【摘 要】
：
In this study,we apply the VECM,Hasbrouck (1995) Information Share model and Dynamic Conditional Correlation Multivariate GARCH model,proposed by Engle(2002),to investigate price discovery and dynamic
【机 构】
：
University of Electronic Science and Technology of China;The Sichuan Branch of China Construction Ba
论文部分内容阅读
In this study,we apply the VECM,Hasbrouck (1995) Information Share model and Dynamic Conditional Correlation Multivariate GARCH model,proposed by Engle(2002),to investigate price discovery and dynamic correlation change among spot,futures and ETF in China and America gold markets.The sample data are from November 18,2004 to November 17,2008.The empirical findings are as follows:(1) China gold spot,America gold futures and ETF exist a cointegration relationship and long run equilibrium; (2) Estimated coefficients of the vector error correction model suggest that price adjustment takes place in the China gold spot market,but not in the America gold market.
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