| In recent years,various kinds of risk events have been occurring,such as the 2008 subprime crisis,the Greek sovereign debt crisis.After each risk event,there will be a big shock in financial markets,and investors in the market face high market risks.Investors urgently need indicators to predict the volatility of future markets,and they also need investment methods and tools to avoid the risk of asset price fluctuations.After the 1987 U.S.stock market crash,market investors and regulators needed to measure volatility in the market.In this context,the Chicago board of options introduced the first VOX.By improving the index,the CBOE introduced a new VIX index in 2004 to better measure market volatility.Market experience in developed countries over the past decade has shown that volatility index can well predict fluctuations in future markets.And it is widely used by investors in investment practice.On February 9,2015,the Shanghai stock exchange put forward to the first option in China,the Shanghai ETF50 options.At the same time,the Shanghai stock exchange also began compiling the China iVX which is based on ETF50 options trading data.IVX reflects that we realize zhe importance to the measure of market volatility.We should make full use of the volatility index and its derivatives to stabilize financial markets and avoid market risks.On the other hand,gold has been seen as a hedge asset since ancient times,and gold is more popular with investors during times of crisis.When the political and economic situation turmoil,the financial market is not stable,the assets such as stocks and bonds have high risk,and gold can be a very good role of evading market risk,so investors are in favor of gold and gold futures and other products.In 2016 Britain take off from Europe.After the incident,there is a panic in the global financial market.Within two days after the incident,the Chicago board options exchange's VIX rapidly increased from 15 to 20.Meanwhile,international gold prices rose by $100 a Troy ounce on the day of the event,with both gold and gold ETF trading up sharply.So the analysis on the relationships among volatility index,gold futures prices and volume can provide advice and guidance for investors.And we hope the conclusion can help investors avoid market risk.The paper firstly studies the relationship among the volatility index iVX,spot gold and its trading volume.Firstly,unit root test is used to verify the stationarity of three sequences,unit root test results show that the three sequences are unstable,at the same time first order differential hysteresis are stationary series;Secondly,the co-integration test of three sequences is carried out.The test results show that there is a unique co-integration relationship between the three sequences.Through the analysis of the co-integration relationship,we find that in the long term,the volatility index has positive correlation with the spot gold.At the same time,the volatility index is positively correlated with the transaction volume.Finally,according to the relevant information criterion,the optimal lag order of VEC model is 2.In the second part,we construct VEC model,and obtain the error correction model.Also we analysis the results of the error correction model.The third part is the further analysis,in which the Granger causality test is used to test the causal relationship among the three variables.According to the test results of Granger causality test,the volatility index is the Granger cause of the spot gold at the significance level of 10%.At the same time,the volatility index is the Granger cause of volume at 5%significance level.Then,we use the method of impulse response.According to the result of the impulse response in the short term,the influence of the volatility to volume is uncertain in direction.And the volatility has a positive effect on spot gold.Then we study the relationship among ivx,the future gold price and volume,and we get the same conclusion.The iVX index has a short time,and it is unknown for most investors.There are also few studies on the volatility index.The innovation point of the article is mainly lies in that we first use VEC model were used to study the relationships among iVX index,spot gold,future gold price and its trading volume.Due to the level and the time limit,omissions inevitably exist in the study.Deficiencies are mainly lies in the research is not comprehensive,the research method is simple.And we cannot put forward to targeted policy suggestions. |
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