The Dynamic Correlation Of China's Gold Market And Stock Market

Recent years,the international economic integration relationship between the financial markets is more and more closely,and the global financial events will spread the risk between different markets,which causing sharp fluctuations in asset price.If there is a strong correlation between the different markets,risk spillovers between the different markets will increase,then the sharp price fluctuations in this market will cause the sharp price fluctuations in other markets.So it is of great significance to study the volatility spillover effect in different markets,which will avoid the market investors' investment risk,and improve the government policy makers' regulation of financial markets.The stock market is a barometer of China's macro-economy,and the gold market has important strategic significance because of its scarcity and currency attributes,so the gold market is usually called the haven of investors.The stock market and the gold market occupy an important position in the economic development in every country.During the subprime crisis and the European debt crisis,the price of China's stock market fell and the price of China's gold market went up.What's more,when unusual events occur,the gold market has a certain value.Therefore,this paper takes the stock market and the gold market as the research object,and examines the relationship of the dependence structure change and the risk spillover effect.This research can effectively predict the correlation of gold market and stock market,which will provide theoretical support for investors' risk management,and provide theoretical guidance for government financial supervision and financial decision-making.Based on the daily rate of return,this paper selects Shanghai and Shenzhen 300 and Shanghai gold Au9999 as the stock market and the gold market' research variables.This paper analyses the general correlation of the stock market and the gold market by using DCC—MVGARCH model.And then,this paper investigates the tail dynamic correlation of the gold market and the stock market over the past 13 years.Firstly,based on the basic statistical analysis of the stock market and the gold market,the results show that there are non-normal,autocorrelation and heteroscedasticity in the gold market and the stock market.Secondly,we analyses the general correlation of the gold market and the stock market,and the research indicates that the gold market and the stock market are positively correlated.Thirdly,in this paper,we model the data that eliminate the sequence correlation and heteroscedasticity,and then we obtain the marginal model of the stock market and the gold market respectively.What's more,we obtain the GPD distribution fitting diagram of the stock market and the gold market.Finally,we model the copula function of the stock market and the gold market,and the research shows that the stock market and gold market left and right rear tail exist obvious structural and non-normal characteristics.the research also shows that China's stock market and gold market are generally positive correlation.