The dynamic relationships between gold futures markets: evidence from COMEX and TOCOM

Shu‐Mei Chiang

24 citations0/0 files storedApplied Financial Economics Letters

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

Abstract

This study employs a bivariate GARCH model to examine the dynamic relationships between two gold futures markets (COMEX and TOCOM) before and during gold's recent uptrend of the past few years. Results show that the performance of COMEX is better than TOCOM. However, TOCOM leads COMEX in the mean return. Volatility transmission effects exist in both COMEX and TOCOM. While the responses to good news and bad news are symmetrical in TOCOM, they are asymmetric in COMEX.

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1990The Excess Co-Movement of Commodity Prices 1995Asymmetric volatility transmission in international stock markets 1995Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets 1999Price discovery and volatility spillovers in the DJIA index and futures markets 1999Who Moves the Asia‐Pacific Stock Markets—US or Japan? Empirical Evidence Based on the Theory of Cointegration 2003Information Flows Between the U.S. and China Commodity Futures Trading 2003Price Volatility Spillover in Agricultural Markets: An Examination of U.S. Catfish Markets

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