English, Article edition: The dynamic relationships between gold futures markets: evidence from COMEX and TOCOM Hui-Na Lin; Shu-Mei Chiang; Kun-Hong Chen

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Bookmark: http://trove.nla.gov.au/version/50606
Physical Description
  • article
Language
  • English

Edition details

Title
  • The dynamic relationships between gold futures markets: evidence from COMEX and TOCOM
Author
  • Hui-Na Lin
  • Shu-Mei Chiang
  • Kun-Hong Chen
Physical Description
  • article
Notes
  • 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.
  • RePEc:taf:apfelt:v:4:y:2008:i:1:p:19-24
Language
  • English
Contributed by
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