Empirical Research On The Impact Of Gold Futures On The Yield Of Related Stocks

Futures prices usually imply people's expectation of the future,the futures price changes may directly affect the costs or the benefits of the related products of listed companies,thus affect its earnings,which affect the stock yield.We regard the influence of gold futures on the stock returns as the research object,and then use the distributed lag model,Granger causality test to make sense of the relationship between futures returns and the related stock returns,and by introducing the futures factor into the Fama and French five-factor model,make the empirical test of the independent influence of the futures factor on the yield of the relevant stock.The first,according to the distributed lag model,the lagging of futures returns have significant effect on the stock returns,but only a model considering the influences of futures returns,the goodness of fit is not high,it shows that the futures returns can be as a factor to explain the stock returns,but only rely on the futures factors,the models are insufficient to explain the stock yield.In addition,when commodity futures enter into the cost side of listed companies,futures yields have a negative effect on stock returns,and when commodity futures enter into the income side of listed companies,futures yield has a positive effect on stock returns.The second,Futures returns and the stock returns of the Granger causality test show that,apart from a few exceptions,futures returns are usually is a Granger cause of stock returns,which in turn Granger cause of stock returns are futures returns.According to the result of Granger causality,the stock yield can be predicted by the futures rate of return.The third,After introducing Fama and French five factors as the control variables,autoregressive items in the distributed lag model has been greatly reduced,and some have even been removed.However,in general,the introduction of the futures yield factor has significantly improved the F statistic and adjusted R2 of the model.Based on the above conclusions,we can use futures information to price the relevant stocks and build investment strategies.On the other hand,the Chinese futures market and stock market information transmission is effective.