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The dynamic causality between gold and silver prices in China market: A rolling window bootstrap approach

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  • Liu, Guo-Dong
  • Su, Chi-Wei

Abstract

This paper examines the dynamic causality between the returns of gold and silver in China market for the period October 2006–October 2017. With the existence of structural changes in full sample, a rolling window bootstrap approach is employed to revisit the dynamic causal relationship. Our results demonstrate that gold has both significant positive and negative impacts on silver in multiple sub-periods while not vice versa. It is critical for investors to notice the unidirectional causal relationship from gold to silver under specific backgrounds. Our findings provide implications on the trading strategies of portfolio investment, producers hedging and statistical arbitrage.

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  • Liu, Guo-Dong & Su, Chi-Wei, 2019. "The dynamic causality between gold and silver prices in China market: A rolling window bootstrap approach," Finance Research Letters, Elsevier, vol. 28(C), pages 101-106.
    • Handle: RePEc:eee:finlet:v:28:y:2019:i:c:p:101-106
    DOI: 10.1016/j.frl.2018.04.007
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    2. Woraphon Yamaka & Paravee Maneejuk, 2020. "Analyzing the Causality and Dependence between Gold Shocks and Asian Emerging Stock Markets: A Smooth Transition Copula Approach," Mathematics, MDPI, vol. 8(1), pages 1-27, January.
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    5. Corbet, Shaen & O’Connor, Fergal, 2021. "Where was the global price of silver established? Evidence from London and New York (1878–1953)," Finance Research Letters, Elsevier, vol. 39(C).
    6. Marta Matyjaszek & Gregorio Fidalgo Valverde & Alicja Krzemień & Krzysztof Wodarski & Pedro Riesgo Fernández, 2020. "Optimizing Predictor Variables in Artificial Neural Networks When Forecasting Raw Material Prices for Energy Production," Energies, MDPI, vol. 13(8), pages 1-15, April.
    7. Pradhan, Ashis Kumar & Mishra, Bibhuti Ranjan & Tiwari, Aviral Kumar & Hammoudeh, Shawkat, 2020. "Macroeconomic factors and frequency domain causality between Gold and Silver returns in India," Resources Policy, Elsevier, vol. 68(C).
    8. Zhicheng Liang & Junwei Wang & Kin Keung Lai, 2020. "Dependence Structure Analysis and VaR Estimation Based on China’s and International Gold Price: A Copula Approach," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 169-193, February.
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    More about this item

    Keywords

    Rolling window bootstrap; Structural changes; Gold and silver;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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