Impact Of Macro-Policy And News Shocks To The Correlation Of China’s Stock, Bond And Gold Markets

With the development of world’s economy and the gradual strengthening of economic integration between the different regions and different markets, a large number of theoretical and empirical researchhas been focused on assets comovements. However, due to the fact that China’s gold market started late,its mechanism is incomplete and the product range is not as wide as foreign markets,researchers have not give as much attention to gold as to stocks and bonds. Since the establishment of the Shanghai Gold Exchange, domestic gold price formation mechanism gradually accepts international standards, volatility of the gold is increasingly market-oriented, and the correlation of gold and other financial assets is increased. Over the past decade, especially in the impact of the financial crisis, the debt crisis in Europe, the introduction of a series of quantitative easing policy in the United States, the price of gold has been keeping breaking the historical records.Investors’demand for gold has greatly increased, and portfolio with gold in it is also very popular among investors. Thus, there has been a great necessity for us to study the correlation between stocks, bonds, gold.By taking advantage of previousstudy of correlation between different assets, we chose China’s stocks, bonds and gold markets as the research object. Li Xiaoming (2008) proposed a mixed asymmetric DCC (MADCC) model, given us a useful method to examinehow policy and information shocks impact the comovements of China’s stock, bond and gold markets, in the context of the financial crisis.In addition, we used the news impact surface to research the aymetric response of the three financial assets to the joint bad and joint good news. We found that for stock-gold, and stocks-bonds, the correlation between them respond strongerly to the joint bad news, and bonds-gold correlation responds stronger to joint good news, which means that the possibility of stocks and gold, stock and bond markets to fall together is greater than rise together, and the possibility of bonds and gold market to rise together is greater than fall together.