Research Article
BibTex RIS Cite
Year 2023, Volume: 18 Issue: 1, 121 - 129, 15.01.2024
https://doi.org/10.17261/Pressacademia.2023.1878

Abstract

References

  • Andersen, T. G., & Bollerslev, T. (1997). Intraday periodicity and volatility persistence in financial markets. Journal of Empirical Finance, 4(2-3), 115-158.
  • Apergis, N. (2014). Can gold prices forecast the Australian dollar movements? International Review of Economics & Finance, 29, 75-82.
  • Baillie, R. T., Bollerslev, T., & Mikkelsen, H. O. (1996). Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 74(1), 3-30.
  • Beckmann, J., & Czudaj, R. (2013). Gold as an inflation hedge in a time-varying coefficient framework. The North American Journal of Economics and Finance, 24, 208-222.
  • Berndt, E. R., Hall, B. H., Hall, R. E., & Hausman, J. A. (1974). Estimation and inference in nonlinear structural models. In Annals of Economic and Social Measurement, Volume 3, Number 4 (pp. 653-665). NBER.
  • Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307-327.
  • Bollerslev, T., & Engle, R. F. (1993). Common persistence in conditional variances. Econometrica: Journal of the Econometric Society, 167-186.
  • Brooks, R. D., Faff, R. W., McKenzie, M. D., & Mitchell, H. (2000). A multi-country study of power ARCH models and national stock market returns. Journal of International Money and Finance, 19(3), 377-397.
  • Bruno, S., & Chincarini, L. (2010). A historical examination of optimal real return portfolios for non-US investors. Review of Financial Economics, 19(4), 161-178.
  • Busschau, W. J. (1949). THE CASE FOR INCREASING THE PRICE OF GOLD IN TERMS OF ALL CURRENCIES 1. South African Journal of Economics, 17(1), 1-22.
  • Byers, J. D., & Peel, D. A. (2001). Volatility persistence in asset markets: long memory in high/low prices. Applied Financial Economics, 11(3), 253-260.
  • Cai, J., Cheung, Y. L., & Wong, M. C. (2001). What moves the gold market?. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 21(3), 257-278.
  • Capie, F., Mills, T. C., & Wood, G. (2005). Gold as a hedge against the dollar. Journal of International Financial Markets, Institutions and Money, 15(4), 343-352.
  • Chang, C. L., Della Chang, J. C., & Huang, Y. W. (2013). Dynamic price integration in the global gold market. The North American Journal of Economics and Finance, 26, 227-235.
  • Ding, Z., & Granger, C. W. (1996). Modeling volatility persistence of speculative returns: a new approach. Journal of Econometrics, 73(1), 185-215.
  • Ding, Z., Granger, C. W., & Engle, R. F. (1993). A long memory property of stock market returns and a new model. Journal of Empirical Finance, 1(1), 83-106.
  • Dornbusch, R., Park, Y. C., & Claessens, S. (2000). Contagion: Understanding how it spreads. The World Bank Research Observer, 15(2), 177-197.
  • Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the Econometric Society, 987-1007.
  • Engle, R. F., & Bollerslev, T. (1986). Modelling the persistence of conditional variances. Econometric Reviews, 5(1), 1-50.
  • Engle, R. F., & Ng, V. K. (1993). Measuring and testing the impact of news on volatility. The Journal of Finance, 48(5), 1749-1778.
  • Goodman, B. (1956). The price of gold and international liquidity. The Journal of Finance, 11(1), 15-28.
