The Relationship between Gold Spot and Gold ETF Markets

• Main Authors: Tzu-Chun Shen, 沈子鈞
• Other Authors: 李命志
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/69519220196564672124

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.