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
Related Articles
- EP ID EP27355
- DOI -
- Views 340
- Downloads 11
Demographic Features of the Nigerian Household: Does It Matter For Poverty?
This paper examined the relationship between selected demographic characteristics of the household and poverty indicators across twelve states in the six geo - politics zones of Nigeria with a view to determining the e...
The Effect of Institutional Quality on the Export of Developing Countries
In this paper, we studied the effect of institutional quality on the export of developing countries by using a panel data model for 34 countries over the period 1984 to 2009. The results showed that monetary policies (s...
Determinants of Using Fixed-Term Contracts in the Egyptian Labor Market: Empirical Evidence from Manufacturing Firms Using World Bank Firm-Level Data for Egypt
Based on dual labor market theory, fixed-term contracts (FTCs) in the manufacturing sector in Egypt were analyzed to test the following hypothesis: Employers in the manufacturing firms use FTCs to adjust the level of e...
Consideration of Culture in the Development of Home Economics Curriculum in Nigeria
This paper tries to examine the consideration of culture in the development of Home Economics curriculum in Nigeria. The cultural element which the school draws from include the society’s values, norms, religion, belief...
Rethinking Attitude to Work in the Quest for Excellence: The Nehemiah’s Experience
The quest for excellence is not an end in itself, but rather dependent on other variables which include administrative and corporate attitude to work. This is important because while administrative policies will requir...