Dynamic price integration in the global gold market

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 provid...

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Bibliographic Details
Published in:The North American journal of economics and finance 2013-12, Vol.26, p.227-235
Main Authors: Chang, Chia-Lin, Della Chang, Jui-Chuan, Huang, Yi-Wei
Format: Article
Language:English
Subjects:
Augmenting level-VAR models
Causality
Dynamic price integration
Global gold market
Gold markets
Investment policy
Manycountries
Market prices
Risk assessment
Studies
Toda⿿Yamamoto procedure
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Summary: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.
ISSN:1062-9408
1879-0860
DOI:10.1016/j.najef.2013.02.002