The Empirical Analysis Of Holiday Effect For Chinese Gold Markets

The regular of Gold price volatility is different from ordinary commodities, its price has become the focus of many scholars all the world and the importance of their research. After the global financial crisis in 2008, gold has become another important investment and hedging tool except stock, bond, fund. In recent years, the gold price, influenced by many factors, has experienced a different degree of rose and fell. As gold investment finance and investment tools into the people day by day, the future of gold prices judgment also is particularly important.This paper is doing the holiday effect empirical analysis for the Chinese gold price,by using the theory and methods of Application of measuring classics and statistics.The holiday effect whether has a excess earnings or abnormal volatility before and after the holiday or not. Based on China’s gold market actual situation,this paper use the day date of AU9999 between December 2006 and March 2014, combined with GARCH, EGARCH, TGARCH,PGARCH model empiric the existence and continuity of China’s gold market holiday effect. Analysis found that Chinese gold market exists obvious holiday effect, which before and after the New Year’s day, before and after the Spring Festival, after eleven holiday effect obviously.The main ideal of this paper include:The first part, introduction. In this chapter, detailed expounds the research background of this paper, the practical significance and theory significance of this paper, the research status at home and abroad about the holiday effects, finally say the method in this paper.The second sector, analysis the cause of the holiday effect. In this part, the article analyzed from various angles the cause for gold spot market holiday effect in China. The main reason are: the national policy, the mood of investors, CPI, and the oil market.The third part, the holiday effect empirical analysis. In this chapter, expounds the way andThe method of empirical analysis systematically. On the basis of the descriptive statistics analysis on the gold market, continue to use GARCH and EGARCH, TGARCH, PGARCH model, expecting to achieve better results.The fourth part, conclusion and policy recommendations. In the previous of the research, the conclusion is gold spot market have obviously holiday effects in China, including before and after the New Year’s day, Spring Festival effects are obvious. And then further clarifies the root reason of the holiday effects in the gold market. Finally, based on the status of Chinese gold market made some investment suggestions for the gold market participants.The innovation of this paper:First, make up the blank of the research in Chinese gold market holiday effects, not only study the gold market’s pre-holiday effect. At the same time studied the effect after holiday. The holiday effects time is defined as the first five days.Second, on the basis of descriptive statistics for the gold market of our country, and further use GRACH, PGARCH, EGARCH, TGARCH model inspect the date.