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Article: Deviations between China’s and international gold price: role of fundamentals, contagion and financial shocks

TitleDeviations between China’s and international gold price: role of fundamentals, contagion and financial shocks
Authors
KeywordsChina
gold
GARCH models
price gap
Issue Date2019
PublisherRoutledge. The Journal's web site is located at http://www.tandf.co.uk/journals/routledge/00036846.html
Citation
Applied Economics, 2019, Epub How to Cite?
AbstractChina has been the world's largest gold producer since 2007 and the world's largest gold consumer since 2013. However, despite it being the second largest exchange-traded market in the world, gold price shows persistent volatility and deviations from the international gold price. This study explores the impact of fundamentals, global contagion and financial shocks on the gap between international and domestic gold price using an extended GARCH model. The empirical study shows that the exchange rate of renminbi plays an important role in moving the price gap. The global contagion factors associate more with the level of the price gap, not with the volatility; policy shocks do not present expected significant influence on the price gap. For black swan events, their impact on both level and volatility of the price gap is discernible.
Persistent Identifierhttp://hdl.handle.net/10722/275033
ISSN
2017 Impact Factor: 0.75
2015 SCImago Journal Rankings: 0.441
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorWang, J-
dc.contributor.authorLiang, Z-
dc.contributor.authorLai, KK-
dc.date.accessioned2019-09-10T02:34:05Z-
dc.date.available2019-09-10T02:34:05Z-
dc.date.issued2019-
dc.identifier.citationApplied Economics, 2019, Epub-
dc.identifier.issn0003-6846-
dc.identifier.urihttp://hdl.handle.net/10722/275033-
dc.description.abstractChina has been the world's largest gold producer since 2007 and the world's largest gold consumer since 2013. However, despite it being the second largest exchange-traded market in the world, gold price shows persistent volatility and deviations from the international gold price. This study explores the impact of fundamentals, global contagion and financial shocks on the gap between international and domestic gold price using an extended GARCH model. The empirical study shows that the exchange rate of renminbi plays an important role in moving the price gap. The global contagion factors associate more with the level of the price gap, not with the volatility; policy shocks do not present expected significant influence on the price gap. For black swan events, their impact on both level and volatility of the price gap is discernible.-
dc.languageeng-
dc.publisherRoutledge. The Journal's web site is located at http://www.tandf.co.uk/journals/routledge/00036846.html-
dc.relation.ispartofApplied Economics-
dc.rightsPreprint: This is an Author's Original Manuscript of an article published by Taylor & Francis Group in [JOURNAL TITLE] on [date of publication], available online: http://www.tandfonline.com/doi/abs/[Article DOI]. Postprint: This is an Accepted Manuscript of an article published by Taylor & Francis Group in [JOURNAL TITLE] on [date of publication], available online at: http://www.tandfonline.com/doi/abs/[Article DOI].-
dc.subjectChina-
dc.subjectgold-
dc.subjectGARCH models-
dc.subjectprice gap-
dc.titleDeviations between China’s and international gold price: role of fundamentals, contagion and financial shocks-
dc.typeArticle-
dc.identifier.emailWang, J: jwwang@hku.hk-
dc.identifier.emailLai, KK: mskklai@outlook.com-
dc.identifier.authorityWang, J=rp01888-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1080/00036846.2019.1645279-
dc.identifier.hkuros304834-
dc.identifier.spage1-
dc.identifier.epage12-
dc.identifier.isiWOS:000478548200001-
dc.publisher.placeUnited Kingdom-

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