  • Hillier, D., Draper, P., & Faff, R. (2006). Do precious metals shine? An investment perspective. Financial Analysts Journal, 62(2), 98-106.
  • Johnson, H. G. (1950). The case for increasing the price of gold in terms of all currencies: A contrary view. Canadian Journal of Economics and Political Science/Revue canadienne de economiques et science politique, 16(2), 199-209.
  • Joy, M. (2011). Gold and the US dollar: Hedge or haven?. Finance Research Letters, 8(3), 120-131.
  • Koutsoyiannis, A. (1983). A short-run pricing model for a speculative asset, tested with data from the gold bullion market. Applied Economics, 15(5), 563-581.
  • Lili, L., & Chengmei, D. (2013). Research of the influence of macro-economic factors on the price of gold. Procedia Computer Science, 17, 737-743.
  • Long, Y. (2013). Visibility graph network analysis of gold price time series. Physica A: Statistical Mechanics and its Applications, 392(16), 3374-3384.
  • Luke Chan, M. W., & Mountain, D. C. (1988). The Interactive and Causal Relationships Involving Precious Metal Price Movements An Analysis of the Gold and Silver Markets. Journal of Business & Economic Statistics, 6(1), 69-77.
  • McKenzie, M. D., Mitchell, H., Brooks, R. D., & Faff, R. W. (2001). Power ARCH modelling of commodity futures data on the London Metal Exchange. The European Journal of Finance, 7(1), 22-38.
  • McKenzie, M., & Mitchell, H. (2002). Generalized asymmetric power ARCH modelling of exchange rate volatility. Applied Financial Economics, 12(8), 555-564.
  • Melvin, M., & Sultan, J. (1990). South African political unrest, oil prices, and the time varying risk premium in the gold futures market. The Journal of Futures Markets (1986-1998), 10(2), 103.
  • Ozturk, F., & Acikalin, S. (2008). Is gold a hedge against Turkish Lira?. South East European Journal of Economics and Business, 3(1), 35-40.
  • Pierdzioch, C., Risse, M., & Rohloff, S. (2014). The international business cycle and gold-price fluctuations. The Quarterly Review of Economics and Finance, 54(2), 292-305.
  • Radetzki, M. (1989). Precious metals: The fundamental determinants of their price behaviour. Resources Policy, 15(3), 194-208.
  • Reboredo, J. C. (2013). Is gold a safe haven or a hedge for the US dollar? Implications for risk management. Journal of Banking & Finance, 37(8), 2665-2676.
  • Reboredo, J. C., & Rivera-Castro, M. A. (2014). Can gold hedge and preserve value when the US dollar depreciates?. Economic Modelling, 39, 168-173.
  • Sanderson, H. (2015). Gold rises amid expectation of ECB move on QE. The Financial Times.
  • Sari, R., Hammoudeh, S., & Soytas, U. (2010). Dynamics of oil price, precious metal prices, and exchange rate. Energy Economics, 32(2), 351-362.
  • Sjaastad, L. A. (2008). The price of gold and the exchange rates: Once again. Resources Policy, 33(2), 118-124.
  • Tully, E., & Lucey, B. M. (2007). A power GARCH examination of the gold market. Research in International Business and Finance, 21(2), 316-325.
  • Van Tassel, R. C. (1982). THE CHANGING COMMODITY AND INVESTMENT PROSPECTS FOR GOLD. In Precious Metals 1981 (pp. 133-139). Pergamon.
  • Yang, L., & Hamori, S. (2014). Gold prices and exchange rates: a time-varying copula analysis. Applied Financial Economics, 24(1), 41-50

