The dynamic relationships between gold futures markets: evidence from COMEX and TOCOM

Hui-Na Lin, Shu-Mei Chiang and Kun-Hong Chen

Applied Financial Economics Letters, 2008, vol. 4, issue 1, 19-24

Abstract: This study employs a bivariate GARCH model to examine the dynamic relationships between two gold futures markets (COMEX and TOCOM) before and during gold's recent uptrend of the past few years. Results show that the performance of COMEX is better than TOCOM. However, TOCOM leads COMEX in the mean return. Volatility transmission effects exist in both COMEX and TOCOM. While the responses to good news and bad news are symmetrical in TOCOM, they are asymmetric in COMEX.

Date: 2008
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DOI: 10.1080/17446540701262868

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