International Gold Price And Stock Price Flucation Index And Their Relationship

Formed in the 1990s,China's stock market is an emerging market.After more than 20 years of development,Shanghai,two cities in the world on the stock market has a pivotal position.With the economic globalization and regional economic integration,financial markets around the world relevance,A price and the volatility of financial market not only influenced by internal environment factors,also affected by other market fluctuations,There is volatility spillover effect between different markets.In 2008 by the U.S.subprime mortgage crisis caused by the financial tsunami swept through the global capital market and the real economy caused incalculable blow,The crisis by the Wall Street began to gradually spread to all over the world,people for the sake of safety,sold all kinds of assets,That year the United States,Chinese mainland,Germany,Chinese Hong Kong,Japan and other major stock markets around the world have all been dropped to 40%,diffuse panic in financial markets,the real estate bubble burst at the same time,a slump in commodity prices,negative growth of the world economy On concerns about the outlook of the world economy,we see the gold has forged ahead,all the way through the roof.In the modern financial market,stock and gold are two important investments,the volatility is also the focus of academic circles.First of all,through a series of inspection on the international gold market and the stock market movements were analyzed,and the ARCH model is set up respectively from three aspects of market research,namely the fluctuations of cluster,the asymmetry of the high risk high return and volatility.Study:three market is fluctuating cluster just continued degree differences,the international gold market and the NASDAQ stock market showed the characteristics of the high risk high reward,don't show it in the Shanghai market,the Shanghai market to focus on the factors that causes the market to fall.Secondly,this paper analyzes the international gold market and the NASDAQ stock market,the international gold market and Shanghai stock market fluctuations linkage effect.The first stage by Multivariable GARCH model is set up,the results show that the international gold market and the NASDAQ stock market,the international gold market and the conditions of the Shanghai stock market standard deviation chart shows the opposite trend.The second phase of multivariate DCC-GARCH model,the results show that the international gold market is negatively related to the NASDAQ stock market although but do not have a high level of related the two do not have a high level of market risk transfer,the international gold market and Shanghai stock market showed a strong negative correlation degree is two high degree of market risk transfer.Again,this article from the single variable EGARCH and ternary BEKK GARCH model to the international gold market,the NASDAQ stock market,the volatility spillover effect between the Shanghai market was studied.The empirical results show that the international gold market and the NASDAQ stock market exists bidirectional spillover effects,the international gold market to Shanghai stock market is one way to volatility spillover effect,the NASDAQ stock market to Shanghai stock market exists one-way volatility spillover effect.Conclusion part of this chapter for three market's volatility spillover effect to investors and policy makers are also proposed.Finally,the empirical results in the article,from the perfect our country stock market operation system,supervision and true disclosure the company's financial information of listed companies,strengthen the investor education three aspects put forward policy Suggestions.The innovation of this article is mainly manifested in two aspects.First,on the topic,from the international gold market and the relationship between the stock market of China and the United States to study,research and existing literature is usually domestic gold market and the stock market of China and the United States.Second,on the theoretical model,from three aspects of the relationship between the international gold price and the stock market of China and the United States,and adopt the method of dynamic linkage effect and dynamic spillover effect to analyze three markets.