Gold Price and GDP Analysis of the World’s Top Economies

Sharma, Manu; Aggarwal, Rajnish

doi:10.3905/jii.2012.3.1.083

Cited by 2 publications

(1 citation statement)

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“…The relationship between gold price and GDP was studied by Sharma and Aggarwal (2022). They studied the impact of GDP on gold price using data from leading gold-holding countries such as US, UK, France, Germany, Italy, Brazil, and others.…”

Section: Gold and Gdpmentioning

confidence: 99%

Gold As Investable Commodity-An Inquiry

Geetha Sineni

2023

cienc.eng.

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This paper examines potential benefits of investing in various gold investment vehicles in terms of risk and return from a typical South African investor’s perspective. Furthermore, the study examines the relationship between gold price and South African macroeconomic variables. Data used in the study comprises of monthly closing share price data of JSE listed gold mining companies, gold price, Krugerrand coin, New Gold ETF, FTSE/JSE all share index, gold mining index, unit trust index (gold & precious metals), real GDP, rand/dollar exchange rate, repo rate and CPI. It was found that gold bullion produced superior abnormal returns and yielded greater capital growth compared to the JSE all share index. However, the JSE all share index exhibit lower volatility compared to gold bullion. Abnormal returns for JSE listed gold mining companies tend to differ substantially from gold bullion abnormal returns. Gold mining companies exhibit added risk which cannot be attributed to the gold bullion. Gold has a potential to reduce systematic risk when added to a portfolio of stocks. A multiple regression model was estimated which relates gold price to South African macroeconomic variables. It was found that gold price depends on real GDP and rand/dollar exchange rate.

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Section: Gold and Gdpmentioning

confidence: 99%

Gold As Investable Commodity-An Inquiry

Geetha Sineni

2023

cienc.eng.

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Multi-Scale Volatility Feature Analysis and Prediction of Gold Price

Wen

Xin

Gong

et al. 2017

Int. J. Info. Tech. Dec. Mak.

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Volatility of gold price is of great significance for avoiding the risk of gold investment. It is necessary to understand the effect of external events and intrinsic regularities to make accurate price predictions. This paper first compared EMD with CEEMD algorithm, and the results find that CEEMD algorithm performance is better than that of EMD in analysis gold price volatility. Then this paper uses the complementary ensemble empirical mode decomposition (CEEMD) to decompose the historical price of international gold into price components at different frequencies, and extracts a short-term fluctuation, a shock from significant events and a long-term price. In addition, this paper combines the Iterative cumulative sum of squares (ICSS) with Chow test to test the three event prices for structural breaks, and analyzes the effect of external events on volatility of gold price by comparing the external events with the test results for structural breaks. Finally, this paper constructs support vector machine (SVM) models and artificial neural network (ANN) on three series for prediction, and finds that the SVM performed better in gold price prediction in one-step-ahead and five-step-ahead, and when we combine the SVMs and ANNs with price components to make predictions, the error of the combined prediction is smaller than SVMs and ANNs with separate terms of series extracted.

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Gold Price and GDP Analysis of the World’s Top Economies

Cited by 2 publications

References 0 publications

Gold As Investable Commodity-An Inquiry

Gold As Investable Commodity-An Inquiry

Multi-Scale Volatility Feature Analysis and Prediction of Gold Price

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