Analysis on the Impact of the Fluctuation of the International Gold Prices on the Gold Stocks in Chinese Shanghai and Shenzhen A-Share

Author

Chen Jie ; Chen Rongda

Author_Institution

Sch. of Finance, Zhejiang Univ. of Finance & Econ., Hangzhou, China

fYear

2013

fDate

14-16 Nov. 2013

Firstpage

364

Lastpage

368

Abstract

In this paper, five gold stocks in Chinese Shanghai and Shenzhen A-share and Comex gold futures are chosen to be the sample, for the purpose of analysing on 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, impulse response function to comprehensively analyse the relationship between the price change of the international gold futures and the price fluctuation of gold stocks in Chinese Shanghai and Shenzhen. The result suggests that there is price-oriented relationship between gold stocks in Chinese Shanghai and Shenzhen and international gold futures, the power that international gold futures affect the Gold stocks in Shanghai and Shenzhen stock are stronger than the power that gold stocks in Shanghai and Shenzhen stock affect the international gold futures.

Keywords

pricing; statistical testing; stock markets; time series; Chinese Shanghai and Shenzhen A-share; Gold Stocks; Granger causality test; VAR model; impulse response function; international gold prices; price fluctuation; price-oriented relationship; unit root test; Analytical models; Data models; Economics; Educational institutions; Fluctuations; Gold; Reactive power; Shanghai and Shenzhen A-share; gold stocks; international gold futures; price-oriented;

fLanguage

English

Publisher

ieee

Conference_Titel

Business Intelligence and Financial Engineering (BIFE), 2013 Sixth International Conference on

Conference_Location

Hangzhou

Print_ISBN

978-1-4799-4778-2

Type

conf

DOI

10.1109/BIFE.2013.76

Filename

6961156