Uncovering frequency domain causality between gold and the stock markets of China and India: Evidence from implied volatility indices
Elie Bouri (),
Rania Jammazi and
Finance Research Letters, 2017, vol. 23, issue C, 23-30
We use implied volatility indices and examine short-term and long-term causality dynamics between gold and the Chinese and Indian stock markets from March 2011 to March 2017. We uncover some interesting predictability patterns that differ along the spectrum. Importantly, we find significant bi-directional effects between gold and the Chinese and Indian stock markets in both high and low frequencies, suggesting that the safe-haven property of gold is not stable. Our results are robust in the out-of-sample forecasting exercises.
Keywords: Implied volatility; Gold; Chinese equities; Indian equities; Frequency domain causality (search for similar items in EconPapers)
JEL-codes: C13 G15 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:23:y:2017:i:c:p:23-30
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