Volatility spillovers and transmission among gold coin and capital market

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SADEGHI SHAHDANI MAHDI; MOHSENI HOSSEIN

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Journal: Financial Economics Year:2018 | Volume:12 | Issue:44 Page(s): 103-121

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Title

Volatility spillovers and transmission among gold coin and capital market

Author(s)

SADEGHI SHAHDANI MAHDI | MOHSENI HOSSEIN | Issue Writer Certificate

Keywords

Financial spilloverQ1

Volatility transmissionQ1

Gold coinQ1

Capital marketQ2

Abstract

Understanding the mechanisms of volatility between financial markets and strategic Commodity markets has been important for academic researchers, international institutions and also for governments, especially after the recent world financial crisis. This paper investigates the volatility spillover and transmission between the yield of Gold coin and the total stock market index based on 144 observations in monthly time series using three multivariate GARCH models. The results of this study confirm the dynamic conditional correlation between past values and cross-sectional correlations based on specific events such as exchange rate fluctuations among the two markets. A positive spillover from the gold market to the Capital market is also confirmed. This suggests that, contrary to the prevailing theories in this area, the return on gold is not an alternative to investing in the stock market because exogenous exacerbated volatility factors can play a more effective role in the turbulence of the two markets.

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APA: Copy

SADEGHI SHAHDANI, MAHDI, & MOHSENI, HOSSEIN. (2018). Volatility spillovers and transmission among gold coin and capital market. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), 12(44 ), 103-121. SID. https://sid.ir/paper/229161/en

Vancouver: Copy

SADEGHI SHAHDANI MAHDI, MOHSENI HOSSEIN. Volatility spillovers and transmission among gold coin and capital market. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT)[Internet]. 2018;12(44 ):103-121. Available from: https://sid.ir/paper/229161/en

IEEE: Copy

MAHDI SADEGHI SHAHDANI, and HOSSEIN MOHSENI, “Volatility spillovers and transmission among gold coin and capital market,” JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), vol. 12, no. 44 , pp. 103–121, 2018, [Online]. Available: https://sid.ir/paper/229161/en

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