Abstract
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.
Notes
1 BRICs represent the simplified writing of four countries: Brazil, Russia, India and China.
2 Unit root tests (ADF and PP tests) are conducted for both series. As the results show that both series have unit roots, we use first-order difference (return) to implement our empirical study. To save space, related results are not shown here. All results are available on request.
3 The Chow test results for COMEX and TOCOM are 14.65392 and 5.91542 individually. According to F-test statistics, both are significant at the 1% level.