国际金价和上证综指对黄金矿业股的影响分析——以山东黄金为例

来源期刊：黄金2010年第12期

论文作者：杨帆

文章页码：4 - 8

关键词：国际金价； 上证综指； 山东黄金； 格兰杰因果关系检验； SVAR

Key words：international gold price； Shanghai composite index； SDHJ stock； Cranger test of causality； structural vector autoregression (SVAR)

摘    要：通过格兰杰因果关系检验和结构向量自回归等方法分析了国际金价和上证综指对山东黄金的影响。主要结论是:国际金价是山东黄金的格兰杰原因,而上证综指不能成为山东黄金的格兰杰原因;国际金价对山东黄金影响大约是上证综指的两倍;国际金价和上证综指对山东黄金的冲击都是长期的;国际金价对山东黄金波动的解释能力要明显强于上证综指。

Abstract: Using Cranger test of causality and structural vector autoregression method,the impacts of international gold price and Shanghai composite index on the stock of SDHJ are analyzed.The main conclusions are as follow,international gold price is the Granger cause of SDHJ,while Shanghai composite index is not;the impact of international gold price on SDHJ is about twice as that of Shanghai composite index;both the shocks that international gold price and Shanghai composite index impose on SDHJ are long-term;international gold price can explain the fluctuation of SDHJ better than Shanghai composite index.