Low-Frequency Volatility in China’s Gold Futures Market and Its Macroeconomic Determinants

المؤلفون المشاركون

Liu, Song
Tang, Tingfei
McKenzie, Andrew M.
Liu, Yibin

المصدر

Mathematical Problems in Engineering

العدد

المجلد 2015، العدد 2015 (31 ديسمبر/كانون الأول 2015)، ص ص. 1-8، 8ص.

الناشر

Hindawi Publishing Corporation

تاريخ النشر

2015-10-12

دولة النشر

مصر

عدد الصفحات

8

التخصصات الرئيسية

هندسة مدنية

الملخص EN

We extract low- and high-frequency volatility from China’s Shanghai gold futures market using an asymmetric Spline-GARCH (ASP-GARCH) model.

We then regress monthly low-frequency volatility on selected monthly macroeconomic indicators to study the impact of macroeconomy on gold futures market and to test for excess volatility.

Our main result is volatility in China’s Shanghai gold futures market resulting from both macroeconomic fluctuations and investor behaviour.

Chinese Consumer Price Index Volatility and US dollar volatility are the two main determinants of low-frequency gold volatility.

We also find significant evidence of excess volatility, which can in part be explained in terms of loss-aversive investor behaviour.

نمط استشهاد جمعية علماء النفس الأمريكية (APA)

Liu, Song& Tang, Tingfei& McKenzie, Andrew M.& Liu, Yibin. 2015. Low-Frequency Volatility in China’s Gold Futures Market and Its Macroeconomic Determinants. Mathematical Problems in Engineering،Vol. 2015, no. 2015, pp.1-8.
https://search.emarefa.net/detail/BIM-1074378

نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)

Liu, Song…[et al.]. Low-Frequency Volatility in China’s Gold Futures Market and Its Macroeconomic Determinants. Mathematical Problems in Engineering No. 2015 (2015), pp.1-8.
https://search.emarefa.net/detail/BIM-1074378

نمط استشهاد الجمعية الطبية الأمريكية (AMA)

Liu, Song& Tang, Tingfei& McKenzie, Andrew M.& Liu, Yibin. Low-Frequency Volatility in China’s Gold Futures Market and Its Macroeconomic Determinants. Mathematical Problems in Engineering. 2015. Vol. 2015, no. 2015, pp.1-8.
https://search.emarefa.net/detail/BIM-1074378

نوع البيانات

مقالات

لغة النص

الإنجليزية

الملاحظات

Includes bibliographical references

رقم السجل

BIM-1074378