This paper examines the dynamic relationships between gold and stock markets in China. Using daily gold and stock indexes data, we estimated the DCC-GARCH model for the five bear markets since 31 October 2002, and simultaneously used different segments of China’s stock markets for analysis....

We propose a non-parametric procedure for estimating systemic co-jumps and independent idiosyncratic jumps, and study associated news reported in Factiva and Bloomberg for thirty five stock markets from 1988 to 2014. Our results suggest that it is important to distinguish between systemic...