Time-Varying Volatility Spillover between Gold Futures and Singapore Stock Markets: Implication of the Portfolio Management

• 발행기관: 한국자료분석학회
• 저자명: 강상훈(Sang Hoon Kang) 윤성민(Seong-Min Yoon)
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.18 No.1, 47~57쪽, 전체 11쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2016.02.28

영문 초록

This study investigates the volatility spillover between gold futures and Singapore stock markets. To examine market contagion between these two markets, we utilize the bivariate DCC-GARCH model, and weekly closing spot price index series for Singapore stock market index as well as for gold futures prices from 2 January 1998 to 20 January 2015. We also consider the potential impacts of structural breaks on the volatility of these markets using the modified ICSS algorithm, and analyze time-varying hedge ratios based on estimates of the model. The result reveals significant volatility spillover between the two markets. In particular, we find a significant variability in the time-varying conditional correlation between these two markets during both bullish and bearish markets. After 2007 US subprime mortgage crisis, the correlation between the two markets become more strengthening, implying that a greater contagion effect exists between these two markets. This contagion evidence provides an important guideline on building optimal investment portfolios and developing global cross-market hedging strategies.

목차

1. Introduction

2. Empirical methodology

3. Data

4. Estimation results of bivariate AR-DCC-GARCH model

5. Implications for risk management and portfolio allocation

6. Conclusions

References

키워드

Contagion DCC-GARCH model Global financial crisis Hedge ratio Volatility spillover