The Price Linkage between Oil, Gold, Stock and Exchange Rate Based on Vine Copula

5th Annual International Conference on Material Engineering and Application

工业技术（总论）;材料科学

Sun, Huan^1

School of Computer and Information, Hohhot Vocational College, Inner Mongolia

010051, China^1

关键词: Correlation measures;    Driving effect;    Exchange rates;    Gold market;    Market economics;    Oil market;    On vines;    Price changes;   

Others  :  https://iopscience.iop.org/article/10.1088/1757-899X/484/1/012021/pdf
DOI  :  10.1088/1757-899X/484/1/012021

来源: IOP

【 摘 要 】

With the development of China's economy and the deepening of the reform of the socialist market economic system, the relationship between different markets has increased and the relationship is becoming more complex, which poses new challenges to the portfolio and risk management of the market. Therefore, this paper empirically analyses the relationship between the price of China's oil market, the gold market, the stock market and the foreign exchange market by using the correlation measure based on Vine copula. The results show that the oil market occupies the dominant position in the four markets, and the price changes in other markets have a driving effect, and the lower tail correlation among the markets is generally higher than that of the upper and tail correlation, showing asymmetric correlation and thick tail. These results show that the risk price linkage among markets is more closely and the risk is more contagious in the extreme cases.