The Price Linkage between Oil, Gold, Stock and Exchange Rate Based on Vine Copula. (March 2019)

• Record Type: Journal Article
• Authors: Sun, Huan
• Is Part Of: IOP conference series. Volume 484(2019)
• Publication Date: 2019-03
• Subjects: Materials science -- Periodicals; 620.1105
• DOI: 10.1088/1757-899X/484/1/012021
• Languages: English
• ISSNs: 1757-8981

Abstract

Abstract: With the development of China's economy and the deepening of the reform of the socialist market economic system, the relationship between different markets has increased and the relationship is becoming more complex, which poses new challenges to the portfolio and risk management of the market. Therefore, this paper empirically analyses the relationship between the price of China's oil market, the gold market, the stock market and the foreign exchange market by using the correlation measure based on Vine copula. The results show that the oil market occupies the dominant position in the four markets, and the price changes in other markets have a driving effect, and the lower tail correlation among the markets is generally higher than that of the upper and tail correlation, showing asymmetric correlation and thick tail. These results show that the risk price linkage among markets is more closely and the risk is more contagious in the extreme cases.