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- W3120340783 abstract "This paper studies the co-integration relationship and volatility spillover effect between China's gold futures and spot prices through the VECM-BEKK-GARCH model. Then, MSGARCH and DCCE-GARCH are applied to study the relationship among China's gold futures market, spot market price volatility and the stabilization effect in uncertain economic environments. This paper enriches the current research, providing gold market participants with hints to address economic uncertainty. The empirical results show that China's gold futures market has a weak stabilization effect on spot price volatility. In scenarios with uncertain economic information and uncertain macroeconomic changes, the correlation between gold futures and spot price volatility is reduced in China, and the role of gold futures in stabilizing the spot price weakens. Furthermore, with economic uncertainty, the fluctuation range of the gold futures price is greater than that of the spot price, with a tendency of more frequent fluctuations. This also means that the effectiveness of the futures market in regulating the spot price will be reduced, and gold market regulators need to stabilize the market through alternative methods to futures." @default.
- W3120340783 created "2021-01-18" @default.
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- W3120340783 date "2021-04-01" @default.
- W3120340783 modified "2023-09-26" @default.
- W3120340783 title "The role of gold futures in mitigating the impact of economic uncertainty on spot prices: Evidence from China" @default.
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- W3120340783 doi "https://doi.org/10.1016/j.ribaf.2020.101378" @default.
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