黄金期货市场之间的动态关系:来自COMEX和TOCOM的证据

Applied Financial Economics Letters Pub Date : 2008-01-01 DOI:10.1080/17446540701262868

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

{"title":"黄金期货市场之间的动态关系:来自COMEX和TOCOM的证据","authors":"Hui-Na Lin, Shu-Mei Chiang, Kun-Hong Chen","doi":"10.1080/17446540701262868","DOIUrl":null,"url":null,"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.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"27 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2008-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"22","resultStr":"{\"title\":\"The dynamic relationships between gold futures markets: evidence from COMEX and TOCOM\",\"authors\":\"Hui-Na Lin, Shu-Mei Chiang, Kun-Hong Chen\",\"doi\":\"10.1080/17446540701262868\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":345744,\"journal\":{\"name\":\"Applied Financial Economics Letters\",\"volume\":\"27 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2008-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"22\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Applied Financial Economics Letters\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1080/17446540701262868\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Applied Financial Economics Letters","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1080/17446540701262868","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 22

摘要

本研究采用双变量GARCH模型来检验两个黄金期货市场(COMEX和TOCOM)在过去几年黄金最近上涨趋势之前和期间的动态关系。结果表明，COMEX的性能优于TOCOM。然而，东交所在平均回报率上领先COMEX。COMEX和TOCOM均存在波动传导效应。虽然TOCOM对好消息和坏消息的反应是对称的，但COMEX对好消息和坏消息的反应是不对称的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文

微信好友朋友圈 QQ好友复制链接

本刊更多论文

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

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.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Applied Financial Economics Letters

自引率

0.00%

发文量