An International Comparative Study On The Dependence Of Oil,Gold And Stock Market

In the context of global economic integration,the dependence between different financial markets is getting closer and closer.An uncertain event in the financial system may bring impact to one market or several markets.The possibility of simultaneous rising or falling between different markets is increasing.As an important investment product in the commodity market,oil and gold are not only symbolic indicators of global economic,but also the changes of their price have a significant relationship with the price fluctuations in the stock market.Studying the dependence between multiple variables can not only explore the specific dependence structure between different variables,but also have important guiding significance for building multiple investment portfolios.In this context,the paper uses the Vine-Copula method to study the dependence between oil,gold,and five international stock markets,and explores the dependence between multiple markets.This paper is divided into six parts.The first chapter is the introduction.It mainly introduces the research background and the significance of the research as well as the combing of relevant documents.Chapter 2 makes a theoretical analysis of the dependence between oil,gold,and stock markets from three perspectives.Chapter 3 gives a brief introduction to the econometric models involved in the research process,and it is the basis of the empirical research in Chapter 4.In Chapter 4,this paper uses the Vine-Copula model to analysis of sample data of oil,gold and five stock markets,and gives the dependence coefficient between multi-dimensional variables.And Chapter 4 explores the changes in the dependence structure between variables before and after the financial crisis.Chapter 5,based on the empirical research in Chapter 4,analyzes the research results of this paper,and gives advice on investment and risk management.The last part is the conclusion of this paper.It sums up the research on the dependence between oil,gold and stock market,and gives a comprehensive conclusion.When the paper uses Vine-Copula to estimate oil,gold,and five stock markets,the sample data is first processed.First,the paper uses the AR(1)-GJR(1,1)-t model to calculate the standard residual of the sample.Then we use the GPD method to fit the standard residual sequence and perform probability density transformation,getting a uniform distribution on [0,1].Finally,we use the Vine-Copula function to estimate the dependence of 7 variables under high dimensional conditions.The results of the study show that the international dependence between oil,gold,and stock markets is significant and presents a dynamic dependence structure.First of all,the dependence and dependence structure between variables will change with the different research periods.Secondly,during the financial crisis from 2007 to 2009,the dependence structure between variables was affected by the financial crisis and structural changes occurred.The Copula connection function between the two variables has changed from a copula function that is not very sensitive to the tail dependence to a copula function that is sensitive to the tail risk.During the entire financial crisis,the tail dependence between variables quickly increased.Finally,our results show that by introducing a conditional market into a portfolio with high non-conditional dependence coefficients,the conditional relevance of most portfolios can be reduced.This research result can be used as one of the references for asset allocation of transnational portfolios.