The dependence structure analysis among gold price, stock price index of gold mining companies and Shanghai composite index

This paper used different copula-based GARCH models (Copula-GARCH model and Copula-GJR-GARCH model) to analyze the dependence structure among gold price, stock price index of gold mining companies and Shanghai Composite Index in China. The empirical results found that the suitable margins were skew-t distribution, and the GJR-GARCH marginal distribution had better explanatory ability than the GARCH model. Moreover, we found the Clayton copula had the highest explanatory ability of the dependence structure for all series. There existed positive dependence in the rates of return for all series, and the dependence between these markets will be closer with the gradual integration of international financial market.