The dynamic causality between gold and silver prices in China market: A rolling window bootstrap approach
Guo-Dong Liu and
Finance Research Letters, 2019, vol. 28, issue C, 101-106
This paper examines the dynamic causality between the returns of gold and silver in China market for the period October 2006–October 2017. With the existence of structural changes in full sample, a rolling window bootstrap approach is employed to revisit the dynamic causal relationship. Our results demonstrate that gold has both significant positive and negative impacts on silver in multiple sub-periods while not vice versa. It is critical for investors to notice the unidirectional causal relationship from gold to silver under specific backgrounds. Our findings provide implications on the trading strategies of portfolio investment, producers hedging and statistical arbitrage.
Keywords: Rolling window bootstrap; Structural changes; Gold and silver (search for similar items in EconPapers)
JEL-codes: C32 E31 G11 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:28:y:2019:i:c:p:101-106
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