FACTORS IMPACTING THE PRICE OF THE GOLD: AN EMPIRICAL STUDY OF EGARCH MODEL

Year 2023, Volume: 18 Issue: 1, 121 - 129, 15.01.2024
https://doi.org/10.17261/Pressacademia.2023.1878

Abstract

Purpose- The gold as a fundamental asset has been displaying a high and sharp price volatility in international financial markets. The price dynamics of gold are believed to be influenced by non-linear dependencies with stock market indices, exchange rates, and commodity prices. Therefore, it is rational to examine the factors contributing to the non linear inferences. As a financial asset for the portfolio investment and hedging, gold prices display multilateral and dynamic data patterns this study aims to focus the analysis of price volatility which will contribute to the volatility structure, persistence, and correlated behaviors of gold prices.
Methodology- To display and analyze the persistence level of volatility in the financial markets, a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) specification is employed. GARCH class models are further applied to determine the relevance of the leverage effect of market news, the progress of spillover pattern, and the effects on the risk-premium.
Findings- Volatility in gold price has become an important feature of the financial markets in terms of volatility trading in adjusting the international portfolio investments. The correlated structure of the financial markets and the contagion effects of the news have displayed the asymmetric and complex but time-fragmented portfolio returns in terms of short and long term volatility formation and forecasting.
Conclusion- Since gold’s safe haven status have played a major stake in the determination of the gold price, it is undeniable that the speculators’ rising power, the artificial intelligence utilisation in robo-trading, global and regional geo-political tensions, the recent developments in the risk sentiment in investment portfolios have an increasing amount of influence on gold prices.

