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The dynamic relationships between gold futures markets: evidence from COMEX and TOCOM


  • Hui-Na Lin
  • Shu-Mei Chiang
  • Kun-Hong Chen


This study employs a bivariate GARCH model to examine the dynamic relationships between two gold futures markets (COMEX and TOCOM) before and during gold's recent uptrend of the past few years. Results show that the performance of COMEX is better than TOCOM. However, TOCOM leads COMEX in the mean return. Volatility transmission effects exist in both COMEX and TOCOM. While the responses to good news and bad news are symmetrical in TOCOM, they are asymmetric in COMEX.

Suggested Citation

  • Hui-Na Lin & Shu-Mei Chiang & Kun-Hong Chen, 2008. "The dynamic relationships between gold futures markets: evidence from COMEX and TOCOM," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 4(1), pages 19-24.
  • Handle: RePEc:taf:apfelt:v:4:y:2008:i:1:p:19-24
    DOI: 10.1080/17446540701262868

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    Cited by:

    1. Brian M. Lucey & Charles Larkin & Fergal O'Connor, 2014. "Gold markets around the world - who spills over what, to whom, when?," Applied Economics Letters, Taylor & Francis Journals, vol. 21(13), pages 887-892, September.
    2. Wang, Gang-Jin & Xie, Chi & Jiang, Zhi-Qiang & Stanley, H. Eugene, 2016. "Extreme risk spillover effects in world gold markets and the global financial crisis," International Review of Economics & Finance, Elsevier, vol. 46(C), pages 55-77.
    3. repec:eee:finlet:v:24:y:2018:i:c:p:19-24 is not listed on IDEAS
    4. repec:eee:phsmap:v:490:y:2018:i:c:p:504-512 is not listed on IDEAS

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