Information Risk Conduction Mechanism between Oil Futures Market and Gold Market

摘要

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.