| Gold acted as the role of money in the history for a long time. Even after the collapse of Bretton Woods system, it still plays a decisive role in finance. With the development of financial market and the implement of loose monetary policy, the international and domestic gold markets are both growing at a high speed. More and more investors join the group of gold investment. The special attributes make gold price volatile more complicatedly than other goods and investments, even produce price bubbles. A bubble in the price of gold will not only harm the interests of investors, but also endanger the stability of financial environment. Despite the late start of China’s market, many people are concerned about us after the gold rush in 2013. Therefore, it is meaningful to test and analyze the bubble phenomenon, and do an in-depth study about the fluctuations of our gold market.Based on investor behavior, theorists divide price bubbles into two categories: rational bubbles and irrational bubbles. Rational bubbles challenge the stereotype that price cannot deviate from the fundamental value in the long term, which denies the existence of price bubbles. Assuming the market is efficient, and consumers are rational, it facilitates the econometric tests. And a vast majority of literature on testing for bubbles is rational-bubbles-orientated. Many methods have been developed, but they are criticized as the back testing, and can’t detect what are the spot of origination and collapse. A new method presented by Phillips et.al (2011,2012), which is named sup ADF, turns out to improve the testing power for periodically collapsing bubbles presented by Evans (1991). What is more appealing is that this method makes it possible to detect the origination and collapse of bubbles. It is by far the most effective method to detect periodical bubbles.Therefore, we test for the price bubbles in china’s Gold spot prices applying sup ADF test method. Then we detect the specific point of the origination and collapse. And combine the analysis of gold property in financial to explain the reasons of the bubbles. The research work and main construction focus on the following aspects:First of all, we comb researches of gold price fluctuation from view of the three properties of gold, which are commodity, currency and finance. We note that the focus has gradually shifted from a macro-level to a micro-level. Then we summarize researches of rational bubble test, and review the principles about rational bubble, unit root test theories and the generalized sup ADF test. They provide a theoretical basis for the following empirical research.Secondly, we use the traditional unit root test, SADF and GSADF to test the spot price of China. We find that the price series are stationary in the test of traditional unit root test. It means that there is no bubble in gold price. But we detect bubble phenomenon in SADF and GSADF. That verified what Evans proposed in 1991 that unit root can’t test periodic bubble effectively. And sup ADF and the generalized sup ADF test have a high test power on bubbles tests.Thirdly, we determine the point of the origination and collapse of the bubbles by contrasting the generalized statistics with its 95% critical value. There are three bubble periods in China’s gold price:January to February and March to June in 2006, April to July in 2013. Then we analyze the reasons from the view of gold financial functions. |
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