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Market Interactions in Gold and Stock Markets: Evidences from Saudi Arabia

E.M. Afsal and Mohammad Imdadul Haque
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E.M. Afsal: Mahatma Gandhi University, India,
Mohammad Imdadul Haque: Prince Sattam bin Abdulaziz University, Saudi Arabia.

International Journal of Economics and Financial Issues, 2016, vol. 6, issue 3, 1025-1034

Abstract: The price movements in gold market are considered to detect non-linear dependencies with stock market in the Saudi Arabian context. Both the univariate and multivariate models of generalized autoregressive conditional heteroskedasticity (GARCH) class are employed in this study. Initially, the work uses GARCH (1,1) specification to detect the persistence level of volatility. Proceeding further, a series of models are used to study leverage effect, spillover pattern, risk-premium effects, absolute returns and power transformation factors, etc., Finally, diagonal Baba, Engle, Kraft and Kroner specification is used to determine the contagion effect between gold and stock markets. The findings chiefly prove that a dynamic relationship between gold and stock market do not exist.

Keywords: Gold Return; Multivariate Generalized Autoregressive Conditional Heteroskedasticity; Market Spillover; Contagion Effect; Volatility Persistence (search for similar items in EconPapers)
JEL-codes: C58 G11 (search for similar items in EconPapers)
Date: 2016
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