Please use this identifier to cite or link to this item: https://scholarhub.balamand.edu.lb/handle/uob/2684
Title: Uncovering frequency domain causality between gold and the stock markets of China and India : Evidence from implied volatility indices
Authors: Bouri, Elie
Roubaud, David
Jammazi, Rania
Assaf, Ata 
Affiliations: Department of Business Administration 
Keywords: Implied volatility
Gold
Indian equities
Frequency domain causality
Issue Date: 2017
Part of: Journal of finance research letters
Volume: 23
Start page: 23
End page: 30
Abstract: 
We use implied volatility indices and examine short-term and long-term causality dynamics between gold and the Chinese and Indian stock markets from March 2011 to March 2017. We uncover some interesting predictability patterns that differ along the spectrum. Importantly, we find significant bi-directional effects between gold and the Chinese and Indian stock markets in both high and low frequencies, suggesting that the safe-haven property of gold is not stable. Our results are robust in the out-of-sample forecasting exercises.
URI: https://scholarhub.balamand.edu.lb/handle/uob/2684
DOI: 10.1016/j.frl.2017.06.010
Ezproxy URL: Link to full text
Type: Journal Article
Appears in Collections:Department of Business Administration

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