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Uncovering frequency domain causality between gold and the stock markets of China and India: Evidence from implied volatility indices

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  • Bouri, Elie
  • Roubaud, David
  • Jammazi, Rania
  • Assaf, Ata

Abstract

We use implied volatility indices and examine short-term and long-term causality dynamics between gold and the Chinese and Indian stock markets from March 2011 to March 2017. We uncover some interesting predictability patterns that differ along the spectrum. Importantly, we find significant bi-directional effects between gold and the Chinese and Indian stock markets in both high and low frequencies, suggesting that the safe-haven property of gold is not stable. Our results are robust in the out-of-sample forecasting exercises.

Suggested Citation

  • Bouri, Elie & Roubaud, David & Jammazi, Rania & Assaf, Ata, 2017. "Uncovering frequency domain causality between gold and the stock markets of China and India: Evidence from implied volatility indices," Finance Research Letters, Elsevier, vol. 23(C), pages 23-30.
  • Handle: RePEc:eee:finlet:v:23:y:2017:i:c:p:23-30
    DOI: 10.1016/j.frl.2017.06.010
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    More about this item

    Keywords

    Implied volatility; Gold; Chinese equities; Indian equities; Frequency domain causality;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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