Information Risk Conduction Mechanism between Oil Futures Market and Gold Market

被引：0

作者：

Li, Lihong ^{[1
,2
]}

机构：

[1] CUP, Sch Business Adm, Beijing, Peoples R China

[2] Univ Int Business & Econ, Sch Int Trade & Econ, Beijing, Peoples R China

来源：

PROCEEDINGS OF THE 2017 INTERNATIONAL CONFERENCE ON CULTURE, EDUCATION AND FINANCIAL DEVELOPMENT OF MODERN SOCIETY (ICCESE 2017) | 2017年 / 103卷

关键词：

crude oil futures; gold futures; information risk conduction; cointegration analysis;

D O I：

暂无

中图分类号：

C [社会科学总论];

学科分类号：

03 ; 0303 ;

摘要：

Oil market and gold market both have the characteristics of commodity market and financial market. The paper analysis information risk transmission mechanism between crude oil futures market and gold futures market. On the selection of West Texas Intermediate crude oil futures and gold futures price data, the relationship between oil prices and gold prices by linear Engle-Granger cointegration association is analysised. The results show that the financial attributes of gold are stronger, and the volatility of gold futures prices will affect the volatility of oil futures prices. In the relaxation of confidence level, oil futures prices and gold futures prices show two-way linkages.

引用

页码：613 / 617

页数：5

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