futures market has been reflected in the inherent characteristics, this study from the perspective of gold futures market related characteristics were analyzed and the research, first compose built China’s gold futures market relatively complete measure system, on the results of the gold futures market’s development and regulation with a certain reference value, the model and method to the other commodity futures research also have certain reference significance.This paper firstly analyzes the gold three properties, namely monetary attribute, attribute of commodity and investment properties. To the world’s major spot gold and gold futures market were introduced. On the function of futures markets are summarized, and the possible risks in futures market is summarized.Through to the domestic and foreign to the gold futures market review of the relevant literature, we try to China’s gold futures market empirical study, in order to solve the following problems:(1) Chinese gold futures market returns and market volume, trading volume exists between what relation?(2) China’s gold futures market is an efficient market, the price discovery function of the market is being played?(3) China’s gold futures market volatility characteristics in different periods of time if there are significant changes?(4) China’s gold futures market at home and abroad and the major market is how to influence each other?(5) how the Chinese futures market in the presence of market risk measurement and early warning?Therefore, in view of the above questions, we performed the following research work:First, We use GARCH model to Chinese gold futures market price volume relation for empirical research, it was found, the futures market transaction volume and price volatility and there is a positive correlation between, and positions on price fluctuation has negative correlation relationship. At the same time, we use ARiMA model to the market trading volume and open interest are decomposed into desired portion and a desired part, through comparative study, found that the market expected part of the volume and open interest on futures market price fluctuation explanation ability was strong in the volume and open interest of the desired part.Then, we determine whether there is significant in the market Sunday calendar effect and leverage effect to illustrate its is the current Chinese gold futures market efficiency. We in the GJR-GARCH model gains and wave equation are introduced the virtual session variables, judging by its parameter coefficient significance to observe the market week calendar effect and leverage effect exists or not and their relationships. Finally, through the empirical results, we conclude that the current Chinese gold futures market is not a completely effective market.Thirdly, because the gold futures market, the international financial market situation change unpredictably, a variety of market information impact of China’s gold futures market fluctuations, for the study of gold futures market in different state conversion features, we use MCMC based parameter estimation in MRS-GARCH model fitting market characteristics. Ultimately, in different market conditions, market volatility characteristics significantly different, volatility exist some duration, and the different states of the continuous effect has the very big difference.Also, gold futures market is not an isolated existence in the financial market, other types of financial market changes will be bound to China’s gold futures market to a certain extent. To describe this relationship, we use error correction model, Grainger Granger causality test, impulse response function and variance decomposition method to Chinese gold futures and spot gold, Shanghai gold futures in New York, London spot gold, the Shanghai and Shenzhen300index, the dollar index and crude oil futures and an empirical study on the relationship between. The results showed that:China’s gold futures market is very susceptible to other markets, further verifies the present market is not completely effective market.Finally, in order to describe China’s gold futures market in the market risk, we use the VaR method on the risk measure, and compares the different distribution of GARCH model to measure the pros and cons of gold futures market, came to the conclusion that the best effect based on GED distribution model.The main innovation of this paper are:One is the study of the futures market price volume relation, we use ARIMA model to market volume and weight are decomposed into expected and unexpected part, more clearly to find the effects of gold futures market price fluctuations of the hidden key factors. Secondly, we study the relationship between volume and price and the market efficiency, the futures market gains into overnight returns, non-trading period overnight returns and trading days to return three, can be more clearly reveal the economic factors for different types of income effect. Three, our research in the gold futures market Sunday calendar effects, we in the conditional variance equation also joined the trading day virtual variables, to verify whether the calendar effect of market volatility, and judge each trading day return and the risk of price fluctuation and the relationship between. Four, the Chinese gold futures market study, do not take market as a state variable study, we compared model and multi state model fitting effect, the latter is more accurate. Five, the Chinese gold futures market and other market relationship are local and not comprehensive, we comprehensively examines China’s gold futures market and a plurality of closely related market between causal and effect relationship, more comprehensive and rich. Six, we measure the market risk, the use of multiple methods for measurement and comparative study, a more comprehensive and convincing.