上海和伦敦黄金市场间的动态关联研究——基于多尺度视角下的分析

Research on the dynamic correlation between Shanghai and London gold markets——Analysis Based on Multi-Scale Perspective

黄金被视为一种优质的避险资产而受到投资者青睐。本文通过构建CEEMDAN-MMS-CCC-GARCH模型,在多尺度视角下分析了上海与伦敦黄金市场间的联动现象。首先,运用完全自适应集合经验模态分解(CEEMDAN)将上海黄金和伦敦黄金的收益率序列进行分解;其次,非线性格兰杰检验表明上海和伦敦黄金收益之间存在双向因果关系;最后,多尺度多元变区制GARCH模型结果表明:两个市场的高频项部分存在波动溢出关系,低频部分存在长期相关性,同时上海黄金市场表现出一定的独立性。

The gold is seen as a premium safe-haven asset and is favored by many investors.By constructing a CEEMDAN-MMS-CCC-GARCH model,this paper analyzes the dynamic linkage between Shanghai and London gold markets from a multi-scale perspective.The non-linear Granger test shows that there exists a bidirectional causal relationship between gold returns in Shanghai and London.The results of multi-scale multivariate markov switching GARCH model show that these two markets has a fluctuation spillover phenomenon in the high-frequency domain and a long-term correlation in the low-frequency domain,and the Shanghai gold market shows a certain degree of independence.