Asymmetric statistical features of the Chinese domestic and international gold price fluctuation
Abstract
Analyzing the statistical features of fluctuation is remarkably significant for financial risk identification and measurement. In this study, the asymmetric detrended fluctuation analysis (A-DFA) method was applied to evaluate asymmetric multifractal scaling behaviors in the Shanghai and New York gold markets. Our findings showed that the multifractal features of the Chinese and international gold spot markets were asymmetric. The gold return series persisted longer in an increasing trend than in a decreasing trend. Moreover, the asymmetric degree of multifractals in the Chinese and international gold markets decreased with the increase in fluctuation range. In addition, the empirical analysis using sliding window technology indicated that multifractal asymmetry in the Chinese and international gold markets was characterized by its time-varying feature. However, the Shanghai and international gold markets basically shared a similar asymmetric degree evolution pattern. The American subprime mortgage crisis (2008) and the European debt crisis (2010) enhanced the asymmetric degree of the multifractal features of the Chinese and international gold markets. Furthermore, we also make statistical tests for the results of multifractatity and asymmetry, and discuss the origin of them. Finally, results of the empirical analysis using the threshold autoregressive conditional heteroskedasticity (TARCH) and exponential generalized autoregressive conditional heteroskedasticity (EGARCH) models exhibited that good news had a more significant effect on the cyclical fluctuation of the gold market than bad news. Moreover, good news exerted a more significant effect on the Chinese gold market than on the international gold market.
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