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Non-linear Dependencies in Gold and Stock Prices: A Multivariate Analysis

Journal: AIMS International Journal of Management (Vol.11, No. 1)

Publication Date:

Authors : ; ;

Page : 21-34

Keywords : Gold Return; Stock Market Return; Multivariate GARCH; Market Spillover; Contagion Effect; Volatility Persistence; Non-linear Dependencies;

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Abstract

Risk mitigation process is dependent on the predictive capability of models; but no model is perfectly able to capture the price structures. Gold which is one of the hedging tools has attracted less research attention compared to other asset classes. This paper examines the movements of gold price vis-a-vis stock market. A series of univariate and multivariate GARCH models applied discard the dependencies in the two markets. The impulse response validates the results obtained. Hence dynamic relationship among gold and stock market does not exist. However, gold market shows persistence of volatility.

Last modified: 2017-04-27 21:00:03