Please use this identifier to cite or link to this item: https://scholarhub.balamand.edu.lb/handle/uob/2684
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dc.contributor.authorBouri, Elieen_US
dc.contributor.authorRoubaud, Daviden_US
dc.contributor.authorJammazi, Raniaen_US
dc.contributor.authorAssaf, Ataen_US
dc.date.accessioned2020-12-23T09:18:16Z-
dc.date.available2020-12-23T09:18:16Z-
dc.date.issued2017-
dc.identifier.urihttps://scholarhub.balamand.edu.lb/handle/uob/2684-
dc.description.abstractWe 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.en_US
dc.language.isoengen_US
dc.subjectImplied volatilityen_US
dc.subjectGolden_US
dc.subjectIndian equitiesen_US
dc.subjectFrequency domain causalityen_US
dc.titleUncovering frequency domain causality between gold and the stock markets of China and India: evidence from implied volatility indicesen_US
dc.typeJournal Articleen_US
dc.identifier.doi10.1016/j.frl.2017.06.010-
dc.contributor.affiliationDepartment of Business Administrationen_US
dc.description.volume23en_US
dc.description.startpage23en_US
dc.description.endpage30en_US
dc.date.catalogued2017-12-04-
dc.description.statusPublisheden_US
dc.identifier.ezproxyURLhttp://ezsecureaccess.balamand.edu.lb/login?url=https://doi.org/10.1016/j.frl.2017.06.010en_US
dc.identifier.OlibID175356-
dc.relation.ispartoftextJournal of finance research lettersen_US
dc.provenance.recordsourceOliben_US
Appears in Collections:Department of Business Administration
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