白银市场与黄金市场收益率波动溢出效应研究

1、 Empirical analysis of return volatility spillover effect between silver market and gold market Chang Lijuan Liu Deyun Xu Yanhong International Business School of Shaanxi Normal University xi an 710062 Abstract: Investment of Silver and gold has not only become an important choice for investors, but

2、 also is the key research in financial field. After summing up the domestic and foreign relevant studies, bases on Oct. 31, 2006 to Dec. 24 2010, daily data and sets up a corresponding ARCH family model to analyze the volatility, volatility asymmetry and its fluctuation spillover effect of yields of

3、 two precious metals which are silver and gold. The results showed that there are significant variance dynamicity between this two kinds of precious metals and news has durability to fluctuation, and the fluctuation of silver is greater than that of gold; GARCH (1, 1 model can eliminate the ARCH eff

4、ect well, and in both kinds of precious metals there are obviously asymmetric, which is that fluctuations caused by good news is deeper than that of bad news .there are mutual influences between this two kinds of precious metals ， but the effect of gold for silver is greater than that of silver for

5、gold . The results of the study may have some effective suggestion for investors to take reasonable investment strategy. Key words: Silver daily returns; Golden daily of yield; The ARCH effect; Asymmetry; Fluctuation spillover effect 基金项目: 陕西师范大学“211”工程三期重点学科建设项目“中国特色社会主义发展经济学研究”和 陕西师范大学人文社会科学研究基金项目(995618）和陕西师范大学“211 工程”基金项目 中小企业担保机构风险评价与管理研究。 作者简介： 常丽娟（1963），女，河北定兴人，陕西师范大学国际商学院副教授、管理学博 士、硕士生导师，研究方向：企业财务理论与实践、公司理财、公司财务评价等。 刘德运（1984），男，云南曲靖人，陕西师范大学国际商学院企业管理硕士研究 生，研究方向：实证会计与公司金融。 许燕红（1987），女，湖南岳阳人，陕西师范大学国际商学院数量经济学硕士研究 生，研究方向：金融工程。