Chen, Chien-Hung; Lee, Nicholas; Chang, Fu-Min; Lan, Li-Peng - In: Journal of Financial Economic Policy 13 (2021) 5, pp. 525-538
Purpose: This study aims to examine whether global gold futures returns volatilities and trading activities are threshold cointegrated. Design/methodology/approach: This study considers 11 gold futures markets, including 3 developed futures markets and 8 developing futures markets. This study...