The Research Of China’s Gold Market Price Bubble And Risk

Gold has three attributes:financial attribute、commodity attribute and monetary attribute. Meanwhile gold is also an important part of foreign exchange reserve. With the development of financial market, the international and domestic gold market is also growing at a high speed and more and more investors join the group of gold investment. At the same time the financial attributes has bigger influence on the price of gold.With the development of the gold market, a growing number of economists began to study on the gold market. Due to the China’s gold market started late, market system remains to be further improved which lead to the researches of the gold market in China is less than the international gold market research.The purpose of this paper is to test whether there is a price bubble in the gold market in China and calculate the value at risk of price risk and liquidity risk.Firstly this paper analyzes the development trend of the international gold and domestic gold historical prices to illustrate the importance of study of China’s gold market. And we introduce the innovation points and research structure of this paper. At the same time, we review the related literature about asset price bubbles and gold market.Then, in this paper we establish Generalized Autoregressive Conditional Heteroskedasticity model to estimate the price volatility of China’s gold market. Based on the analysis, we found that during the sample period the average return of China’s gold market is greater than zero and has the characteristics of volatility clustering.After the volatility analysis, we test the residuals of AR(2)-GARCH(1,1) whether there is a price bubble in the gold market in China. The results showed that there is a speculative bubble in the gold market in China.Asset price bubbles can bring risk to investors. In order to calculate the value at risk of China’s gold market, this paper combines the VaR model and GARCH model to calculate the value at risk of price risk and liquidity risk, analyze the relationship between the value at risk of price risk and liquidity risk.