Download pdf
The Fluctuation Characteristics and Risk Investigation of China's Gold Future Market
- 1 Financial Engineering, Northwest University of Political Science and Law, Xi’an, China
* Author to whom correspondence should be addressed.
Abstract
This paper deeply explores the fluctuation characteristics and risks of China's gold futures market. Through the collection of data on macroeconomic factors, stock index interest rates, and energy futures, the paper employs multiple linear regression models and intermediary variable models to quantitatively analyze the impact of these factors on the volatility of gold futures prices. The research finds that there is a significant positive correlation between the gold futures price and the growth of the U.S. GDP and the silver futures price index, while the impact of other macroeconomic indicators such as China's gold reserves and the inflation rate is not significant. Policy support and market regulation play a key role in the healthy development of the market, and the broad participation of market participants and the innovation of financial products have driven the diversification of the market. The intermediary effect analysis shows that the impact of macroeconomic factors on the gold futures price is partially indirect through the intermediary variable of stock index interest rates.
Keywords
Gold Futures, Fluctuation Characteristics, Risk Influencing Factors
[1]. Wang, Z. C. (2024). Study on the volatility characteristics and risks of the Chinese gold futures market [in Chinese]. Fudan University.
[2]. Liu, X. J. (2016). Research on the volatility characteristics and risk measurement of the Chinese gold futures market [in Chinese]. Capital University of Economics and Business.
[3]. Shi, Z. B. (2024). Analysis of the factors affecting gold futures prices. Proceedings of the Seminar on Sustainable Development of Society and Economy in the New Era [in Chinese]. Beijing Investment Promotion Service Center.
[4]. Weng, H. (2023). Analysis of the correlation and basis impact factors of China's gold spot and futures prices [in Chinese]. Gold, 44(08), 5-9.
[5]. Sun, Z. (2023). Gold prices may remain high after continuous rise [in Chinese]. China Economic Times, (001).
[6]. Yan, H. X. (2022). Empirical analysis of factors affecting gold prices and suggestions [in Chinese]. Shanghai University of Finance and Economics.
[7]. Li, J. T. (2021). Analysis of factors influencing the trend of gold prices [in Chinese]. University of International Business and Economics.
[8]. Xia, Y. (2022). Research on price linkage and volatility spillover effects in the Sino-US soybean futures markets [in Chinese]. Zhejiang Ocean University.
[9]. Liu, Z. Q. (2021). Study on the volatility risk of China's sugar import prices [in Chinese]. Heilongjiang University.
[10]. Yan, R. Z., Yue, D., Wu, X., & Gao, W. (2022). Analysis and forecasting of nonlinear characteristics of liquidity and volatility trends in the Chinese stock index futures market [J] [in Chinese]. Operations Research and Management, 31(11), 200-205.
[11]. Hu, Y. N. (2021). Volatility characteristics and risk measurement of the gold market [in Chinese]. New Finance, (02), 57-62.
[12]. Wang, Y. J. (2021). Empirical study on the volatility and its influencing factors of the Chinese crude oil futures market [in Chinese]. Changsha University of Science & Technology.
[13]. Liu, J. (2021). Efficiency test of the Chinese gold futures market [in Chinese]. Capital University of Economics and Business.
Cite this article
Wang,S. (2024). The Fluctuation Characteristics and Risk Investigation of China's Gold Future Market. Advances in Economics, Management and Political Sciences,94,211-220.
Data availability
The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.
Disclaimer/Publisher's Note
The statements, opinions and data contained in all publications are solely those of the individual author(s) and contributor(s) and not of EWA Publishing and/or the editor(s). EWA Publishing and/or the editor(s) disclaim responsibility for any injury to people or property resulting from any ideas, methods, instructions or products referred to in the content.
About volume
Volume title: Proceedings of ICFTBA 2024 Workshop: Finance in the Age of Environmental Risks and Sustainability
© 2024 by the author(s). Licensee EWA Publishing, Oxford, UK. This article is an open access article distributed under the terms and
conditions of the Creative Commons Attribution (CC BY) license. Authors who
publish this series agree to the following terms:
1. Authors retain copyright and grant the series right of first publication with the work simultaneously licensed under a Creative Commons
Attribution License that allows others to share the work with an acknowledgment of the work's authorship and initial publication in this
series.
2. Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the series's published
version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgment of its initial
publication in this series.
3. Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and
during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See
Open access policy for details).