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    Volatility dynamics in Dubai gold futures market

    173380_50483_irjaf_Vol_2_Issue_2011.pdf (226.2Kb)
    Access Status
    Open access
    Authors
    Nekhili, R.
    Thorpe, Michael
    Date
    2011
    Type
    Journal Article
    
    Metadata
    Show full item record
    Citation
    Nekhili, Ramzi and Thorpe, Michael. 2011. Volatility dynamics in Dubai gold futures market. International Research Journal of Applied Finance 2 (11): pp. 1303-1313.
    Source Title
    International Research Journal of Applied Finance
    ISSN
    2229-6891
    School
    School of Economics and Finance
    URI
    http://hdl.handle.net/20.500.11937/27169
    Collection
    • Curtin Research Publications
    Abstract

    This study explores the volatility dynamics of gold futures traded on the Dubai Gold and Commodities Exchange. We test the effect of margin trading reform implemented by the Emirates Securities and Commodities Authority on the dynamic relationship between the daily gold futures volatility and volume, open interest, and futures returns. We find that volatility dynamics with respect to volume and return are consistent with other futures markets patterns but not with the open interest, especially after the reform. Moreover, the reform has decreased trading volume and open interest and increased gold futures volatility.

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