国内外黄金市场风险传染的实证研究  

Empirical Research on Risk Contagion in Domestic and Foreign Gold Markets

作　　者：王芙蓉[1] 吴奉刚[1] 

机构地区：[1]山东经济学院,山东济南250014

出　　处：《上海金融学院学报》2008年第4期11-16,共6页Journal of Shanhai Finance University

摘　　要：以国际黄金市场上具有代表性的伦敦黄金现货价格和我国上海黄金交易所的黄金现货价格作为研究对象,利用多元GARCH模型对国内外黄金市场的风险传染机制进行了实证研究。结果表明:伦敦黄金市场对我国黄金市场存在单方向的均值溢出效应;从波动溢出效应来看,伦敦黄金市场对我国黄金市场的风险传染强于我国黄金市场对伦敦黄金市场的风险传染,存在着风险传染的非对称性。This paper chooses two indexes of spot gold prices on London market and Shanghai Gold Exchange and investigates the mechanism of risk contagion in Domestic and Foreign Gold Markets through the multivariate GARCH model. The empirical study shows there exists mean spillover effect from London gold market to China＇s gold market. In the volatility spillover effects, the intensity of risk contagion from London gold market to China＇s gold market is stronger than the one from China＇s gold market to London gold market, which shows obvious asymmetry effect.

关 键 词：我国黄金市场 伦敦黄金市场 风险传染 

分 类 号：F830.94[经济管理—金融学]