The Gold Market And Oil Market Return Volatility Spillover Effect Research

Gold and oil plays an important role in the development process of human history, they are both important macroeconomic indicators. At present, this emerging gold investment market is developed rapidly, which has a good trend is and broad prospects. The individuals speculate in gold business is also growing now; gold investment is becoming an increasingly hot topic and the financial hot spots by the majority of investors. Meanwhile, with the development of economic globalization, the fluctuations links between the various markets in the financial markets becoming more and more closely at home and abroad, especially in the commodity markets, gold and oil return and risk characteristics catches the concern and attention of the scholars. Crude oil prices rose then gold rising, crude oil prices declines then gold prices fell, this law has universal application, but we don’t know which is true or not, and then we need further exploration about this. The large number of domestic and foreign scholars has done a lot analysis and forecasting on the gold price and oil price volatility, but on the one hand, most of the qualitative analysis are simple fundamentals of economic theory, lack of the simultaneous comparative analysis about the cities of price volatility and volatility spillover effects, on the other hand,even empirical research, because the different selected sample, the sample time span and different methods and the conclusion reached also vary, and the existing literature is to prove different market volatility spillover effect exists, there is no analysis of the volatility spillover effect between theoretical explanations and underlying causes. This article first proceed from the theory of modern finance and behavioral finance theory to explain the volatility spillovers to investigate the volatility spillover that may exist between the gold market and oil market, and how to proceed between the two cities, then select the daily data for gold and oil prices between December2,2002to September30,2011, study the volatility spillover on the gold market and oil market, verify the authenticity of the above law,and also expect to be able to give some help to the majority of investors and decision makers.This paper summarizes research on the basis of domestic and foreign, using Eviews6.0software, to establish the corresponding ARCH family model, BEKK model and the Granger causality test, the gold market and oil market price volatility of returns, volatility and asymmetry empirical analysis of volatility spillovers. The results show that:the two cities are at variance with significant variability and the impact of news on volatility persistence; GARCH (1,1) model can eliminate the ARCH effect; two cities there are obvious non-symmetry, different bad news in the oil market fluctuations caused by the same good news than to fluctuations caused by large, while the gold market, the opposite; The two cities have a certain relevance, but the price correlation coefficient is greater than the correlation coefficient of the yield, the oil market rate of return is the Granger cause of the gold market rate of return, but on the contrary is not so, the most important thing is that the two cities from the oil market, there is only one way to the gold market volatility spillover effects.In this work, the characteristics and innovations are performanced in the following two aspects, one is in the context of high inflation and negative real interest rates deposits now, investors are increasingly concerned about the currency hedge against inflation, investment in commodities such as precious metals and crude oil is gradually increasing, which is reflected the price volatility intensified in gold and oil market. This article is focused on exploring the relationship between fluctuations in gold and oil yield, so we can see first topics reality; The second is the timeliness of the sample data, this paper using a cut-off comprehensively to the latest data on September30,2011, fully revealing the gains volatility, the fluctuating asymmetry and its volatility spillover effects of the gold market and the oil market, the research results in this area will has important reference value for related investors and decision-making humans in this field.