Transactions of Nonferrous Metals Society of China The Chinese Journal of Nonferrous Metals

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中国有色金属学报(英文版)

Transactions of Nonferrous Metals Society of China

Vol. 29    No. 11    November 2019

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Influence factors of international gold futures price volatility
Hao WANG1, Hu SHENG1, Hong-wHH Hei zhang2,3

1. School of Business, Central South University, Changsha 410083, China;
2. School of Mathematics and Statistics, Central South University, Changsha 410083, China;
3. Institute of Metal Resources Strategy, Central South University, Changsha 410083, China

Abstract:Based on the commodity property and finance property of gold in the international gold futures market, the influence factors of international gold futures price volatility are analyzed from the perspectives of supply and demand factors, financial factors and speculation factors. The structural vector autoregression (SVAR) model is applied to investigating the direction and strength of the effects of influence factors on the international gold futures prices and the variance decomposition approach (VDA) is used to compare the contributions of these factors. The results show that the supply and demand factors still play a fundamental role in the international gold futures price volatility and the role of “China’s gold demand” is exaggerated. The financial factors and speculation factors have significant impacts on the international gold futures price volatility, which reflects that the financial property of gold becomes increasingly important. Governments and investors should pay close attention to the financial property of gold futures.

 

Key words: gold futures; supply and demand factors; financial factors; speculation; structural vector autoregression (SVAR) model

ISSN 1004-0609
CN 43-1238/TG
CODEN: ZYJXFK

ISSN 1003-6326
CN 43-1239/TG
CODEN: TNMCEW

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