References

  • Andersen, T. G., & Bollerslev, T. (1997). Intraday periodicity and volatility persistence in financial markets. Journal of Empirical Finance, 4(2-3), 115-158.
  • Apergis, N. (2014). Can gold prices forecast the Australian dollar movements? International Review of Economics & Finance, 29, 75-82.
  • Baillie, R. T., Bollerslev, T., & Mikkelsen, H. O. (1996). Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 74(1), 3-30.
  • Beckmann, J., & Czudaj, R. (2013). Gold as an inflation hedge in a time-varying coefficient framework. The North American Journal of Economics and Finance, 24, 208-222.
  • Berndt, E. R., Hall, B. H., Hall, R. E., & Hausman, J. A. (1974). Estimation and inference in nonlinear structural models. In Annals of Economic and Social Measurement, Volume 3, Number 4 (pp. 653-665). NBER.
  • Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307-327.
  • Bollerslev, T., & Engle, R. F. (1993). Common persistence in conditional variances. Econometrica: Journal of the Econometric Society, 167-186.
  • Brooks, R. D., Faff, R. W., McKenzie, M. D., & Mitchell, H. (2000). A multi-country study of power ARCH models and national stock market returns. Journal of International Money and Finance, 19(3), 377-397.
  • Bruno, S., & Chincarini, L. (2010). A historical examination of optimal real return portfolios for non-US investors. Review of Financial Economics, 19(4), 161-178.
  • Busschau, W. J. (1949). THE CASE FOR INCREASING THE PRICE OF GOLD IN TERMS OF ALL CURRENCIES 1. South African Journal of Economics, 17(1), 1-22.
  • Byers, J. D., & Peel, D. A. (2001). Volatility persistence in asset markets: long memory in high/low prices. Applied Financial Economics, 11(3), 253-260.
  • Cai, J., Cheung, Y. L., & Wong, M. C. (2001). What moves the gold market?. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 21(3), 257-278.
  • Capie, F., Mills, T. C., & Wood, G. (2005). Gold as a hedge against the dollar. Journal of International Financial Markets, Institutions and Money, 15(4), 343-352.
  • Chang, C. L., Della Chang, J. C., & Huang, Y. W. (2013). Dynamic price integration in the global gold market. The North American Journal of Economics and Finance, 26, 227-235.
  • Ding, Z., & Granger, C. W. (1996). Modeling volatility persistence of speculative returns: a new approach. Journal of Econometrics, 73(1), 185-215.
  • Ding, Z., Granger, C. W., & Engle, R. F. (1993). A long memory property of stock market returns and a new model. Journal of Empirical Finance, 1(1), 83-106.
  • Dornbusch, R., Park, Y. C., & Claessens, S. (2000). Contagion: Understanding how it spreads. The World Bank Research Observer, 15(2), 177-197.
  • Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the Econometric Society, 987-1007.
  • Engle, R. F., & Bollerslev, T. (1986). Modelling the persistence of conditional variances. Econometric Reviews, 5(1), 1-50.
  • Engle, R. F., & Ng, V. K. (1993). Measuring and testing the impact of news on volatility. The Journal of Finance, 48(5), 1749-1778.
  • Goodman, B. (1956). The price of gold and international liquidity. The Journal of Finance, 11(1), 15-28.
  • Hillier, D., Draper, P., & Faff, R. (2006). Do precious metals shine? An investment perspective. Financial Analysts Journal, 62(2), 98-106.
  • Johnson, H. G. (1950). The case for increasing the price of gold in terms of all currencies: A contrary view. Canadian Journal of Economics and Political Science/Revue canadienne de economiques et science politique, 16(2), 199-209.
  • Joy, M. (2011). Gold and the US dollar: Hedge or haven?. Finance Research Letters, 8(3), 120-131.
  • Koutsoyiannis, A. (1983). A short-run pricing model for a speculative asset, tested with data from the gold bullion market. Applied Economics, 15(5), 563-581.
  • Lili, L., & Chengmei, D. (2013). Research of the influence of macro-economic factors on the price of gold. Procedia Computer Science, 17, 737-743.
  • Long, Y. (2013). Visibility graph network analysis of gold price time series. Physica A: Statistical Mechanics and its Applications, 392(16), 3374-3384.
  • Luke Chan, M. W., & Mountain, D. C. (1988). The Interactive and Causal Relationships Involving Precious Metal Price Movements An Analysis of the Gold and Silver Markets. Journal of Business & Economic Statistics, 6(1), 69-77.
  • McKenzie, M. D., Mitchell, H., Brooks, R. D., & Faff, R. W. (2001). Power ARCH modelling of commodity futures data on the London Metal Exchange. The European Journal of Finance, 7(1), 22-38.
  • McKenzie, M., & Mitchell, H. (2002). Generalized asymmetric power ARCH modelling of exchange rate volatility. Applied Financial Economics, 12(8), 555-564.
  • Melvin, M., & Sultan, J. (1990). South African political unrest, oil prices, and the time varying risk premium in the gold futures market. The Journal of Futures Markets (1986-1998), 10(2), 103.
  • Ozturk, F., & Acikalin, S. (2008). Is gold a hedge against Turkish Lira?. South East European Journal of Economics and Business, 3(1), 35-40.
  • Pierdzioch, C., Risse, M., & Rohloff, S. (2014). The international business cycle and gold-price fluctuations. The Quarterly Review of Economics and Finance, 54(2), 292-305.
  • Radetzki, M. (1989). Precious metals: The fundamental determinants of their price behaviour. Resources Policy, 15(3), 194-208.
  • Reboredo, J. C. (2013). Is gold a safe haven or a hedge for the US dollar? Implications for risk management. Journal of Banking & Finance, 37(8), 2665-2676.
  • Reboredo, J. C., & Rivera-Castro, M. A. (2014). Can gold hedge and preserve value when the US dollar depreciates?. Economic Modelling, 39, 168-173.
  • Sanderson, H. (2015). Gold rises amid expectation of ECB move on QE. The Financial Times.
  • Sari, R., Hammoudeh, S., & Soytas, U. (2010). Dynamics of oil price, precious metal prices, and exchange rate. Energy Economics, 32(2), 351-362.
  • Sjaastad, L. A. (2008). The price of gold and the exchange rates: Once again. Resources Policy, 33(2), 118-124.
  • Tully, E., & Lucey, B. M. (2007). A power GARCH examination of the gold market. Research in International Business and Finance, 21(2), 316-325.
  • Van Tassel, R. C. (1982). THE CHANGING COMMODITY AND INVESTMENT PROSPECTS FOR GOLD. In Precious Metals 1981 (pp. 133-139). Pergamon.
  • Yang, L., & Hamori, S. (2014). Gold prices and exchange rates: a time-varying copula analysis. Applied Financial Economics, 24(1), 41-50
There are 42 citations in total.

