Cointegration and Causality Among International Gold and ASEAN Emerging Stock Markets

Quang, Giam; Sriboonchitta, Songsak

doi:10.2139/ssrn.1533919

Cited by 4 publications

(2 citation statements)

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“…However, even though many studies concur that gold is a hedge and a security in the stock market, gold as a safe haven is not true for all countries. Some scholars believed that there was 3 inter-relationship between the price of gold and stock prices in Vietnam and Thailand but not in Malaysia, Indonesia and Philippines (Do & Sriboonchitta, 2010). In Baur and McDermott's research in 2010, they indicated that gold is a safe haven in most European countries and the USA while in Australia, Canada and Japan and many emerging countries this is not true.…”

Section: Introductionmentioning

confidence: 99%

Multi-Factorized Semi-covariance of Stock Markets and Gold Price

Huang¹,

Huang²,

Yang³

et al. 2021

Preprint

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Complex models have received significant interest in recent years and are being increasingly used to explain the stochastic phenomenon with upward and downward fluctuation such as the stock market. Different from existing semi-variance methods in traditional integer dimension construction for two variables, this paper proposes a simplified multi-factorized fractional dimension derivation with the exact Excel tool algorithm involving the fractional center moment extension to covariance, which is a complex parameter average that is a multi-factorized extension to Pearson covariance. By examining the peaks and troughs of gold price averages, the proposed algorithm provides more insight into revealing underlying stock market trends to see who is the financial market leader during good economic times. The calculation results demonstrate that the complex covariance is able to distinguish subtle differences among stock market performances and gold prices for the same field that the two variable covariance may overlook. We take the London, Tokyo, Shanghai, Toronto and Nasdaq as the representative examples.

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Section: Introductionmentioning

confidence: 99%

Multi-Factorized Semi-covariance of Stock Markets and Gold Price

Huang¹,

Huang²,

Yang³

et al. 2021

Preprint

View full text Add to dashboard Cite

show abstract

“…However, even though many studies concur that gold is a hedge and a security in the stock market, gold as a safe haven is not true for all countries. Some scholars believed that there was inter-relationship between the price of gold and stock prices in Vietnam and Thailand, but not in Malaysia, Indonesia, and Philippines (Do and Sriboonchitta 2010). In Baur and McDermott's research in 2010, they indicated that gold is a safe haven in most European countries and the USA, while in Australia, Canada, Japan, and many emerging countries, this is not true.…”

Section: Introductionmentioning

confidence: 99%

Multi-Factorized Semi-Covariance of Stock Markets and Gold Price

Shi

Yang

Huang

et al. 2021

JRFM

View full text Add to dashboard Cite

Complex models have received significant interest in recent years and are being increasingly used to explain the stochastic phenomenon with upward and downward fluctuation such as the stock market. Different from existing semi-variance methods in traditional integer dimension construction for two variables, this paper proposes a simplified multi-factorized fractional dimension derivation with the exact Excel tool algorithm involving the fractional center moment extension to covariance, which is a complex parameter average that is a multi-factorized extension to Pearson covariance. By examining the peaks and troughs of gold price averages, the proposed algorithm provides more insight into revealing underlying stock market trends to see who is the financial market leader during good economic times. The calculation results demonstrate that the complex covariance is able to distinguish subtle differences among stock market performances and gold prices for the same field that the two variable covariance may overlook. We take London, Tokyo, Shanghai, Toronto, and Nasdaq as the representative examples.

show abstract