The exceedance and cross-correlations between the gold spot and futures markets

Qingsong Ruan, Ying Huang and Wei Jiang

Physica A: Statistical Mechanics and its Applications, 2016, vol. 463, issue C, 139-151

Abstract: This paper investigates the dynamic features of cross-correlations and exceedance correlations between COMEX gold spot and futures returns using the detrended cross-correlation analysis (DCCA) and a test for symmetrical exceedance correlation. First, we examine the cross-correlations both qualitatively and quantitatively by employing the cross-correlations test and the DCCA method. We find that the cross-correlations are significant for all lagged orders and are weakly persistent. Our results from a rolling sample test also show that some exogenous events can apparently affect the cross-correlations between gold spot and futures returns. Second, after employing the test statistic, our empirical results show that the exceedance correlations between spot and futures returns are both positive and symmetric, indicating that the two returns co-move in the same direction and that the correlations between them are symmetrical for the upper and lower of the returns. However, the results from the rolling sample show that occasional events can induce significant asymmetries of exceedance correlations.

Keywords: Gold; Cross-correlation; Exceedance correlation; Rolling sample test (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:463:y:2016:i:c:p:139-151

DOI: 10.1016/j.physa.2016.07.021

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