The Empirical Research Of Connection Between Gold Futures Prices And Gold Stock Prices

Firstly,China's commodity futures market has developed rapidly.By the end of 2018,there have been more than forty commodity futures in China,and the variety and trading volume have grown rapidly.The trading volume has ranked first in the world for many years.The position of commodity futures in the financial market is becoming more and more important.Commodity futures affect the pricing of other financial assets,which has become an important consideration for investors in asset portfolio.Secondly,China's stock market experienced a roller coaster-like shock in 2015.From the second half of 2014 to the first half of 2015,the Shanghai Composite Index rose all the way to 5178 points,but it fell from 5178 points to two thousand in the second half of 2015.More points,the Shanghai and Shenzhen stock markets suffered heavy losses,which also brought great harm to investors.In the process of stock market decline,although the "national team" tried t o save the market,it still cannot save the downward trend.Lastly,premier Li keqiang laid out the plan for economic work in 2019 at the central economic work conference in December 2018.He pointed out that in 2019,we should fight a tough battle to prevent and defuse major risks,stick to the basic idea of structural deleveraging,and prevent abnormal fluctuations and resonance in the financial market.Therefore,based on the above background,analyze the interaction between the futures market and the stock market,and study the correlation between futures yield and stock return,which has certain reference for investors to diversify investment or make asset allocation decisions.It also provides a theoretical basis for regulators to intervene in the futures market and the stock market.Therefore,it is very important to understand the relationship between the commodity futures market and the stock market.The sample period of this paper is from January 2,2014 to December 28,2018.The futures data is the Shanghai gold index compiled on Wind.The stock data is the top ten gold processing stocks with the selected daily average market value,and the total market value is weighted.Index compilation and logarithm of all indices.Analytical methods such as descriptive statistics,ADF test,E-G cointegration test,ECM model and Granger causality are used to analyze the relationship between futures and stocks.Finally,the VAR model is used to analyze the interaction between futures and stocks during the bull market and the bear market.The research results show that both gold futures and gold stocks are non-stationary sequences,but they are all first-order single-order sequences,and there is a long-term cointegration relationship between the two,and in the short term,two errors can be seen through the error correction model.Information transfer between markets is inefficient.Gold futures are the Granger cause of gold stocks,but gold stocks are not the Granger reasons for gold futures.In terms of gold futures yield and gold stock return,their respective rates of change are affected by their own lags and the other's lags,and this effect is different in the bull market and bear market.