کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5103162 | 1480101 | 2017 | 24 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Long-range dependence in returns and volatility of global gold market amid financial crises
ترجمه فارسی عنوان
وابستگی بلندمدت در بازده و نوسان بازار جهانی طلا در میان بحران مالی
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
چکیده انگلیسی
Using sampled historical daily gold market data from 07-03-1985 to 06-01-2015, and building on a related work by Bentes (2016), this paper examines the presence of long-range dependence (LRD) in the world's gold market returns and volatility, accounting for structural breaks. The sampled gold market data was divided into subsamples based on four global crises: the September 1992 collapse of the European Exchange Rate Mechanism (ERM), the Asian financial crisis of mid-1997, the Subprime meltdown of 2007, and the recent European sovereign debt crisis, which hit the world's market with varying effects. LRD test was carried-out on the full-sample and subsample periods using three semiparametric methods-before and after adjusting for structural breaks. The results show insignificant evidence of LRD in gold returns. However, very diminutive evidence is found for periods characterized by financial/economic shocks, with no significant detections for post-shock periods. Collectively, this is indicative that the gold market is less speculative, and hence could be somehow less risky for hedging and portfolio diversification.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 472, 15 April 2017, Pages 188-202
Journal: Physica A: Statistical Mechanics and its Applications - Volume 472, 15 April 2017, Pages 188-202
نویسندگان
Maurice Omane-Adjepong, Gideon Boako,