Please use this identifier to cite or link to this item:
|Title:||Uncovering frequency domain causality between gold and the stock markets of China and India : Evidence from implied volatility indices||Authors:||Bouri, Elie
|Affiliations:||Department of Business Administration||Keywords:||Implied volatility
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|
Show full item record
checked on Oct 16, 2021
checked on Oct 18, 2021
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.