VOLATILITY TRANSMISSION AMONG G-7 STOCK MARKETS AND GOLD MARKET

Abstract

The aim of the study is to analyze volatility spillover and transmission among the Gold Market and G-7 Stock Markets. Towards to the purpose of the study, volatility spillover among the Gold Market and G-7 Stock Markets is investigated with Dynamic Correlation Multivariate Stochastic Volatility model. Data used for analyze are daily and volatility spillover among the price indices of Canada, France, Germany, Italy, Japan, the United Kingdom and the United States and Gold price index were estimated for dual structures. There is no volatility transmission between the G-7 country Stock Markets and the Gold Market, except for the United Kingdom Stock Market. On the other hand volatility transmission between the United Kingdom Stock Market and Gold market was determined unidirectional from gold market to the United Kingdom stock market.