文章基本信息

标题：Financial innovation management of volatility spillovers at Indian gold futures market
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作者：Mallika Mathew ; M. M. Sulphey
期刊名称：Marketing ì Menedžment Innovacìj
印刷版ISSN：2218-4511
出版年度：2019
期号：2
页码：131-140
DOI：10.21272/mmi.2019.2-12
出版社：Sumy State University
摘要：Volatility Spillover refers to the interaction between volatilities of different financial markets and volatilities can transfer between markets. It is generally understood that the volatility process will show the extent to which new information is assimilated by the market. The paper studies financial innovation management of the Volatility Spillover between the Indian Gold Futures and Spot Gold Commodity Market. This study has used the daily price of futures and spot market of Multi Commodity Exchange, Mumbai for a period of seven years from 1st October 2009 to 30th September 2016. The study employs Bivariate Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) model to investigate innovative management of the volatility spillover dynamics. The Bivariate EGARCH Model result reveals that the GARCH effects are statistically significant, signifying that the degree of volatility persistence exists in the case of both Gold futures and spot market returns. This result indicates that there is a tendency for volatility to continue for long periods in both the markets, once a shock has occurred. The leverage effect parameters are positive and statistically significant for both futures and spot market return, indicating the existence of leverage effect. This indicates that positive shocks have a greater impact on this market than the negative shocks. The spillover coefficients are statistically significant for both futures and spot market return, indicating significant bi-directional spillovers exist across the futures and spot markets of Gold. The result indicates that the investor can use the information of one market to predict the behaviour of the other market. All the available information is reflected in the current price as the market assimilates immediately new information and as a consequence, there are no arbitrage opportunities. In contrast to the widely accepted hypothesis of the futures market, that due to its cost and hedging advantages, the futures market leads the spot market, the Indian Gold Futures market, during the period of study, fails to provide early information to spot market.
关键词：EGARCH; gold futures; spillover; spot market returns; volatility.