Details

Primary Language English
Subjects Business Administration
Journal Section Articles
Authors

Serkan Çankaya 0000-0003-3010-0697

Murat Konuklar 0009-0002-8903-8322

Publication Date January 15, 2024
Submission Date November 15, 2023
Acceptance Date January 15, 2024
Published in Issue Year 2023 Volume: 18 Issue: 1

Cite

APA Çankaya, S., & Konuklar, M. (2024). FACTORS IMPACTING THE PRICE OF THE GOLD: AN EMPIRICAL STUDY OF EGARCH MODEL. PressAcademia Procedia, 18(1), 121-129. https://doi.org/10.17261/Pressacademia.2023.1878
AMA Çankaya S, Konuklar M. FACTORS IMPACTING THE PRICE OF THE GOLD: AN EMPIRICAL STUDY OF EGARCH MODEL. PAP. January 2024;18(1):121-129. doi:10.17261/Pressacademia.2023.1878
Chicago Çankaya, Serkan, and Murat Konuklar. “FACTORS IMPACTING THE PRICE OF THE GOLD: AN EMPIRICAL STUDY OF EGARCH MODEL”. PressAcademia Procedia 18, no. 1 (January 2024): 121-29. https://doi.org/10.17261/Pressacademia.2023.1878.
EndNote Çankaya S, Konuklar M (January 1, 2024) FACTORS IMPACTING THE PRICE OF THE GOLD: AN EMPIRICAL STUDY OF EGARCH MODEL. PressAcademia Procedia 18 1 121–129.
IEEE S. Çankaya and M. Konuklar, “FACTORS IMPACTING THE PRICE OF THE GOLD: AN EMPIRICAL STUDY OF EGARCH MODEL”, PAP, vol. 18, no. 1, pp. 121–129, 2024, doi: 10.17261/Pressacademia.2023.1878.
ISNAD Çankaya, Serkan - Konuklar, Murat. “FACTORS IMPACTING THE PRICE OF THE GOLD: AN EMPIRICAL STUDY OF EGARCH MODEL”. PressAcademia Procedia 18/1 (January 2024), 121-129. https://doi.org/10.17261/Pressacademia.2023.1878.
JAMA Çankaya S, Konuklar M. FACTORS IMPACTING THE PRICE OF THE GOLD: AN EMPIRICAL STUDY OF EGARCH MODEL. PAP. 2024;18:121–129.
MLA Çankaya, Serkan and Murat Konuklar. “FACTORS IMPACTING THE PRICE OF THE GOLD: AN EMPIRICAL STUDY OF EGARCH MODEL”. PressAcademia Procedia, vol. 18, no. 1, 2024, pp. 121-9, doi:10.17261/Pressacademia.2023.1878.
Vancouver Çankaya S, Konuklar M. FACTORS IMPACTING THE PRICE OF THE GOLD: AN EMPIRICAL STUDY OF EGARCH MODEL. PAP. 2024;18(1):121-9.

PressAcademia Procedia (PAP) publishes proceedings of conferences, seminars and symposiums. PressAcademia Procedia aims to provide a source for academic researchers, practitioners and policy makers in the area of social and behavioral sciences, and engineering.

PressAcademia Procedia invites academic conferences for publishing their proceedings with a review of editorial board. Since PressAcademia Procedia is an double blind peer-reviewed open-access book, the manuscripts presented in the conferences can easily be reached by numerous researchers. Hence, PressAcademia Procedia increases the value of your conference for your participants. 

PressAcademia Procedia provides an ISBN for each Conference Proceeding Book and a DOI number for each manuscript published in this book.

PressAcademia Procedia is currently indexed by DRJI, J-Gate, International Scientific Indexing, ISRA, Root Indexing, SOBIAD, Scope, EuroPub, Journal Factor Indexing and InfoBase Indexing. 

Please contact to procedia@pressacademia.org for your conference proceedings.