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Cross-correlations between price and volume in Chinese gold markets

Citations

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Cited by:

  1. Cai, Yuxin & Lu, Xinsheng & Ren, Yongping & Qu, Ling, 2019. "Exploring the dynamic relationship between crude oil price and implied volatility indices: A MF-DCCA approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
  2. Guo, Yaoqi & Yu, Zhuling & Yu, Chenxi & Cheng, Hui & Chen, Weixun & Zhang, Hongwei, 2021. "Asymmetric multifractal features of the price–volume correlation in China’s gold futures market based on MF-ADCCA," Research in International Business and Finance, Elsevier, vol. 58(C).
  3. Ruan, Qingsong & Zhang, Manqian & Lv, Dayong & Yang, Haiquan, 2018. "SAD and stock returns revisited: Nonlinear analysis based on MF-DCCA and Granger test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 1009-1022.
  4. Faheem Aslam & Paulo Ferreira & Haider Ali & Ana Ercília José, 2022. "Application of Multifractal Analysis in Estimating the Reaction of Energy Markets to Geopolitical Acts and Threats," Sustainability, MDPI, vol. 14(10), pages 1-23, May.
  5. Wang, Kaiyang & Yang, Haizhen, 2018. "The price-volume relationship caused by asset allocation based on Kelly criterion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 1-8.
  6. Ashok Chanabasangouda Patil & Shailesh Rastogi, 2019. "Time-Varying Price–Volume Relationship and Adaptive Market Efficiency: A Survey of the Empirical Literature," JRFM, MDPI, vol. 12(2), pages 1-18, June.
  7. Ruan, Qingsong & Bao, Junjie & Zhang, Manqian & Fan, Limin, 2019. "The effects of exchange rate regime reform on RMB markets: A new perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 522(C), pages 122-134.
  8. Zhang, Shuchang & Guo, Yaoqi & Cheng, Hui & Zhang, Hongwei, 2021. "Cross-correlations between price and volume in China's crude oil futures market: A study based on multifractal approaches," Chaos, Solitons & Fractals, Elsevier, vol. 144(C).
  9. Ruan, Qingsong & Huang, Ying & Jiang, Wei, 2016. "The exceedance and cross-correlations between the gold spot and futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 139-151.
  10. Lin, Min & Wang, Gang-Jin & Xie, Chi & Stanley, H. Eugene, 2018. "Cross-correlations and influence in world gold markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 504-512.
  11. Hasan, Rashid & Mohammed Salim, M., 2017. "Power law cross-correlations between price change and volume change of Indian stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 620-631.
  12. Lu, Xinsheng & Sun, Xinxin & Ge, Jintian, 2017. "Dynamic relationship between Japanese Yen exchange rates and market anxiety: A new perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 474(C), pages 144-161.
  13. Aslam, Faheem & Zil-e-huma, & Bibi, Rashida & Ferreira, Paulo, 2022. "Cross-correlations between economic policy uncertainty and precious and industrial metals: A multifractal cross-correlation analysis," Resources Policy, Elsevier, vol. 75(C).
  14. Shen, Na & Chen, Jiayi, 2023. "Asymmetric multifractal spectrum distribution based on detrending moving average cross-correlation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 615(C).
  15. Lin, Yong & Wang, Renyu & Gong, Xingyue & Jia, Guozhu, 2022. "Cross-correlation and forecast impact of public attention on USD/CNY exchange rate: Evidence from Baidu Index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
  16. Thi Hong Van Hoang & Zhenzhen Zhu & Bing Xiao & Wing‐Keung Wong, 2020. "The seasonality of gold prices in China does the risk‐aversion level matter?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(3), pages 2617-2664, September.
  17. Li, Shuping & Lu, Xinsheng & Liu, Xinghua, 2020. "Dynamic relationship between Chinese RMB exchange rate index and market anxiety: A new perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
  18. Ruan, Qingsong & Yang, Haiquan & Lv, Dayong & Zhang, Shuhua, 2018. "Cross-correlations between individual investor sentiment and Chinese stock market return: New perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 243-256.
  19. Zhicheng Liang & Junwei Wang & Kin Keung Lai, 2020. "Dependence Structure Analysis and VaR Estimation Based on China’s and International Gold Price: A Copula Approach," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 169-193, February.
  20. Li, Jianfeng & Lu, Xinsheng & Jiang, Wei & Petrova, Vanya S., 2021. "Multifractal Cross-correlations between foreign exchange rates and interest rate spreads," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
  21. Charutha, S. & Gopal Krishna, M. & Manimaran, P., 2020. "Multifractal analysis of Indian public sector enterprises," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
  22. Lahmiri, Salim & Bekiros, Stelios, 2020. "Nonlinear analysis of Casablanca Stock Exchange, Dow Jones and S&P500 industrial sectors with a comparison," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 539(C).
  23. Li, Shuping & Li, Jianfeng & Lu, Xinsheng & Sun, Yihong, 2022. "Exploring the dynamic nonlinear relationship between crude oil price and implied volatility indices: A new perspective from MMV-MFDFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 603(C).
  24. Ashok Chanabasangouda Patil & Shailesh Rastogi, 2020. "Multifractal Analysis of Market Efficiency across Structural Breaks: Implications for the Adaptive Market Hypothesis," JRFM, MDPI, vol. 13(10), pages 1-18, October.
  25. Lu, Xinsheng & Li, Jianfeng & Zhou, Ying & Qian, Yubo, 2017. "Cross-correlations between RMB exchange rate and international commodity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 168-182.
  26. Rodriguez, E. & Alvarez-Ramirez, J., 2021. "Time-varying cross-correlation between trading volume and returns in US stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 581(C).
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