Low-Frequency Volatility in China’s Gold Futures Market and Its Macroeconomic Determinants
Joint Authors
Liu, Song
Tang, Tingfei
McKenzie, Andrew M.
Liu, Yibin
Source
Mathematical Problems in Engineering
Issue
Vol. 2015, Issue 2015 (31 Dec. 2015), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2015-10-12
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract 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.
American Psychological Association (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
Modern Language Association (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
American Medical Association (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
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1074378