Abstract
In this paper, five gold stocks in Chinese Shanghai and Shenzhen A-share and Comex gold futures are chosen to be the sample, for the purpose of analysing on the impact of the fluctuation of the international gold prices on the gold stocks in Chinese Shanghai and Shenzhen A-share. Using the methods of unit root test, Granger causality test, VAR model, impulse response function to comprehensively analyse the relationship between the price change of the international gold futures and the price fluctuation of gold stocks in Chinese Shanghai and Shenzhen. The result suggests that there is price-oriented relationship between gold stocks in Chinese Shanghai and Shenzhen and international gold futures, the power that international gold futures affect the Gold stocks in Shanghai and Shenzhen stock are stronger than the power that gold stocks in Shanghai and Shenzhen stock affect the international gold futures.