Chang, Chia-Lin and Chang, Jui-Chuan Della and Huang, Yi-Wei (2012): Dynamic Price Integration in the Global Gold Market.
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This paper examines the inter-relationships among gold prices in five global gold markets, namely London, New York, Japan, Hong Kong (since 1 July 1997, a Special Administrative Region (SAR) of China), and Taiwan. We investigate the linkages between Taiwan and the other global gold markets to provide insights for useful investment strategies. The augmenting level-VAR models proposed by Toda and Yamamoto (1995) show that the empirical results find bi-directional causality between the London and New York gold markets, and uni-directional causality from New York to the other markets. In this sense, the New York market has gained a leading role in affecting global gold markets. This empirical finding serves as a predictor for the gold price in global markets.
|Item Type:||MPRA Paper|
|Original Title:||Dynamic Price Integration in the Global Gold Market|
|Keywords:||Global gold market, Dynamic price integration, Toda-Yamamoto Procedure, Augmenting level-VAR models|
|Subjects:||E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E31 - Price Level; Inflation; Deflation
G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets
C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
|Depositing User:||Chia-Lin Chang|
|Date Deposited:||01. Oct 2012 13:35|
|Last Modified:||12. Feb 2013 12:40|
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