Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/85226
標題: Dynamic price integration in the globalgold market
關鍵字: Global gold market
Dynamic price integration
Toda–Yamamoto procedure
Augmenting level-VAR models
摘要: This paper examines the inter-relationships among gold prices in five global gold markets, namely London, New York, Japan, Hong Kong (since 1 July 1997, a Special Administrative Region (SAR) of China), and Taiwan. We investigate the linkages between Taiwan and the other global gold markets to provide insights for useful investment strategies. The augmenting level-VAR models proposed by Toda and Yamamoto (1995) show that the empirical results find bi-directional causality between the London and New York gold markets, and uni-directional causality from New York to the other markets. In this sense, the New York market has gained a leading role in affecting global gold markets. This empirical finding serves as a predictor for the gold price in global markets.
URI: http://hdl.handle.net/11455/85226
文章連結: http://dx.doi.org/10.1016/j.najef.2013.02.002
Appears in Collections:應用經濟學系

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