A Study on the Risk of Portfolio: The Relationship among Red Wine, Crude Oil, Gold and Stock

This paper use unit root test,Granger causality test ,vector autoregression model(VAR) to discuss the relationship and the interactive imact among Liv-ex 50,US dollar index, Volitility Index, Dow Jones Industrial Average , West Texas Interm ediate and New York Gold from Jan,2001 to Dec.2015. According to the result of unit root test,each variable is I(1) time series. Vector autoregression model shows that Liv-ex50 was positive affected by “one lags of itself”, USDI was positive affected by “one lags of Dow Jones Industrial Average” and WTI were affected by “one lags of itself,USDI and VIX”.Granger causality test founded a unidirectional causality running from USDI to Liv-ex 50;from VIX,DJIA,Liv-ex50 to WTI. The impulse response analysis showed the impact from Liv-ex 50 to itself last long time.The impulse from other variables to VIX and gold were unobvious and the results were just like VAR model. In a conclusion,the portfolio including the six variables can diversification the risk.