The Research On Volatility Characteristics And Influence Factors Of China Gold Market

Karl Marx had pointed that "Although gold and silver are not by nature money, money is by nature gold and silver." As the function of money, gold is the emblem of wealth through the history. In the1970s, due to the collapse of Bretton Woods system, gold was out of the international monetary system. However, Its monetary attribute did not disappear. As an efficient hedging tool against inflation, gold investment is also a safe harbor during the economic depression. In recent years, gold price has been skyrocketing especially from2008, with great changes in the world, such as international financial crisis, the USA Fed’s policy action and so on, all resulting in high volatility and rapid rise in gold price. Hence, it is necessary to grasp the trend and volatility characteristics of the gold price which is conducted as the focus issue in gold investment.This article use qualitative and quantitative methods to discuss Chinese domestic gold market. First, it analyzes the factors in effecting gold price with qualitative method. Then put empirical analysis with the factors affecting the gold price in China. Based on the granger causality test, the dollar index, oil price exists one-way causal relationship between the gold price in China; inflation rate, the Shanghai composite index has no granger causality relationship between the gold price in China. Next, put empirical research with quantitative method on domestic gold market in terms of earnings, and compares the London gold market.It turned out that the yield series trends to be smooth and its vibrations are clustered. External impact to gold market will last for a long period. External shocks in the gold market impact of the time will be longer, persistent characteristics; China’s gold market exist asymmetric effect, that is the good news for the gold market impact bigger than the impact of the bad news on the gold market. China’s gold market equilibrium level of income is negative, the market risk compared to the London market is larger.Based on the above analysis, the gold market of China is started up late, yet to be perfected. This paper tries to put forward some suggestions for gold investment, reasonable guide to the investors behavior, avoid irrational speculation excessive impact on the market.