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Download fileGold markets around the world – who spills over what, to whom, when?
journal contribution
posted on 2022-03-03, 16:13 authored by Brian M Lucey, Charles Larkin, Fergal A. O’ConnorGold is traded worldwide, mainly in London, New York, Tokyo and Shanghai. We apply the recently developed spillover index approach of Diebold and Yilmaz (2009) to investigate the degree to which these markets are integrated, and which are net senders or recipients of information. The evidence suggests that Shanghai remains isolated as a market both in terms of volatility and return spillovers. The strongest and most integrated pair of markets are the London Cash market and COMEX. Returns spill over more strongly than do volatilities. Spillovers show significant time variation
History
Published in
Applied Economics LettersPublisher
Taylor & FrancisVersion
AM (Accepted Manuscript)Citation
Lucey, B.M., Larkin, C. and O’Connor, F. (2014) Gold markets around the world–who spills over what, to whom, when?. Applied Economics Letters, 21(13), pp.887-892.Print ISSN
1350-4851Electronic ISSN
1466-4291Cardiff Met Affiliation
- Cardiff School of Management
Cardiff Met Research Centre/Group
- Welsh Centre for Business and Management Research