The Linkage Between International Gold Price and Chinese Stock market


  • Shaoheng Zhan



Copula, stock market, linkage analysis, gold, tail correlation.


Based on the related theory of stock market linkage, this paper uses the Copula model to analyze the correlation between international gold market and the Chinese stock market. The three important nodes of the process of financial and economic internationalization in China are analyzed in stages. According to the results, the correlation between the international gold market and the Chinese stock market is weak in general, when China does not join the WTO, the Chinese stock market and the international gold market are asymptotically independent; with the gradual deepening of China's internationalization process, the tail correlation between the two is gradually increasing.


Download data is not yet available.


Andersson, M., Krylova, E., and V h maa, S.: Why does the Correlation between Stock and Bond Returns Vary Over Time, Applied Financial Economics, Vol. 18 (2008) No. 2, 139-151.

Barsky R. Why don't the prices of stocks and bond move together, American Economic Review, vol.79 (1989) No. 5, 132-1145.

Anthony F. Herbst. Gold versus U.S. Common Stocks: Some Evidence on Inflation Hedge Performance and Cyclical Behavior, Financial Analysts Journal, Vol.39 (1983) No.1, 66-74.

Brian H., Boyer. Tomomi Kumagai and Kathy Yuan: How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices, The Journal of Finance, Vol. 61 (2006) No.2, 957-1003.

Dirk G. Baur and Thomas K. McDermott. Is Gold a Safe Haven? International Evidence, Journal of Banking & Finance, Vol. 34 (2010), 1886-1899.

Xie Shiming: Study of Co-Movement between A&H Stocks under Shanghai-Hong Kong Stock Connect (Southwestern University of Finance and Economics, China 2016)

Wang Tao, Dong Meisheng. Research on the Dynamic Interaction of the Stock Market of Shenzhen andHong Kong Influenced by Shenzhen-Hong Kong Stock Connect Program, Journal of Regional Financial Research, Vol.11 (2018), 5-14.

Wu Sinian: The Research of Co-movement Between Stock Markets of B&R Countries and China——Based on DCC-GARCH Model (Nanjing University, China 2020)

Peng Rui: Research on the linkage between international crude oil market and Chinese stock market (Southwestern University of Finance and Economics, 2019)

Sun Yizhao: Study on the linkage between CSI 300 stock Index futures and GEM market (Nanjing University, China 2019)

Li Yaling. Linkage analysis of Shanghai, Shenzhen and Hong Kong stock markets based on Copula function (Journal of ABC University, China 2014), p.73-74 (In Chinese)

Luan Jun: Research on the linkage of Chinese stock and bond market based on Copula model (Dongbei University of Finance and Economics, China 2012)

Cheng-ping wang. Analysis the linkage of returns between Chinese stock market industries based on DCC-GARCH model, China market, vol.8 (2019), 41-42.

Xie Jinyun: Empirical study on gem risk in China based on GARCH model (Hunan University, China 2012)

Yao Qiong, Study on the linkage nature of Shanghai-Shenzhen-Hong Kong stock markets based on GJR-GARCH-DCC model (Graduate Journal of Zhongnan University of Economics and Law, 2012) p.85-93 (In Chinese)

Xia Zhi Xi'an. Interlinkage among Asian stock markets based on Vine-Copula model (Hunan University, China 2017)

Li Mengxuan, Zhou Yi. Research on the Linkage of China's stock market based on Time-varying Copula, Business Economy, vol.8 (2011), 109-112.

Li Wanli: Research on the linkage of China's gold and crude oil spot market based on time-change Copula (East China University of Science and Technology, China 2018)

Wang Yuwei: Measurement test of linkage between Sino-US and European stock indexes based on Copula model of rattan structure (Jilin University, China 2015)

Liuling: The Research on the Spillover Effect of the Rate of Return Between Stock Market and Gold Market (Chengdu University of Technology, China 2019)

Zhu Jingyu: Yield relationship and substitution effect between gold price and U.S. stock index (Fudan University, China 2012)







How to Cite

Zhan, S. (2024). The Linkage Between International Gold Price and Chinese Stock market. Frontiers in Humanities and Social Sciences, 4(1), 165-177.

Similar Articles

1-10 of 314

You may also start an advanced similarity search for this article.