TY  - JOUR
TT  - Market Interactions in Gold and Stock Markets: Evidences from Saudi Arabia
AU  - Afsal, E.m.
AU  - Haque, Mohammad Imdadul
PY  - 2016
DA  - May
JF  - International Journal of Economics and Financial Issues
JO  - IJEFI
PB  - İlhan ÖZTÜRK
WT  - DergiPark
SN  - 2146-4138
SP  - 1025
EP  - 1034
VL  - 6
IS  - 3
KW  - Gold Return
KW  - Multivariate Generalized Autoregressive Conditional Heteroskedasticity
KW  - Market Spillover
KW  - Contagion Effect
KW  - Volatility Persistence
N2  - The price movements in gold market are considered to detect non-linear dependencies with stock market in the Saudi Arabian context. Both the univariate and multivariate models of GARCH class are employed in this study. Initially, the work uses GARCH (1,1) specification to detect the persistence level of volatility. Proceeding further, a series of models are used to study leverage effect, spillover pattern, risk-premium effects, absolute returns and power transformation factors etc. Finally, Diagonal BEKK specification is used to determine the contagion effect between gold and stock markets. The findings chiefly prove that a dynamic relationship between gold and stock market do not exist.
UR  - https://dergipark.org.tr/tr/pub/ijefi/issue//353780
L1  - https://dergipark.org.tr/tr/download/article-file/364843
ER  -