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

Authors :
Kun-Hong Chen
Hui-Na Lin
Shu-Mei Chiang
Source :
Applied Financial Economics Letters. 4:19-24
Publication Year :
2008
Publisher :
Informa UK Limited, 2008.

Abstract

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.

Details

ISSN :
17446554 and 17446546
Volume :
4
Database :
OpenAIRE
Journal :
Applied Financial Economics Letters
Accession number :
edsair.doi...........638bd4530ed44a7bc8046e24b58cf366