Non-linear Dependencies in Gold and Stock Prices: A Multivariate Analysis
Journal: AIMS International Journal of Management (Vol.11, No. 1)Publication Date: 2017-01-27
Authors : Afsal E. M; T Mallikarjunappa;
Page : 21-34
Keywords : Gold Return; Stock Market Return; Multivariate GARCH; Market Spillover; Contagion Effect; Volatility Persistence; Non-linear Dependencies;
- Non-linear Dependencies in Gold and Stock Prices: A Multivariate Analysis
- THE EFFECT OF INTERNATIONAL CRUDE OIL PRICES AND GOLD PRICES ON THE INDIAN STOCK MARKET (S&P BSE SENSEX): AN EMPIRICAL STUDY (1986-2017)
- Oil Prices and Sectoral Stock Prices with Mining Sector Stock Prices in the Exporting Countries as well as Oil Importers
- GOLD AND OIL PRICES VERSUS STOCK EXCHANGE: A CASE STUDY OF PAKISTAN
- The Impact of Gold, Oil Prices, and their Associated Implied Volatilities on Performance of Pakistan’s Stock Market
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.
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Last modified: 2017-04-27 21:00:03