摘要
本文为研究黄金现货价格和黄金股价格有何相关性,分别用黄金现货收益率和黄金矿业股红利收益率代表黄金现货价格和黄金股价格,使用eviews7.0建立VAR模型,对黄金现货收益率、黄金矿业股红利收益率变量和通货膨胀率三个变量2009年1月至2015年9月的月度数据进行相关性检验。得出结论:考虑通货膨胀的情况下,黄金现货收益率对黄金矿业股红利收益率有着显著解释能力,黄金现货价格会升高,在短期内黄金价格上涨引起黄金股价的上升,长期内影响逐渐衰减为零。研究结果可应用于短期黄金价格波动时,黄金矿业股收益的预测以及黄金投资的风险对冲。
The primary aim of this paper is to examine the correlation between the gold spot prices and gold stocks price.Firstly,According to the mathematical formula,the gold spot yield and gold mining stock yield can represent the gold spot price and gold mining stocks.Secondly,the VAR model is set up by using eviews7.0 to test the correlation among the return of gold stocks,the spot gold price and inflation rate from monthly datum over the period from January 2009 to September 2015.Finally,It draw a conclusion.,gold spot price has a significant explanation to the gold mining stocks price.As the spot gold price rise,the stock price will rise in the short term.But in the long-term the effect is gradually fading to zero.The results can be applied to the forecast of gold mining stocks yield and the risk hedging of gold investment in the short term.
出处
《中国矿业》
北大核心
2016年第S1期204-208,共5页
China Mining Magazine
