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

Jiankang Jin | Zendy; Jie Chen | Zendy; Quanda Zhang | Zendy

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

Author(s) -

Jiankang Jin,

Jie Chen,

Quanda Zhang

Publication year - 2014

Publication title -

discrete dynamics in nature and society

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.264

H-Index - 39

eISSN - 1607-887X

pISSN - 1026-0226

DOI - 10.1155/2014/308626

Subject(s) - futures contract , granger causality , economics , gold as an investment , gold standard (test) , econometrics , unit root , financial economics , mathematics , statistics

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

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