On the co-movements among gold and other financial markets: a multivariate time-varying asymmetric approach

The analysis of time varying correlation between gold price and financial market in the context of international investments has been well researched in the literature in last few years. In this paper we study the interdependence of three financial markets and the gold price. We adopt a multivariate asymmetric dynamic conditional correlation EGARCH framework, during the period spanning from January 5, 1995 until May 30, 2017. The empirical results suggest asymmetric responses in correlations among gold market and financial market. We find that asymmetric dynamic correlations exhibit substantial time variation even in similar market tensions for same pairs of assets. Our findings imply that investors and fund managers should take into account the asymmetric dependence structure, which depends on the upside or downside of the market.