黄金现货价格和黄金矿业股价格的动态关联性被引量：14

Dynamic Relationships between Spot Price of Gold and Gold Mining Stocks Prices

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摘要检定我国黄金现货价格变化对黄金矿业股价格的影响,利用向量自回归模型判断二者收益率间的领先滞后关系,并以动态条件相关二元GARCH模型对波动性外溢现象和条件相关性加以探讨。针对2004年1月2日至2007年12月28日金价上扬期间的日资料进行分析,主要结论为:收益率部分,在滞后一期的情况下,黄金现货对黄金矿业股有着显著解释能力,前者相对后者具领先地位;波动性方面,长期而言,两市场波动相互影响,波动性外溢效果存在,但黄金现货波动对黄金矿业股波动性的影响大于黄金矿业股波动对黄金现货波动性的影响;此外,两市场间的条件相关性是动态变化的,金价波动幅度较大的时候关联性更为密切。研究结果可应用于黄金矿业股价格预测以及金价高波动期间的风险对冲。 The paper tests the effect of change of the spot price of gold on the gold mining stocks prices over the appreciation of gold price. On a daily basis, the VAR analysis suggests that the change of gold price can explain the future movements of the gold mining stocks prices, the dynamic conditional correlation multivariate GARCH indicates that there are two-way interactions between the volatilities of spot price of gold and gold mining stocks prices, furthermore, the conditional correlation coefficient is time-varying. The policy implication is that, during times of high gold price volatility, traders should choose the gold mining stocks to hedge against this volatility,

作者肖倬郭彦峰

机构地区电子科技大学经济与管理学院中国建设银行四川省分行西南交通大学经济管理学院

出处《系统工程》 CSCD 北大核心 2009年第3期29-35,共7页 Systems Engineering

关键词黄金现货价格黄金矿业股价格向量自回归模型动态条件相关二元GARCH 波动性外溢 Spot Price of Gold Gold Mining Stocks Prices Vector Autoregression Model DCC-（BV）GARCH VolatilitySpillovers

分类号 F830 [经济管理—金融学]

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