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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
Project: The North American Journal of Economics and Finance, Volume 26, Page(s) 227-235.
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.
DOI: 10.1016/j.najef.2013.02.002
Appears in Collections:應用經濟學系

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