新冠疫情影响下我国黄金市场的非对称相关性分析

Asymmetric correlation analysis of Chinese gold markets under the impact of the Covid-19

以上海现货黄金、华安黄金ETF和易方达黄金ETF为研究对象,运用非对称多重分形分析方法研究在新冠疫情影响下我国黄金ETF市场与现货黄金市场之间交互相关关系的多重分形特征,探究新冠疫情对于我国黄金市场变化趋势的影响。实证结果表明,我国黄金ETF市场与现货黄金市场之间的交互关系在新冠疫情爆发前后不仅呈现出不同的多重分形特征,而且在不同趋势下的表现也不同,具有显著的非对称性。新冠疫情明显增加了我国黄金市场的风险,疫情之前我国黄金ETF市场与现货黄金市场之间的交互关系在上升趋势时更复杂,而疫情期间两者之间的交互关系在整体趋势时变得更为复杂。

This paper uses the asymmetric multifractal analysis method to study the multifractal characteristics of the correlation relationship between Chinese gold ETF market and spot gold market under the influence of the Covid-19 with Shanghai spot gold,Huaan gold ETF and Efund gold ETF as the research objects,explores the impact of the Covid-19 pandemic on the change trend of Chinese gold markets.The empirical results show that the cross-correlation relationship between Chinese gold spot market and gold ETF market not only presents different multifractal characteristics before and after the outbreak of the Covid-19,but also behaves differently under different trends with significant asymmetry.The Covid-19 pandemic obviously increased the risk of China's gold markets,and the cross-correlation between China's gold ETF market and spot gold market before the Covid-19 was more complex in the uptrend,while the cross-correlation between the two became more complicated in the overall trend during the pandemic.