The dependence structure analysis among gold price, stock price index of gold mining companies and Shanghai composite index

Xi Shen (), Kanchana Chokethaworn and Chukiat Chaiboonsri
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Xi Shen: Chiang Mai University
Kanchana Chokethaworn: Chiang Mai University
Chukiat Chaiboonsri: Chiang Mai University

The Empirical Econometrics and Quantitative Economics Letters, 2013, vol. 2, issue 4, 53 - 64

Abstract: This paper used different copula-based GARCH models (Copula-GARCH model and Copula-GJR-GARCH model) to analyze the dependence structure among gold price, stock price index of gold mining companies and Shanghai Composite Index in China. The empirical results found that the suitable margins were skew-t distribution, and the GJR-GARCH marginal distribution had better explanatory ability than the GARCH model. Moreover, we found the Clayton copula had the highest explanatory ability of the dependence structure for all series. There existed positive dependence in the rates of return for all series, and the dependence between these markets will be closer with the gradual integration of international financial market.

Keywords: Gold price, Shandong gold stock index, Shanghai composite index; Copula-GARCH; Skewed distribution (search for similar items in EconPapers)
JEL-codes: C22 C51 G10 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (3)

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