Researches On Gold Price And Gold Derivative Pricing

The fundamental focus of this doctoral dissertation is on the gold price and the gold derivatives pricing issue. The main contents of the dissertation consist of several important parts. The first important part is focused on the research of the return characteristics of the gold price and the characteristics of its fluctuation, as well as the relationship between its daily rate of return and the risk. Researches showed: the model of EGARCH (1, 1) can tally with the fluctuation of the gold price better. That indicates the gold price fluctuates with the characteristic of clustering. Namely, biggish fluctuation usually follows the big fluctuation and it’s the same with the lesser fluctuation. The gold prices goes higher or lower continuously with the time lapse. In the same time, the results of the regression analysis showed that in the gold market, the rate of return and the risk is highly positively related. Higher risk requires higher return. It shows that the gold market is highly competitive and the information in this market is abundant. In the long term, we can say it’s an effective market and can offer a higher risk premium to the investors.This dissertation also analyzes the factors that affect the gold price. The main factors include the US dollar Index, oil price, CPI, Dow Jones Index, the world gold reserve etc. Researches have showed that the gold price is positively related with the oil price, the federal funds rate and CPI; and it is negatively related with the US dollar Index and the Dow Jones Index; the relation between the gold price and the world gold reserve is not so significant.In this dissertation, a new kind of gold derivative is put forward by the author. This new kind of product is called Gold-Linked-Note. This dissertation also analyzes the pricing issue of this new product and the sensitivity of its yield to maturity. Firstly, it discusses the development and the classification of the universal financial derivatives-linked notes in the international capital markets. Secondly, it put forward a new kind of financial derivative product pegged to gold- Gold-Linked-Note based on the practical situation faced by the gold manufacturers. This kind of product provides the investors a guaranteed rate of return and can endow the investors with a fluctuating probable return.In addition, this dissertation also forecast the trend of the gold market in 2009. It points out that from October 2008; the financial crisis has quickly affected the entity economy of US. The word recession is not enough to describe the current situation of the entity economy. The evolution of the economy might be more unexpectable in the future. This crisis will not straighten up until the second of 2009 even with the most optimistic estimate. And in turn, if the recession of the entity economy affect the financial area, it will not be so easy to solve the problem. The unique virtue of the gold may make it much safer than other products under the dramatic changes of the global valuation system.