Dynamic Price Integration in the Global Gold Market

Chang, Chia-Lin and Chang, Jui-Chuan Della and Huang, Yi-Wei (2012): Dynamic Price Integration in the Global Gold Market.

Abstract

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
• Language: English
• 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 ; Diffusion Processes

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