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صخللما  عيمج يف لاوادت قاوسلاا مها نم بهذلا قوس كلذك و ةيلالما قارولاا قوس ربتعي يتلا ةقلاعلا و قاوسلاا هذه ةسارد مهلما نم كلذل ةمدقتلما ةصاخ نادلبلا يف نيبراضلما و رارقلا ذاختا نع نيلوؤسلم ةرمتسلما و ةحللما ةجاحلل ارظن امهطبرت لا تاروتلا دعاصت دنع اميسلا قاوسلاا متي فوس .نادلبلا نيب ةيسايسويج عارصلاو رتوتلا ءانثا ةيلالما قارولأاو بهذلا قوس نيب ةقلاعلا فاشكتسا ةداعا ،تامدصلا ببسي يذلا نيقيلا مدع نم ةلاح عويش امهبحاصي نيذلا نييلماعلا فرط نم هباسح مت يذلا ريخلأا رشؤلما لثم Caldara and Lamoriello  ماع يف 2016   ؤم ىعدي بهذلا رعس مادختسا متي فوس .ةيسايسويجلا رطاخلما رش رشؤمو S & P500  نم ةرتفلل ةيسايسويجلا رطاخلما رشؤمو 1960  ىلإ 2017  نم جذومن للاخ VAR-BEKK-GARCH  ةجذمنب مايقلا لجأ نم mean returns  ىلإ ةفاضلإاب variance-covariance  رورمب ريغتلما نوزخلما ناك اذإ هضرع مث قولا ترهظأ .ةيسايسويجلا رطاخلماب مهقورفو مهتادئاع رثأتت ، ءيطبلا رياغتلا ت قوس نيب نيابتلا ىلع ريبك ريثأت كلذكو ، بهذلا يف ةيبلس دئاوع دوجو انجئاتن مهظفاحم ةرادلإ نيرمثتسملل ةمهم جئاتنلا هذه .بهذلا قوسو ةيلالما قارولأا ةيلاعفب ةيلالما .  ABSTRACT The stock market as well as the gold market are the most important markets in all developed countries. Due to the urgent need of policy makers, investors and speculators, especially when tensions between countries arise, studying these markets is important. The relationship between gold and the stock markets, in the presence of global tension and conflicts, is re-explored by introducing the uncertainty that induces shocks, such as the recent index, which was calculated by Caldara and Iacoviello in 2016, referred to as geopolitical risk index. The gold price, S&P500 index and geopolitical risk index are used, for period starting from 1960 to 2017 in order to construct a VAR-BEKK-GARCH model, which computes the mean returns, as well as the variance-covariance, especially if the time-varying stock–gold covariance, their returns and their variances are influenced by geopolitical risk. The present model showed a negative relationship between the volatilities on gold prices, as well a significant effect on the spillover between the stock market and the gold market. These findings are important for investors to manage their portfolio effectively.

The Relationship Between Volatilities on the Gold Market and US Stock Market in the Presence of Geopolitical Risks