The dynamic relationships between gold futures markets: evidence from COMEX and TOCOM

Autor:	Kun-Hong Chen, Hui-Na Lin, Shu-Mei Chiang
Rok vydání:	2008
Předmět:	Economics and Econometrics Financial economics Economics Bivariate garch Volatility transmission Futures contract Finance
Zdroj:	Applied Financial Economics Letters. 4:19-24
ISSN:	1744-6554 1744-6546
DOI:	10.1080/17446540701262868
Popis:	This study employs a bivariate GARCH model to examine the dynamic relationships between two gold futures markets (COMEX and TOCOM) before and during gold's recent uptrend of the past few years. Results show that the performance of COMEX is better than TOCOM. However, TOCOM leads COMEX in the mean return. Volatility transmission effects exist in both COMEX and TOCOM. While the responses to good news and bad news are symmetrical in TOCOM, they are asymmetric in COMEX.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::638bd4530ed44a7bc8046e24b58cf366 https://doi.org/10.1080/17446540701262868 Zobrazit plný text záznamu Plný text ve formátu PDF