EconPapers    
Economics at your fingertips  
 

Uncovering frequency domain causality between gold and the stock markets of China and India: Evidence from implied volatility indices

Elie Bouri (), David Roubaud, Rania Jammazi and Ata Assaf

Finance Research Letters, 2017, vol. 23, issue C, 23-30

Abstract: 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)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612317300028
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:23:y:2017:i:c:p:23-30

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-03-31
Handle: RePEc:eee:finlet:v:23:y:2017:i:c:p:23-30