Low-Frequency Volatility in China's Gold Futures Market and Its Macroeconomic Determinants

Liu Song; Tang Tingfei; McKenzie Andrew M.; Liu Yibin

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Low-Frequency Volatility in China's Gold Futures Market and Its Macroeconomic Determinants

机译：中国黄金期货市场的低频波动及其宏观经济决定因素

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We extract low- and high-frequency volatility from China's Shanghai gold futures market using an asymmetric Spline-GARCH (ASP-GARCH) model. We then regress monthly low-frequency volatility on selected monthly macroeconomic indicators to study the impact of macroeconomy on gold futures market and to test for excess volatility. Our main result is volatility in China's Shanghai gold futures market resulting from both macroeconomic fluctuations and investor behaviour. Chinese Consumer Price Index Volatility and US dollar volatility are the two main determinants of low-frequency gold volatility. We also find significant evidence of excess volatility, which can in part be explained in terms of loss-aversive investor behaviour.

机译：我们使用非对称样条-GARCH（ASP-GARCH）模型从中国的上海黄金期货市场提取低频和高频波动。然后，我们根据选定的每月宏观经济指标对每月低频波动率进行回归分析，以研究宏观经济对黄金期货市场的影响并测试过度波动性。我们的主要结果是宏观经济波动和投资者行为共同导致的中国上海黄金期货市场的波动。中国消费者价格指数波动率和美元波动率是低频黄金波动率的两个主要决定因素。我们还发现了过度波动的重要证据，这在某种程度上可以用损失平均的投资者行为来解释。

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《Mathematical Problems in Engineering》 |2015年第20期|646239.1-646239.8|共8页
作者
Liu Song; Tang Tingfei; McKenzie Andrew M.; Liu Yibin;
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South China Agr Univ, Coll Econ & Management, Guangzhou 510642, Guangdong, Peoples R China;

South China Agr Univ, Coll Econ & Management, Guangzhou 510642, Guangdong, Peoples R China;

Univ Arkansas, Dept Agr Econ & Agribusiness, Fayetteville, AR 72701 USA;

Univ Calif San Diego, Dept Econ, San Diego, CA 92093 USA;

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1. Low-Frequency Volatility in China’s Gold Futures Market and Its Macroeconomic Determinants [J] . SongLiu, TingfeiTang, Andrew M.McKenzie, Mathematical Problems in Engineering: Theory, Methods and Applications . 2015,第5期

机译：中国黄金期货市场的低频波动及其宏观经济决定因素
2. Low-Frequency Volatility in China’s Gold Futures Market and Its Macroeconomic Determinants [J] . SongLiu, TingfeiTang, Andrew M.McKenzie, Mathematical Problems in Engineering: Theory, Methods and Applications . 2015,第5期

机译：中国黄金期货市场的低频波动及其宏观经济决定因素
3. The macroeconomic determinants of commodity futures volatility: Evidence from Chinese and Indian markets [J] . Mo Di, Gupta Rakesh, Li Bin, Economic modelling . 2018,第APRa期

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5. Volatility in the futures markets for financial and physical commodity assets: The impact of high frequency data on the distributional properties and forecasting of volatility, direction-of-change probability forecasting and asymmetric volatility effects. [D] . Georgiev, Georgi Y. 2007

机译：金融和实物商品资产的期货市场中的波动性：高频数据对分布特性和波动性预测，变化方向概率预测和非对称波动性影响的影响。
6. Macroeconomic dataset for generating macroeconomic volatility among selected countries in the Asia Pacific region [O] . Yee Peng Chow, Junaina Muhammad, Bany Ariffin Amin Noordin, 2018

机译：宏观经济数据集用于在亚太地区某些国家之间产生宏观经济波动
7. Low-Frequency Volatility in China’s Gold Futures Market and Its Macroeconomic Determinants [O] . Song Liu, Tingfei Tang, Andrew M. McKenzie, 2015

机译：中国黄金期货市场及其宏观经济决定因素的低频波动

Low-Frequency Volatility in China's Gold Futures Market and Its Macroeconomic Determinants

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