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A Research on Volatility of World Gold Price in the Past Ten Years

Author: ChengXiaoMing
Tutor: DaiJianBing
School: Hebei University of Economics
Course: Finance
Keywords: gold price gold ETF holdings volatility cointegration test
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Type: Master's thesis
Year: 2014
Downloads: 5
Quote: 0
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Abstract


For the domestic gold market,2013is a critical year, Cathay Pacific Gold ETF issued aformal approach, marking the Chinese gold market launched its own gold ETF products.Since the gold ETF listed from2003, it has become the price of gold around the major forcein the international gold market after decades of development. Gold ETF holdings, is thecumulative total of the contract when the daily closing gold ETF provider does not unwind.Because gold ETF is tracked fluctuations in the spot price of gold, each share of the goldETF corresponds to the same proportion of spot gold, gold share redemption and subscriptioncorresponds to trading spot gold market, gold and, therefore, affect significant fluctuations inthe price of gold. Gold ETF holdings reflectes the gold ETF holdings of gold spot whenpositions rose gold ETF providers need to increase gold purchases in the spot gold market,thus expanding the demand for gold, and then push gold prices rise; Conversely, gold ETFholdings fell, fund managers are forced to sell gold in the spot market, resulting in the goldmarket supply increases, the price of gold fell. With the rise in gold ETF influence in theinternational gold market forces, the positions even more than the gold reserves of manycountries. Fluctuations in gold ETF holdings have an impact on the gold price surge can notbe ignored.The movements in gold ETF holdings had a significant impact in the gold crash duringthe2013.From April2013, the international spot price of gold plummeted13%cumulative,and before the slump began, the world’s largest gold ETF: SPDR Gold Share (GLD),it’sholding significantly decreased from1217tons to1,134.79tons,which led to the slump inlarge part.Firstly, the use of ARCH model for volatility characteristics of gold price in the empiricalanalysis. Found that fluctuations in the gold price return series has a strong and persistentvolatility clustering. Then use the real date of the gold ETF holdings frequency data, toempirical analysis its price discovery function.Through the price of gold and gold ETFholdings ADF stationary test data found that they are non-stationary time series. But after a first-order differential treatment, both by the EG cointegration test, indicating the existenceof a stable long-run equilibrium relationship between the two.Subsequently, the paperestablishes the vector error correction model (VEC) to specific research between stock indexfutures and spot prices deviate from short-term to long-run equilibrium adjustment process.Next, two time series Granger causality test, found between showing and stock index futuresprices in the spot market price of a one-way relationship guide, gold ETF positions forGranger causality reasons the price of gold.Finally, the empirical part of this paper summarizes and discusses the significance of thedevelopment of the gold ETF and measures.

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