The Research On The Spillover Effect Of The Rate Of Return Between Stock Market And Gold Market

With the increasing trend of the world economy integration and the rapid development of information technology, the relationship between financial markets has become increasingly close. Because stock market and gold market are important parts of financial market, it is of practical significance to study the spillover effects between them.In this thesis, we will study the spillover effect from the perspective of the rate of return. In the subprime crisis, the European debt crisis and the international gold prices plummeted period, this thesis studies the Chinese stock market, the Chinese gold market, the international stock market and the international gold market. It is choosing CSI 300 index, Shanghai gold price, S&P 500 index and London gold price have been chosen as the proxy variable of these four markets. The Time-Varying Parameter Vector Autoregressive model(TVP-VAR) is used to investigate the spillover effects of the stock market and the gold market. Compared with the traditional VAR model, the TVP-VAR model assumes that the parameters and the random disturbance term are time-varying. When the economic system is mutated, it can capture the relationship among variables. In the empirical research section, Firstly, the construction of TVP-VAR model is based on the traditional VAR model in this thesis. Then, the ADF unit root test is carried out on four market variables so as to verify whether there is a "pseudo regression" phenomenon between the sequences. Furthermore, In order to determine whether there is a causal relationship between the stock market and the gold market, which is the basis for the following research, the Granger causality test is performed on four variables. Finally, an empirical analysis is made by using TVP-VAR model. The process of empirical analysis is as follows: first, according to the results of Granger causality test, setting the sequence of variables into the model, and determining the lag order of the model; Second, using the Markov Chain Monte Carlo simulation(MCMC) method to estimate the parameters of the model, to determine whether the model is effective; Third, the time-varying volatility can better reflect the historical volatility, so as to determine whether there is a structural change in the initial variables; Fourth, based on the TVP-VAR model, two kinds of impulse response functions are used to analyze the spillover effect of the rate of return. One is equal interval impulse response, which is analyzed the stock and the gold market in the whole sample section of the spillover direction and dynamic change; The other is the point impulse response, which analyzes spillover relationship between the stock market and the gold market in the subprime crisis, the European debt crisis and the international gold prices plummeted period.The Research results show that there exist spillover effects of the rate of return between the stock market and the gold market, the crisis has intensified the spillover effect between markets. Overflow direction will change because it is affected by economic events. The relationships between spillovers are as follows: first, during the period of subprime crisis and European debt crisis, there were negative spillover effects on the international stock market and the international gold market, while there were negative spillover effects on the China stock market and the China gold market. The international stock market had a negative spillover effect on the China gold market. Second, during the period when the international gold prices plummeted, the international stock market had a positive effect on the international gold market, and there were positive spillover effects on the China stock market and the China gold market; The international stock market had a negative spillover effect on the Chinese gold market, and the international gold market had a negative spillover effect on the international stock market.Based on the results of the study, the policy recommendations are put forward. From the point of government's view, first, government should improve the ability to supervise and control the market risk. Second, to form a sound financial market system, government should guard against the risk and regulate the domestic stock market and the gold market. From the market investors' view, they need improve their ability to control the risk between the stock market and the gold market, and achieve diversification of investment portfolio.