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

机译：黄金期货市场之间的动态关系：来自COMEX和TOCOM的证据

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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.

机译：这项研究采用双变量GARCH模型研究了过去几年黄金近期上涨之前和期间两个黄金期货市场（COMEX和TOCOM）之间的动态关系。结果表明，COMEX的性能优于TOCOM。但是，TOCOM在平均收益率方面领先COMEX。波动传递效应在COMEX和TOCOM中都存在。在TOCOM中，对好消息和坏消息的响应是对称的，而在COMEX中，它们的响应是不对称的。

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来源
《Applied Financial Economics Letters》 |2008年第3期|p.19-24|共6页
作者
Hui-Na Lin; Shu-Mei Chiang; Kun-Hong Chen;
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作者单位

Department of Finance and Banking, Chihlee Institute of Technology and Tamkang University, Taiwan;

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原文格式 PDF
正文语种 eng
中图分类财政、金融;
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The dynamic relationships between gold futures markets: evidence from COMEX and TOCOM

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