Dynamic Price Integration in the Global Gold Market

Chia-Lin Chang (), Jui-Chuan Della Chang and Yi-Wei Huang

MPRA Paper from University Library of Munich, Germany

Abstract: This paper examines the inter-relationships among gold prices in five global gold markets, namely London, New York, Japan, Hong Kong (since 1 July 1997, a Special Administrative Region (SAR) of China), and Taiwan. We investigate the linkages between Taiwan and the other global gold markets to provide insights for useful investment strategies. The augmenting level-VAR models proposed by Toda and Yamamoto (1995) show that the empirical results find bi-directional causality between the London and New York gold markets, and uni-directional causality from New York to the other markets. In this sense, the New York market has gained a leading role in affecting global gold markets. This empirical finding serves as a predictor for the gold price in global markets.

Keywords: Global gold market; Dynamic price integration; Toda-Yamamoto Procedure; Augmenting level-VAR models (search for similar items in EconPapers)
JEL-codes: C22 E31 G15 (search for similar items in EconPapers)
Date: 2012-09-29
New Economics Papers: this item is included in nep-cwa
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Citations: View citations in EconPapers (2)

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Journal Article: Dynamic price integration in the global gold market (2013)
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