The Volatility And Influencing Factors Research Of The Gold Price

During the economic turmoil, gold is always used as a tool of hedging and investment. Especially before and after financial crisis, gold price usually fluctuates dramatically. At this time, domestic and foreign gold markets shock synchronously, which highlights the risk of the market. And influencing factors become more complex. In recent years, researches on the volatility and factors of the gold market become the focus of attention in theoretical and practical fields. From the perspective of empirical research, this paper attempts to discuss and analysis the risk of volatility, co-movement relationship and influencing factors in the gold market comprehensively. The main contents of this paper are as follows.Firstly, this paper studies the risk of fluctuations in domestic and foreign gold markets. Take the return of London and Shanghai spot gold markets as objects, this paper establishes a group of VaR-GARCH models to count the risk of gold market. By contrasting and testing the accuracy of gold market VaR measuring by different distributions of GARCH models. The results show that VaR-PARCH、VaR-EGARCH models based on the generalized error distribution can describe the features of fluctuations clustering, high peaks and fat tails in London and Shanghai gold market separately. By analyzing the trend of the extreme risk in the gold market by two models, the results show that the extreme risk in Shanghai gold market is higher than in London, and the extreme risk in two markets fluctuates with characteristics of linkage and clustering. What’s more, the extreme rising risk in two markets is higher than the decline risk.Then, this paper analyses the co-movement relationship between domestic and foreign gold market from three aspects including equilibrium relationship, causality and correlativity. The results of E-G two-step test show that there exists long-term equilibrium relationship between domestic and foreign gold market. On this basis, we establish error correction model, which shows that short-term changes of Shanghai gold price are influenced by changes of London gold price and deviating from the long-term equilibrium. The results of Granger causality test show that London gold market shows continuous leading function to Shanghai gold market. While Shanghai gold market shows relatively little leading function to London market, but the function enhances over time. Pearson correlation coefficient shows that there exists static and positive correlation between domestic and foreign gold markets, while the correlation degree is not high. The test of DCC-GARCH model shows there exists significant dynamic correlation between two markets, but the persistent feature of dynamic correlation is not so significant.Finally, from the view of three properties of gold, this paper analyses the influencing factors of gold price. Based on the data before and after the financial crisis, this paper uses empirical research to analyze the influencing factors of gold price with vector error correction model, impulse response function and variance decomposition. The results show that gold price is more significantly influenced by the end phase of the financial crisis than the eruption phase. On the long term, gold price shows a negative correlation with M2, and a positive correlation with CPI and stock index. Among them, gold price is most influenced by CPI.