Information Risk Conduction Mechanism between Oil Futures Market and Gold Market

DOI

10.2991/iccese-17.2017.156How to use a DOI?

Keywords

crude oil futures; gold futures; information risk conduction; cointegration analysis

Abstract

Oil market and gold market both have the characteristics of commodity market and financial market. The paper analysis information risk transmission mechanism between crude oil futures market and gold futures market. On the selection of West Texas Intermediate crude oil futures and gold futures price data, the relationship between oil prices and gold prices by linear Engle-Granger cointegration association is analysised. The results show that the financial attributes of gold are stronger, and the volatility of gold futures prices will affect the volatility of oil futures prices. In the relaxation of confidence level, oil futures prices and gold futures prices show two-way linkages.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Lihong Li
PY  - 2017/05
DA  - 2017/05
TI  - Information Risk Conduction Mechanism between Oil Futures Market and Gold Market
BT  - Proceedings of the 2017 International Conference on Culture, Education and Financial Development of Modern Society (ICCESE 2017)
PB  - Atlantis Press
SP  - 613
EP  - 617
SN  - 2352-5398
UR  - https://doi.org/10.2991/iccese-17.2017.156
DO  - 10.2991/iccese-17.2017.156
ID  - Li2017/05
ER  -