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Time-Varying Volatility Spillover between Gold Futures and Singapore Stock Markets: Implication of the Portfolio Management
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Type
Academic journal
Author
Journal
The Korean Data Analysis Society Journal of The Korean Data Analysis Society Journal of The Korean Data Analysis Society 제18권 제1호 KCI Accredited Journals
Published
2016.1
Pages
47 - 57 (11page)

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Time-Varying Volatility Spillover between Gold Futures and Singapore Stock Markets: Implication of the Portfolio Management
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This study investigates the volatility spillover between gold futures and Singapore stock markets. To examine market contagion between these two markets, we utilize the bivariate DCC-GARCH model, and weekly closing spot price index series for Singapore stock market index as well as for gold futures prices from 2 January 1998 to 20 January 2015. We also consider the potential impacts of structural breaks on the volatility of these markets using the modified ICSS algorithm, and analyze time-varying hedge ratios based on estimates of the model. The result reveals significant volatility spillover between the two markets. In particular, we find a significant variability in the time-varying conditional correlation between these two markets during both bullish and bearish markets. After 2007 US subprime mortgage crisis, the correlation between the two markets become more strengthening, implying that a greater contagion effect exists between these two markets. This contagion evidence provides an important guideline on building optimal investment portfolios and developing global cross-market hedging strategies.
#Contagion #DCC-GARCH model #Global financial crisis #Hedge ratio #Volatility spillover.

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References (29)

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Baur, D. G. / 2010 / Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold / Financial Review 45(2):217~229 google schola Baur, D. G. / 2010 / Is gold a safe haven? International evidence / Journal of Banking & Finance 34(8):1886~1898 google schola Bekaert, G. / 1995 / Time-varying world market integration / Journal of Finance 50(2):403~444 google schola Bollerslev, T. / 1986 / Generalized autoregressive conditional heteroskedasticity / Journal of Econometrics 31(3):307~327 google schola Chiou, J. -S. / 2009 / Jump dynamics and volatility: oil and the stock markets / Energy 34(6):788~796 google schola

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