Statistics and Its Interface
Volume 16 (2023)
Special issue on recent developments in complex time series analysis – Part I
Guest editors: Robert T. Krafty (Emory Univ.), Guodong Li (Univ. of Hong Kong), Anatoly Zhigljavsky (Cardiff Univ.)
Analyses of the impact of country specific macro risk variables on gold futures contract and its position as an asset class: evidence from India
Pages: 57 – 67
This paper discusses the dependence of gold futures prices on macro risk factors using a multiple linear regression model. Recently introduced uncertainty indexes such as geopolitical risk index and economic policy uncertainty index are included in this study. We also examine the investment nature of gold futures contract among other assets. The results provide insights on the influence of these interrelated macro economic variables on a financial derivative contract in an emerging economy and its unique position in portfolio allocation and are aimed to help practitioners and policy makers.
gold futures contract, macro risk factors, multiple linear regression, investment nature
2010 Mathematics Subject Classification
Primary 62M10, 62-xx. Secondary 91B84.
The research of the first author was supported by the Fulbright-Nehru Doctoral Research program (Award No. 2447/DR/2019-2020).
Received 1 August 2020
Accepted 16 August 2022
Published 28 December 2022