Dynamic price integration in the global gold market

Chia-Lin Chang (), Jui-Chuan Della Chang and Yi-Wei Huang

The North American Journal of Economics and Finance, 2013, vol. 26, issue C, 227-235

Abstract: This paper examines the inter-relationships among gold prices in five global gold markets, namely London, New York, Japan, Hong Kong (since 1 July 1997, a Special Administrative Region (SAR) of China), and Taiwan. We investigate the linkages between Taiwan and the other global gold markets to provide insights for useful investment strategies. The augmenting level-VAR models proposed by Toda and Yamamoto (1995) show that the empirical results find bi-directional causality between the London and New York gold markets, and uni-directional causality from New York to the other markets. In this sense, the New York market has gained a leading role in affecting global gold markets. This empirical finding serves as a predictor for the gold price in global markets.

Keywords: Global gold market; Dynamic price integration; Toda–Yamamoto procedure; Augmenting level-VAR models (search for similar items in EconPapers)
JEL-codes: C22 C58 E31 G15 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

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Working Paper: Dynamic Price Integration in the Global Gold Market (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:26:y:2013:i:c:p:227-235

DOI: 10.1016/j.najef.2013.02.002

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