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

Author

Listed:
  • Elie Bouri

    (Holy-Spirit University of Kaslik [Jounieh] / Université Saint-Esprit de Kaslik)

  • David Roubaud

    (MRM - Montpellier Research in Management - UPVM - Université Paul-Valéry - Montpellier 3 - UPVD - Université de Perpignan Via Domitia - Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School - UM - Université de Montpellier)

  • Rania Jammazi

    (ENSI - École Nationale des Sciences de l'Informatique [Manouba] - UMA - Université de la Manouba [Tunisie])

  • Ata Assaf

    (UOB - University of Balamand [Liban])

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

  • Elie Bouri & David Roubaud & Rania Jammazi & Ata Assaf, 2017. "Uncovering frequency domain causality between gold and the stock markets of China and India: Evidence from implied volatility indices," Post-Print hal-02000698, HAL.
    • Handle: RePEc:hal:journl:hal-02000698
    DOI: 10.1016/j.frl.2017.06.010
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    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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