The Relationship between Gold Spot and Gold ETF Markets
碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 97 === This thesis examined the relationship between gold spot and gold ETF index by using exponential GARCH model. Howerer, the gold ETF index and the gold spot price should be contemporaneously correlated. However, numerous studies found this paradoxical finding th...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/69519220196564672124 |
| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 97 === This thesis examined the relationship between gold spot and gold ETF index by using exponential GARCH model. Howerer, the gold ETF index and the gold spot price should be contemporaneously correlated. However, numerous studies found this paradoxical finding that the lead–lag relationship exists between gold spot price and gShares index. The empirical results indicated that: (1) Gold spot price and gShares index are highly cointegrated. (2) Gold spot price and gShare index have influences to each other. (3) Gold spot price represents a powerful position and leads the movement of gShares index. (4) For the volatility spillovers, the gold spot price has stronger volatility spillovers than gShare index.
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