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The Relationship and Spillover Effects between Chinese and Foreign Gold Markets an Empirical Study based on Var-Mvgarch-Bekk Model

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  • Guo Jianhua
  • Xu Songjin

Abstract

In order to investigate the inner relationship and spillover effects among international gold markets, this paper, by constructing a VEC model based on cointegration theory and taking Chinese Shanghai gold market and London gold market for example, analyzes the interactions among Chinese and foreign principle gold markets, while by using VAR-BEEK-MVGARCH model, this paper also investigates the spillover effects within aforementioned markets. The results indicate that there is perennial equilibrium relationship between Shanghai and London gold markets and there are volatility clustering and persistence, i.e., ARCH effects, and except that, there is only unidirectional volatility spillover effect from London gold market to Shanghai gold market while there are significant bidirectional mean and volatility spillover effects.

Suggested Citation

  • Guo Jianhua & Xu Songjin, 2014. "The Relationship and Spillover Effects between Chinese and Foreign Gold Markets an Empirical Study based on Var-Mvgarch-Bekk Model," Journal of Empirical Economics, Research Academy of Social Sciences, vol. 3(1), pages 25-30.
    • Handle: RePEc:rss:jnljee:v3i1p3
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    References listed on IDEAS

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    3. Mensi, Walid & Beljid, Makram & Boubaker, Adel & Managi, Shunsuke, 2013. "Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold," Economic Modelling, Elsevier, vol. 32(C), pages 15-22.
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    5. repec:icf:icfjaf:v:19:y:2013:i:1:p:99-109 is not listed on IDEAS
    6. Ewing, Bradley T. & Malik, Farooq, 2013. "Volatility transmission between gold and oil futures under structural breaks," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 113-121.
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