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
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Ata Assaf: UOB - University of Balamand [Liban]

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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: Chinese equities; Frequency domain causality; Gold; Implied volatility; Indian equities (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (30)

Published in Finance Research Letters, 2017, 23, pp.23-30. ⟨10.1016/j.frl.2017.06.010⟩

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Journal Article: Uncovering frequency domain causality between gold and the stock markets of China and India: Evidence from implied volatility indices (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02000698

DOI: 10.1016/j.frl.2017.06.010

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