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Dynamic price integration in the globalgold market

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

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

Topics: Global gold market, Dynamic price integration, Toda–Yamamoto procedure, Augmenting level-VAR models
Year: 2014
DOI identifier: 10.1016/j.najef.2013.02.002
OAI identifier: oai:ir.lib.nchu.edu.tw:11455/85226
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