The Price Of Gold Between Stock Returns And Volatility Relationship With The United States To Study

The gold market and the U.S. stock market are important parts of the global financial market system. The research about yield and volatility relationship between gold prices and U.S. stock index may reflect the direction, degree and results of the mutual influence between the two markets, and then provide a reference for the globalized portfolio strategies and reserve assets selection. For a long time, the yield and volatility relationship between different markets have been the research focus of the domestic and foreign scholars. And the literature about the relationship between stock or gold markets in different regions, as well as the relationship between spot and futures markets for stock or gold, have made thorough and detailed research and analysis. However, existing documents rarely set foot for the relationship of yield and volatility between world gold market and stock market. Consequently, the goal of this paper is to fully sum up and absorb the conclusions of previous studies, to use the world’s largest gold spot market price of fixing price of the London Bullion Market Association and the most representative and influential index of U.S. Standard&Poor’s500index for analysis, and finally to give the appropriate policy recommendations based on the theoretical and empirical findings.In the theoretical part of this paper, the theories of asset substitution effect and spillover effect are used as the main theoretical basis of the direct mutual influence between different markets, as well as to explain real relationship of yield and volatility in gold price and U.S. stock index, and to find out the internal causes and the external effects of such relationship. In the empirical part of this paper, structured vector auto-regression model and exponent generalized autoregressive conditional heteroskedasticity model are used to measure the direction and extent of mutual influence mentioned above. And correlation coefficients, Granger causality test, impulse response are also used to supplement and optimize the model coefficient estimation process.On the basis of the theoretical analysis and empirical research above, it is found that:as for the yield relationship, there exist substitution effect and inter-temporal spillover effect between gold price and U.S. stock index. At the same time, there also exists unidirectional spillover effect between volatility of these two. Through phased contrast and summary, it is further found that:the relationship between gold price and U.S. stock index has become clear and definite gradually, and the status of gold market in the global financial system has kept rising over time.