Understanding the Nexus Between Emerging Stock Market Volatility and Gold Price Shocks

This study investigates the contagion and spillover effects of gold price shocks on the volatility of the Asian emerging stock markets. Gold prices’ positive and negative shocks are quantified, and the Vector Autoregressive (VAR) and Copula approaches are employed to measure the spillover and contagion effects between gold price shocks and stock volatilities. Several Copula functions are considered, and the best-fit one is used to explain the correlation or the contagion effect, while the Granger causality test and VAR model are used to examine the casual and spillover effects, respectively. The study’s findings show that there is some evidence indicating the volatility spillover, causality, and contagion between gold price shocks and stock volatility.