The Relationship and Spillover Effects between Chinese and Foreign Gold Markets an Empirical Study based on Var-Mvgarch-Bekk Model
Journal Title: Journal of Empirical Economics - Year 2014, Vol 3, Issue 1
Abstract
In order to investigate the inner relationship and spillover effects among international gold markets, this paper, by constructing a VEC model based on cointegration theory and taking Chinese Shanghai gold market and London gold market for example, analyzes the interactions among Chinese and foreign principle gold markets, while by using VAR-BEEK-MVGARCH model, this paper also investigates the spillover effects within aforementioned markets. The results indicate that there is perennial equilibrium relationship between Shanghai and London gold markets and there are volatility clustering and persistence, i.e., ARCH effects, and except that, there is only unidirectional volatility spillover effect from London gold market to Shanghai gold market while there are significant bidirectional mean and volatility spillover effects.
Authors and Affiliations
Guo Jianhua, Xu Songjin
Keywords
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- EP ID EP27355
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