Analysis on the Impact of the Fluctuation of the International Gold Prices on the Chinese Gold Stocks

• Published in: Discrete Dynamics in Nature and Society Vol. 2014; no. 2014; pp. 583 - 588-072
• Main Authors: Jin, Jiankang, Jie, Chen, Zhang, Quanda
• Format: Journal Article
• Language: English
• Published: Cairo, Egypt Hindawi Limiteds 01.01.2014; Hindawi Puplishing Corporation; Hindawi Publishing Corporation; John Wiley & Sons, Inc; Wiley
• Subjects: Analysis; Domestic; Domestic markets; Dynamics; Economic models; Efficient markets; Fluctuation; Futures market; Gold; Gold markets; Impact analysis; Macroeconomics; Market prices; Mathematical models; Prices and rates; Raw materials; Securities markets; Stochastic models; Stock exchanges; Stock price indexes; Studies; VAR; China
• ISSN: 1026-0226; 1607-887X
• DOI: 10.1155/2014/308626

Five gold stocks in Chinese Shanghai and Shenzhen A-share and Comex gold futures are chosen to form the sample, for the purpose of analysing the impact of the fluctuation of the international gold prices on the gold stocks in Chinese Shanghai and Shenzhen A-share. Using the methods of unit root test, Granger causality test, VAR model, and impulse response function, this paper has analysed the relationship between the price change of the international gold futures and the price fluctuation of gold stocks in Chinese Shanghai and Shenzhen comprehensively. The results suggest the fluctuation of the international gold futures has a strong influence on the domestic futures.